Stress collateral is a type of individual clearing collateral that is aimed at covering clearing member's positions' risks if a stress event occurs.
Stress collateral volume is determined in accordance with Methodology for calculation of stress collateral:
- by a clearing member (incl. own and clients' codes),
- in RUB,
- for each market separately
Assets accepted as stress collateral are:
- USD, EUR (haircut applies),
- Securities – OFZ and sovereign eurobonds of Russian Federation (haircut applies)
Stress collateral volume is reviewed once a week.
Stress collateral is calculated in several steps:
Step 1. Calculating the net position value by account types: positions on proprietary accounts are netted while position on client accounts are not netted to observe the segregation principle.
Step 2. Calculating the total net position value with regard to covered sells.
Step 3. Calculating potential losses under a stress scenario (the segregation principle is fulfilled).
Step 4. Calculating the excess of potential losses over CCP financial safeguards (the clearing member's initial margin, contribution to the guarantee fund, CCP dedicated capital, the guarantee fund).