NCC | Collateral for stress changes

CCP NCC changes the collateral for stress parameters starting from September 4^th, 2023:

1. Collateral for stress on the Securities market, on the Currency market and on the Derivatives market:

Asset	Current Collateral for stress		Collateral for stress from September 4^th, .2023
Asset	UP scenario	Down scenario	UP scenario	Down scenario
CNY	12.5%	8.5%	16%	10%

2. Collateral for stress on the OTC market:

Risk-factor	Current Collateral for stress		Collateral for stress from September 4^th, .2023
Risk-factor	UP scenario	Down scenario	UP scenario	Down scenario
USD-RUB-TOM-CENTRAL	24%	-22%	25.5%	-23.5%
EUR-RUB-TOM-CENTRAL	24%	-22%	25.5%	-23.5%
СNY-RUB-TOM-CENTRAL	20.5%	-16.5%	24%	-18%