NCC : Clearing House - Central Counterparty for MICEX - RTS Markets

NCC : Clearing House - CentralNCC : Clearing House - Central CounterpartyCounterparty

for MICEXfor MICEX--RTS MarketsRTS Markets

NCC – Profile

NCC : Clearing House - Central Counterpartyfor MICEX-RTS Markets

* Draft unaudited result

Licenses:• for banking operations;• professional securities market participant’s license for clearing activities;• in progress - achieving the status of a qualifying CCP by the Bank of Russia – lower capital

requirements for clearing members on CCP exposures (Basel III).

Core business: rendering of clearing services to financial market participants; risk management for MICEX-RTS Group markets; liquidity management for MICEX-RTS Group companies

Capital: RUB 10 034 mln (as of 31/12/2011 ~ USD 311,65 mln)

Return on Equity: 24.17 %* (as of 31/12/2011)

NCC’s Total Capital Constantly Growing

Efforts to maintain the constant capital growth •strengthen NCC’s financial stability• increase NCC’s reliability as a Central Counterparty

Further Capital increase:

Target – EUR 1,00 Bio Capital

till 2015.


NCC – Central Counterparty for MICEX-RTS Market

NCC as central counterparty operation promotes:

• higher liquidity in the MICEX-RTS FX and securities markets,

• lower transaction costs for market participants,

• more efficient use of the market participants’ funds.

NCC as central counterparty operation promotes:

• higher liquidity in the MICEX-RTS FX and securities markets,

• lower transaction costs for market participants,

• more efficient use of the market participants’ funds.

NCC as Central Counterparty:

• open offer principle (all transactions are initially concluded between the clearing participants and NCC)

• guarantee of performance of its obligations to each non-defaulting participant under the transactions concluded (NCC assumes the risks of default on the transactions concluded with it)

• participants only assess the risks of central counterparty (NCC)

• lower operational burden on a participant’s back office (netting arrangement)


2011 NCC’s main implementations


Prospects of development of NCC activities as CCP on the Russian financial market


NCC - Central Counterparty for MICEX-RTS FX Market Possessing Efficient Risk Management System


Settlements with clearing participants according to PVP principle

Margin posting arrangements and control of collateral adequacy for registered orders

Default Fund of US $18,1 mln (as of 01/03/2012)

Membership criteria and rating system of clearing participants which are used for setting net transaction limits for clearing participants

Setting limits for 1-day rate fluctuations

Arrangements for liquidation of unsecured participant’s positions (via the Additional Session with possible participation of the Bank of Russia)

Efficient liquidity management: ability to raise funds in the interbank money market and access to Bank of Russia liquidity window

NCC’s fund (additional market risk coverage in case of stress)

Clearing Participants Default Fund (additional market risk coverage in

case of stress)

Initial Margin and Variation Margin for Clearing Participants

CBR’s and

issuers’ buy-out

Commitments

Clearing Participants’ commitments

to maintain bid quotes

Financial resources of the clearing organization

Financial resources of the clearing participants

Financial resources of the defaulter

Requirements to clearing participants

NCC’s total capital

Partial charging of non-defaulters to cover the amount of expenses incurred by the NCC

Requirements to clearing participants

Initial Margin and Variation Margin for Clearing Participants

Current RMS structure Planned RMS structure




Default funds

NCC’s total capital

Defaulter’s own default fund contribution

Default fund to cover blank limits of Clearing Participants

Defaulter’s own default fund contribution


Guarantee Systems. Lines of Defence


Stress Testing


The regular stress testing enables evaluation of NCC’s readiness in extreme but plausible market conditions and improves the decision-making process of NCC’s management bodies.

Stress testing procedure and use of its results:

1.Estimating total and Tier 1 capital adequacy for risk covering purposes;

2.The following risks are covered by stress-tests: central counterparty risk (losses from the default of participants with largest credit exposures); liquidity risk; credit risk; market risk;

3.Recommendations to NCC management bodies regarding maintenance of capital adequacy via setting limits on the NCC’s investment, the structure of assets accepted as a collateral and risk parameters of the exchange-based markets;

4.Recommendations to NCC management bodies regarding capital structure and profit allocation;

5.Scenario analysis based on historical scenarios (financial crises) and hypothetical scenarios;

6.Quantitative assessment of risks in extreme but plausible market conditions.

NCC is a Member of European Association of CCP Clearing Houses (EACH) and Global Association of Central Counterparties – CCP12

NCC membership in the Associations made it possible:

• For the NCC Risk Management System to be recognized consistent with international standards and recommendations of the Committee on Payment and Settlement Systems of the Bank for International Settlements and International Organization of Securities Commissions;

• Participation of NCC in development of international standards and rules of CCP functioning, constant self-assessment of the bank and ensuring its consistency with the international standards under development helps to their implementation on the Russian financial market and to building-up of International financial centre in Russia.


Compliance with Recommendations for CCPs

• NCC periodically performs self-assessment of its operations for compliance with the Recommendations for Central Counterparties developed by the CPSS/IOSCO.

• The self-assessment demonstrates that NCC’s operation as central counterparty on the whole complies with the current international standards

NCC – liquidity manager for MICEX-RTS Group companies

MANAGING FUNDS (as of 01/03/2012) MANAGING FUNDS (as of 01/03/2012)

Liquidity sourcesRUB,

Bio USD, Bio EUR, BioTotal,

Bio USD

Capital 10,7 - - 0,37

MICEX-RTS Group companies’ funds

10,1 - - 0,35

Funds of MICEX-RTS FX market participants

15,1 2,11 0,33 3.09

Funds of MICEX-RTS securities market

participants93,9 3,24

Total 129,8 2,11 0,33 7,05

Main issues of NCC ALM significantly reduce credit and market risks


Tenor LimitsTenor LimitsPortfolio max duration 1,5 yearBond Repo transactions up to 1/2 yearFX SWAP transactions up to 1/2 year

Own capital use Clearing funds (client`s

accounts) use

Terms interbank deposits up to 1 year up to 1/2 yearGovernment Bonds no limitation up to 1,5 year

Sub-sovereign and corporate Bonds up to 5 years up to 1,5 year

Contacts: Contacts:

CJSC JSCB National Clearing CentreCJSC JSCB National Clearing CentreOur addressOur address: : 13 Bolshoy Kislovsky Lane13 Bolshoy Kislovsky Lane,, Moscow,Moscow, 125009, 125009, Russia RussiaPhonePhone: +7 (495) 782 97 94: +7 (495) 782 97 94E-mailE-mail: : [email protected]

http:http:////www.nkcbank.ruwww.nkcbank.ru

mailto:[email protected]

NCC : Clearing House - Central Counterparty for MICEX - RTS Markets

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