Transcript NAME OF PRESENTATION

NCC : Clearing House - Central
Counterparty
for MICEX-RTS Markets
NCC – Profile
Established in
October 2005
NCC operates as a central
counterparty (CCP) for MICEXRTS
Shareholders‘ equity
structure
• CJSC “MICEX-RTS” – 100%
• FX market
• Securities market
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)
* Draft unaudited result
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
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 : Clearing House - Central Counterparty
for MICEX-RTS Markets
NCC – Central Counterparty for MICEX-RTS Market
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)
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 : Clearing House - Central Counterparty
for MICEX-RTS Markets
2011 NCC’s main implementations
• New Risk Management System (RMS):
• Use of Single Collateral (RUB, EUR, USD in any combination)
• Application of adaptive collateral rate (which is subject of fixed tick change, depending
on market volatility)
• New on-exchange instruments on the basis of the new RMS:
FOREIGN
EXCHANGE
MARKET
• Bank of Russia Dual-Currency Basket
• SWAP (Т+1 ,Т+2)
• Ongoing improvement of default management:
• The additional session of the 1st type (closing the open FX positions held by clearing
participants via sell (buy) transactions with NCC)
• The additional session of the 2nd type (“carry over” to the next day of open FX
positions held by clearing participants via SWAP transactions with NCC)
• 2-tier access to clearing services (additional service necessary for efficient
servicing by the participants of their clients)
SECURITIES
MARKET
• Performance of clearing operations + development of the CCP institution
• Funds withdrawal in the amount of the planned position during trading
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
Prospects of development of NCC activities as CCP
on the Russian financial market
MICEX-RTS
FOREIGN
EXCHANGE
MARKET
MICEX-RTS
SECURITIES
MARKET
MICEX-RTS
FORWARD
MARKET
• RMB/RUB instruments with partial margin deposit (trading and
clearing)
• Instruments with maturity of up to 180 days (trading and
clearing )
• Instruments with partial margin deposit, including REPO
with central counterparty (trading and clearing)
• Transfer of clearing functions to NCC from RTS
Clearing Center
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
NCC - Central Counterparty for MICEX-RTS FX Market
Possessing Efficient Risk Management System
 Margin posting arrangements and control of collateral adequacy for registered orders
 Default Fund of US $18,1 mln (as of 01/03/2012)
 Settlements with clearing participants according to PVP principle
 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 : Clearing House - Central Counterparty
for MICEX-RTS Markets
Guarantee Systems. Lines of Defence
Current RMS structure
Planned RMS structure
NCC’s
total capital
Financial
resources of
the clearing
organization
Financial
resources of
the clearing
participants
Partial charging of nondefaulters to cover the
amount of expenses
incurred by the NCC
NCC’s
total capital
Default funds
Defaulter’s own default fund
contribution
Financial
resources of
the clearing
organization
Financial
resources of
the clearing
participants
Financial
resources of
the defaulter
CBR’s
and
issuers’
buy-out
Commitments
Clearing Participants’
commitments
to maintain bid quotes
Clearing Participants
Default Fund (additional
market risk coverage in
case of stress)
Financial
resources of
the clearing
participants
NCC’s fund (additional market risk
coverage in case of stress)
Default fund to cover blank limits of Clearing Participants
Initial Margin and Variation Margin
for Clearing Participants
Financial
resources of
the clearing
organization
Defaulter’s own default fund contribution
Initial Margin and Variation Margin
for Clearing Participants
Requirements to clearing participants
Requirements to clearing participants
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
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 : Clearing House - Central Counterparty
for MICEX-RTS Markets
NCC is a Member of European Association of CCP Clearing Houses (EACH)
and Global Association of Central Counterparties – CCP12
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 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.
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
NCC – liquidity manager for MICEX-RTS Group companies
MANAGING FUNDS (as of 01/03/2012)
Liquidity sources
RUB,
Bio
USD, Bio
EUR, Bio
Total,
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
participants
93,9
Total
129,8
3,24
2,11
0,33
7,05
Main issues of NCC ALM significantly reduce
credit and market risks
Applied financial instruments:
term interbank deposits
Requirements to the Counterparty Credit rating
Russian counterparties
currency SWAPs
not less
than
«Ba3»
not less than «BB-»
Bonds
direct & reverse Repo
S&P
Moody’s
Fitch
Non-resident counterparties
not less than «А»
not less
than
«А2»
S&P
Moody’s
Fitch
Tenor Limits
Portfolio max duration
Bond Repo transactions
FX SWAP transactions
Terms interbank deposits
Government Bonds
Sub-sovereign and corporate Bonds
1,5 year
up to 1/2 year
up to 1/2 year
Own capital use
Clearing funds (client`s
accounts) use
up to 1 year
no limitation
up to 5 years
up to 1/2 year
up to 1,5 year
up to 1,5 year
NCC : Clearing House - Central Counterparty
for MICEX-RTS Markets
Contacts:
CJSC JSCB National Clearing Centre
Our address: 13 Bolshoy Kislovsky Lane,
Moscow, 125009, Russia
Phone: +7 (495) 782 97 94
E-mail: [email protected]
http://www.nkcbank.ru