Central counterparty safeguard structure

As of 1 November 2015, Moscow Exchange introduced a new model of safeguard structure for the CCP across all of its markets. The new model, in line with best international practices, enhances robustness of the CCP and provides greater transparency with regards to default management procedures. . The amount of pre-committed CCP resources (‘skin-in-the-game’) was increased and a CCP liability limit was introduced so as to maintain a minimum level of regulatory capital in order to ensure service continuity even under extremely adverse market conditions.The protection structure meets international standards for CCP activity.

In March 2015 and February 2016, Fitch Ratings affirmed the ratings of NCC Clearing Bank, two of which – the local-currency long-term issuer default rating (ВВВ) and the viability rating (bbb) – are one notch higher than Russia’s sovereign rating (ВВВ-). The foreign-currency long-term issuer rating and outlook are both at the same level as those of the sovereign (ВВВ-, Negative).

^* subject to the approval by the AGM on 27 April 2016 ^** subject to amendments to the clearing rules

Capital

NCC Clearing Bank’s equity grew 40.5% in 2015 to RUB 54.13 bln as of 1 January 2016 therefore increasing reliability and financial stability of the bank.

Documents

A new version of the clearing rules was put in place in 2015. The general section of the rules is the same for the FX and Precious Metals Market, as well as the Equity & Bond and Derivatives Markets. The clearing rules brought together general rules and procedures for these markets.

NCC Clearing Bank also developed methodological documents to bring its risk management framework into compliance with the requirements of the Bank of Russia and international standards, and to improve internal procedures for capital adequacy assessment. The bank’s risk management framework contains a description of the procedures for risk identification, monitoring and control; measures to mitigate risks; and criteria for applying such measures. The risk and capital management strategy aimes at harmonising the risk management process of banking activity at NCC Clearing Bank and its connection with capital adequacy management. Risk limits (risk appetite) for 2016 have been developed as part of the implementation of the Risk and Capital Management Strategy.

In 2016, NCC Clearing Bank will continue working to integrate clearing on the various markets of Moscow Exchange Group, to develop and improve its risk management system and to make clearing servicing more attractive. The Exchange also plans to take actions for NCC Clearing Bank to acquire the status of a non-banking lending institution following amendments to the Law on Clearing.