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

NCC : Clearing House - Central Counterparty for MICEX - RTS Markets. NCC – Profile. Licenses: for banking operations; professional securities market participant’s license for clearing activities;

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

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  1. NCC : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  2. NCC – Profile • 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 - CentralCounterpartyfor MICEX-RTS Markets

  3. 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 - CentralCounterpartyfor MICEX-RTS Markets

  4. 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 - CentralCounterpartyfor MICEX-RTS Markets

  5. 2011 NCC’s main implementations • NCC : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  6. Prospects of development of NCC activities as CCP on the Russian financial market • NCC : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  7. 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 $18,1mln (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 withpossible 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 - CentralCounterpartyfor MICEX-RTS Markets

  8. Guarantee Systems. Lines of Defence Current RMS structure Planned RMS structure Financial resources of the clearing organization NCC’s total capital Financial resources of the clearing organization Partial charging of non-defaulters to cover the amount of expenses incurred by the NCC NCC’s total capital Financial resources of the clearing participants Financial resources of the clearing participants CBR’s and issuers’ buy-out Commitments Clearing Participants Default Fund (additional market risk coverage in case of stress) Financial resources of the clearing participants Default funds Financial resources of the defaulter Financial resources of the clearing organization NCC’s fund (additional market risk coverage in case of stress) Clearing Participants’ commitments to maintain bid quotes Defaulter’s own default fund contribution Default fund to cover blank limits of Clearing Participants Initial Margin and Variation Margin for Clearing Participants 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 - CentralCounterpartyfor MICEX-RTS Markets

  9. 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: • Estimating total and Tier 1 capital adequacy for risk covering purposes; • 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; • 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; • Recommendations to NCC management bodies regarding capital structure and profit allocation; • Scenario analysis based on historical scenarios (financial crises) and hypothetical scenarios; • Quantitative assessment of risks in extreme but plausible market conditions. • NCC : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  10. 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 : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  11. NCC – liquidity manager for MICEX-RTS Group companies MANAGING FUNDS (as of 01/03/2012)

  12. Main issues of NCC ALM significantly reduce credit and market risks • NCC : Clearing House - CentralCounterpartyfor MICEX-RTS Markets

  13. Contacts: CJSC JSCB National Clearing Centre Our address: 13 Bolshoy Kislovsky Lane, Moscow, 125009, Russia Phone: +7 (495) 782 97 94 E-mail: info@nkcbank.ru http://www.nkcbank.ru

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