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RISK MANAGEMENT – SECURITIES MARKET

The National Clearing Centre (NCC) is responsible for clearing and central counterparty activities. The principal and major goal of NCC is to guarantee financial stability for the financial markets’ segments served by NCC. NCC's comprehensive risk management framework encompasses all relevant aspects associated to its clearing and central counterparty functions.

Securities market risk management system

The NCC introduced a risk management system consisting of:

Ø  Requirements for Clearing Members

Ø  Safeguard Structure

Ø  Default Management procedures

Ø  Read more about Risk Management in the Securities Market

NCC calculates Initial Margin, Stress Collateral and contributions to the Guarantee funds for each clearing member.

Ø  Initial Margin

Ø  Stress Collateral

Ø  Guarantee Fund

Assets accepted as collateral are as RUB, Foreign currencies, Shares, OFZs, Corporate bonds.

Assets accepted as contributions to the Guarantee Fund are as RUB, Foreign currencies, OFZs.

The Single limit calculation

The Single limit is a component of the risk management system aimed to control sufficiency of collateral posted by a Clearing member in order to balance risks associated with a position portfolio run by the Clearing member.

The Single limit shall be computed based on the following:

·         marking to market of the portfolio;

·         market risk associated with the portfolio;

·         interest rate risk associated with the portfolio.

Ø  Initial Margin Calculation