Central Counterparty National Clearing Centre (NCC) has launched the core unit of MAAPC, Model for Adaptive Anti-Pro-Cyclicality, designed for automatic assessment of current and prediction of upcoming market volatility.
Rinat Kirdan, NCC’s Chief Risk Officer, commenting on the event, noted that the Model is built to provide early warning signals of material changes in volatility of the various asset classes accepted as collateral by NCC. ‘We believe that these signals will provide clearing members with additional time to respond in a timely manner to changes in NCC’s margin levels. The introduction of MAAPC is NCC’s solution for a systemic problem of margining models’ procyclicality at central counterparties, which has further exacerbated during the pandemic’.
NCC intends to employ MAAPC to enhance its indicative risk rate approach, which, in turn, will help to strengthen risk protection of clearing members and especially individual investors, the number of whom grew dramatically in recent years.
Notes for editors:
Central Counterparty National Clearing Center (CCP NCC), part of Moscow Exchange Group, was established in May 2006. It operates as a clearing house and central counterparty on the Russian financial market. The Bank of Russia has assigned CCP NCC the status of a qualifying central counterparty and recognized it as the systemically important central counterparty. The primary function of CCP NCC is to ensure stability of the financial market in its authority using innovative risk management which meets international standards and provide participants with effective clearing services. The company’s equity capital amounted to RUB 74,32 billion as of September 1, 2021.