In a press-release issued October  25,2018  Analytical Credit Rating Agency (hereinafter – ACRA)   stated that it affirmed  the credit rating of CCP NCC (hereinafter – NCC, or the Organization) at AAA(RU), outlook Stable.  

As it is said in the press-release, the credit rating of CCP NCC is based on its strong and stable business profile, exceptional liquidity position and high capital adequacy, with the latter compensating for the risk profile. NCC is a systemically important central counterparty according to the methodology of the Bank of Russia.

As a subsidiary of Moscow Exchange Group, NCC performs functions of a clearing organization and central counterparty on the Russian financial market. Since the end of 2017, NCC has been operating as a non-bank credit institution – central counterparty.

Key rating assessment factors

Strong business profile, which is reflected in NCC’s exclusive role as a clearing organization and central counterparty ensuring the majority of transactions in the key segments of the Russian financial market. ACRA notes high corporate governance and risk management standards implemented at the Organization enabling it to perform activities with the minimum accepted risk relative to the scope of transactions.

High capital adequacy: capital adequacy ratio of central counterparty (N1cc) amounted to 141.8% as of September 1, 2018. This allows to cover risks associated with the functions of central counterparty, as well as risks of potential impairment of NCC’s own balance sheet assets. The factor assessment is supported by the profitability indicator (33.8% at the end of 2017) calculated by ACRA coupled with a low operating expenses to operating income ratio (5.5% over the last three years).

Counterparty risk of NCC is mitigated by virtue of rigid admission criteria for participants and strict margining policy (with prompt marked-to-market reevaluations). The structure of central counterparty protection levels combined with a set of measures to be taken in case of default of clearing participants, both provided by the Organization, have a positive impact on ACRA’s assessment of NCC’s risk profile.

The assessment of NCC’s risk profile is constrained by a significant amount of assets exposed to market risk (over 300% of core capital), as well as by the operational risk which occurred in 2018.

Liquidity position is assessed as strong given the specifics of NCC’s operations. Liquidity ratio of central counterparty (N4cc) significantly exceeds the established minimum.

Key assumptions

  • NCC retains the role of a systemically important clearing organization and central counterparty in Russia;
  • No material financial obligations (debt);
  • Excessive liquidity position is maintained;
  • Use of NCC's resources for supporting other companies within Moscow Exchange Group is not expected.

Potential outlook or rating change factors

The Stable outlook assumes that the rating will most likely stay unchanged within the
12 to 18-month horizon.

Regulatory disclosure

The credit rating has been assigned under the national scale for the Russian Federation and is based on the Methodology for Credit Ratings Assignment to Banks and Bank Groups Under the National Scale for the Russian Federation, and the Key Concepts Used by the Analytical Credit Rating Agency Within the Scope of Its Rating Activities.

The credit rating of CCP NCC was first published by ACRA on November 1, 2016. The credit rating and its outlook are expected to be revised within one year following the rating action date (October 23, 2018).

The assigned credit rating is based on the data provided by CCP NCC, information from publicly available sources, as well as ACRA’s own databases. The credit rating is solicited and CCP NCC participated in its assignment.

No material discrepancies between the provided data and the data officially disclosed by CCP NCC in its financial report have been discovered.

ACRA provided additional services to CCP NCC. No conflicts of interest were discovered in the course of credit rating assignment.