Results of NCC’s stress testing, conducted in November 2020, indicate the high level of the financial viability of the organization that performs functions of the central counterparty in circumstances where, due to various political and economic factors as well as a continuing pandemic, an increased volatility of the markets persists for a long period of time.

Financial and regulatory indicators under stress have been assessed during the stress testing, which precisely confirmed NCC’s financial resources’ adequacy and adequacy of the central counterparty’s levels of protection against risks assumed (dedicated capital, guarantee funds etc.)

Extreme but real scenarios have been used. Such approach is in compliance with the requirements of the Bank of Russia and recommendations of the Bank for International Settlements (BIS) and International Organization of Securities Commissions (IOSCO). Default of two largest clearing members (credit risk realization) together with the increase of market volatility (market risk realization) have also been simulated. Simulation results indicate that NCC has enough resources to cover all potential losses in case of simultaneous default of two largest clearing members.

Stress testing results analysis, in general, confirms high NCC reliability as a central counterparty.

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 was RUB 76.13 billion as of 1 October 2020.