Moscow Exchange to introduce collateral for stress

NCC Clearing Bank, part of Moscow Exchange Group, plans to introduce collateral for stress as an additional layer of its central counterparty (CCP) safeguard structure. This move will facilitate the further development of risk management and clearing systems, and bring the CCP's operations in line with international best practices. Collateral for stress will be set based on the risk of clearing firms' positions that are not covered by their individual clearing collateral, or by existing collective funds and NCC dedicated capital. 

The first calculation of collateral for stress will be on 28 June 2016. After this, clearing firms exceeding the established limit (RUB 500,000) will receive a margin call, to be fulfilled within five working days. Firms failing to meet this deadline (5 July 2016) will receive a margin call to be fulfilled in accordance with the Clearing Rules.

Collateral for stress will apply on the FX, Equity & Bond and Derivatives Markets. It will be recorded as a part of firms' individual clearing collateral used to ensure settlement of trades without full collateral required.

Collateral for stress is the difference between a clearing firm's potential losses under the stress scenario and funds to be used in the event of default by such clearing firm as set out in the Clearing Rules, i.e. its individual clearing collateral, contribution to the guarantee fund, NCC dedicated capital and contributions of non-defaulting firms to the guarantee fund.   

RUB, EUR, USD and OFZs will be acceptable as collateral for stress. Collateral for stress in RUB and foreign currency will earn interest at a rate set by NCC Clearing Bank. Collateral requirements will be reviewed weekly.

For further information, please contact the Public Relations Department at (495) 363-3232.