The credit rating of Central Counterparty “SPB Clearing” (Joint-Stock Company) (hereinafter, SPB Clearing, or the Organization) is based on its adequate business profile, strong liquidity and capital adequacy positions, and satisfactory risk profile.
The rating outlook has been changed to Stable to reflect ACRA’s expectations that the current assessment of the business profile will be maintained in the future due to the Organization maintaining current business volumes and implementing plans to enter new markets.
Since October 1, 2020, SPB Clearing has held the status of a non-banking financial institution — a central counterparty — on the basis of a banking license from the Bank of Russia, and carries out clearing for transactions performed on the trading platform of PJSC "SPB Exchange".
KEY ASSESSMENT FACTORS
The adequate business profile assessment (bbb+) is primarily based on SPB Clearing’s exclusive role as the clearing organization and central counterparty that implements clearing for transactions conducted on the trading platform of PJSC "SPB Exchange". At the same time, the bulk of PJSC "SPB Exchange" operations comes from transactions involving securities of foreign issuers, the trading dynamics of which have demonstrated a multiple decrease compared to the first quarter of last year due to both the limitation of external market infrastructure and the introduction of trading rules for unqualified investors. However, PJSC "SPB Exchange" has recorded slight growth in terms of the number of listed instruments over the past 12 months (more than 2,000 stocks, depositary receipts, and ETFs), including by launching trading in Chinese and Hong Kong securities with a primary listing on the Hong Kong Stock Exchange. In addition, PJSC "SPB Exchange" plans to launch a derivatives market and increase the number of traded instruments from friendly countries.
The business profile of SPB Clearing is characterized by high, but declining concentration of operating income, which is caused by the unique business model for providing clearing services.
ACRA notes the difficulty implementing PJSC "SPB Exchange" previous plans for further increasing its market share of foreign securities because of the macroeconomic situation, which may continue to have a negative impact on the implementation of PJSC "SPB Exchange" strategy. At the same time, the quality of the Organization’s corporate governance is sufficiently high for it to carry out the strategy, and the Organization has plans to further expand the geography of its franchise.
Strong capital adequacy. The Agency notes the high level of capital adequacy of the central counterparty (N1cc), which has averaged considerably more than the minimum permissible regulatory level over the past 12 months. This allows the Organization to ensure a margin of coverage for risks associated with central counterparty activities, as well as the risks of potential impairment of its balance sheet assets. The assessment of this factor continues to be supported by the high profitability indicator averaged by ACRA for the period since 2020, together with a low CTI ratio. However, the Agency notes that SPB Clearing’s profitability decreased in 2022 and the likelihood of this trend continuing in the medium term, given the ongoing contraction in business volumes and the challenging operating environment.
ACRA positively assesses the results of stress testing of regulatory capital adequacy, which takes place monthly as part of the procedure to stress test the central counterparty’s risks.
Satisfactory risk profile. The Organization’s counterparty risk is minimized by eligibility requirements for clearing members, and flexible risk parameters and requirements for depositing funds for individual and collective clearing collateral. The Organization uses a cascading mechanism of the central counterparty’s protection levels in the event of default of clearing members. ACRA assesses quality of risk management as satisfactory and consistent with the chosen area of development and scale of the Organization’s activities.
SPB Clearing’s risk profile assessment is limited by the concentration on receivables from a single group of counterparties, as well as the exposure to operational risk inherent to this type of activity.
The liquidity position is assessed as strong due to the specifics of the Organization’s activities. Over the past six months, the averaged value of the liquidity ratio of the central counterparty (N4cc), which reflects the ability to cover potential losses due to highly liquid resources of the central counterparty in the event of default by the two largest clearing participants in terms of net obligations, was significantly lower than the established maximum allowable level of 100%.
KEY ASSUMPTIONS
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SPB Clearing retaining its status as the clearing organization for the central counterparty;
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No significant financial obligations (debt).
potential outlook or rating change factors
The Stable outlook assumes that the rating will highly likely remain unchanged within the 12 to 18-month horizon.
A positive rating action may be prompted by:
- Steady trend towards the recovery of trading volumes, expansion of key areas of activity or geography of presence.
A negative rating action may be prompted by:
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Significant decline in trading volumes amid regulatory and/or infrastructure restrictions;
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Significant decline in the Organization’s capital adequacy and/or profitability;
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Significant deterioration in liquidity position due to a reduction in the size of the comfortable margin of liquidity or deterioration in the credit quality of highly liquidity assets on the Organization’s balance sheet;
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Major losses due to materialization of operational risks.
RATING COMPONENTS
Standalone creditworthiness assessment (SCA): а+.
Adjustments: none.
Support: none.
issue ratings
No outstanding issues have been rated.
regulatory disclosure
The credit rating was assigned under the national scale for the Russian Federation 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 Central Counterparty “SPB Clearing” (Joint-Stock Company) was published by ACRA for the first time on November 16, 2021. The credit rating and its outlook are expected to be revised within one year following the publication date of this press release.
The credit rating was assigned based on data provided by Central Counterparty “SPB Clearing” (Joint-Stock Company), information from publicly available sources, and ACRA’s own databases. The rating analysis was performed using the IFRS financial statements of Central Counterparty “SPB Clearing” (Joint-Stock Company) and the financial statements of Central Counterparty “SPB Clearing” (Joint-Stock Company) drawn up in compliance with Bank of Russia Ordinance No. 4927-U dated October 8, 2018. The credit rating is solicited and Central Counterparty “SPB Clearing” (Joint-Stock Company) participated in its assignment.
In assigning the credit rating, ACRA used only information, the quality and reliability of which were, in ACRA’s opinion, appropriate and sufficient to apply the methodologies.
ACRA provided no additional services to Central Counterparty “SPB Clearing” (Joint-Stock Company). No conflicts of interest were discovered in the course of credit rating assignment.
