The credit rating of CCP NCC (hereinafter, NCC) reflects NCC’s strong and sustainable business profile, strong liquidity position, and the current capital adequacy metrics, which partially set off the risk profile assessment. ACRA also takes into account the high assessment of likelihood of external support to NCC. According to the Bank of Russia’s methodology, NCC is a systemically important and qualified central counterparty that acts as a clearing organization in the Russian financial market.
Key assessment factors
The strong and sustainable business profile is associated with NCC’s exclusive role as a clearinghouse and central counterparty that serves the majority of transactions in the key segments of the Russian financial market and guarantees the fulfillment of obligations under them. ACRA positively assesses the high corporate governance and risk management standards at NCC, which enable it to accept the minimum risk relative to the scope of transactions.
The strong capital adequacy assessment reflects the capital adequacy ratio of central counterparty (N1cc = 196.9% as of July 1, 2024), which is much higher than the regulatory threshold. The assessment was not affected by the dividend payout. The Agency also notes that NCC’s profits are high and CTI is low, which indicates NCC’s high operational efficiency.
The counterparty risk is mitigated by NCC by its rigid eligibility criteria applicable to market participants and a strict margining policy that requires 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, have a positive impact on NCC’s risk profile. The Agency also takes a positive view of the pro-active measures taken by NCC to enhance its risk management system in line with the strategy.
The risk profile assessment is constrained by a significant amount of assets exposed to market risks, as well as operational risks caused by the turbulent external environment. The consequences of sanctions restrictions do not affect the risk profile assessment.
The liquidity position is assessed as strong given the specifics of NCC’s operations. The liquidity ratio of central counterparty (N4cc = 0.25% of as July 1, 2024) is significantly below the maximum threshold.
ACRA expects that, in case of a need, the supporting entity is highly likely to provide support to NCC. This conclusion is based on ACRA’s opinion about NCC’s importance and exclusive role in the financial services market. A potential default of NCC poses risks of large monetary losses for many Russian financial and non-financial companies and large-scale consequences for the financial market. ACRA believes that in case of a need, NCC will be promptly provided with external financial support in the form of capital or additional liquidity.
NCC’s standalone creditworthiness is assessed at the highest level, which is largely determined by the effectiveness of NCC and the mechanisms it has implemented to minimize the specific risks it takes, including the sufficiency of funds to cover probable losses.
Key assumptions
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NCC retaining its role of a systemically important clearinghouse and central counterparty.
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The current NCC’s shareholding structure remaining unchanged.
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Maintaining the excess liquidity position.
Potential outlook or rating change factors
The Stable outlook assumes that the rating will highly likely stay unchanged within the 12 to 18-month horizon.
A negative rating action may be prompted by:
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Significant deterioration of the liquidity position resulting from a reduction in the liquidity cushion or decline in the credit quality of highly liquid assets on the balance sheet of NCC;
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Major losses caused by the materialization of market/operational risks.
Rating components
SCA: aaa.
Adjustments: none.
Support: ACRA is of the opinion that, if necessary, the Supporting Entity may provide NCC with extraordinary support in the form of equity or liquidity. Since NCC’s SCA is aaa, the potential influence of the support on the credit rating is not determined.
Issue ratings
No outstanding issues have been rated.
Regulatory disclosure
The credit rating has been 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, the Methodology for Assigning Credit Ratings with External Support, and the Key Concepts Used by Analytical Credit Rating Agency within the Scope of Its Rating Activities.
The credit rating of CCP NCC was published by ACRA for the first time on November 1, 2016. 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 the data provided by CCP NCC, information from publicly available sources, as well as ACRA’s own databases. The rating analysis was performed using the IFRS statements of CCP NCC and the financial statements of CCP NCC drawn up in compliance with the Bank of Russia’s requirements. The credit rating is solicited, and CCP NCC participated in its assignment.
In assigning the credit rating, ACRA used only information, the quality and reliability of which was, in ACRA’s opinion, appropriate and sufficient to apply the methodologies.
ACRA provided additional services CCP NCC. No conflicts of interest were identified in the course of credit rating assignment.
