II. Risk Management Improvement
- Operational audit of NCC was successfully performed by PwC, international auditing and consulting company, in compliance with Bank of Russia Regulation No 556-P of 11.11.2016 ‘On the Procedure for Conducting Operational Audit by Central Counterparty’ covering such elements of NCC’s activity as risk management of the central counterparty and assessment of CCP’s model accuracy, stress testing of its risks, determining the central counterparty’s dedicated capital and restoring its financial sustainability.
- Models for determining the futures settlement prices and collateral calculation were supplemented with algorithms for accounting of small positive and negative prices for futures contracts.
- In addition to Black-Scholes model for calculation of theoretical prices for options, the Bachelier model was introduced to calculate option prices in case of negative prices of underlying assets.
- NCC’s Supervisory Board approved the Road Map of the Strategy for the Risk Management Framework Development till 2024, including its development for all risk types as well as development of risk management infrastructure and support of business and operational initiatives.
- NCC’s Supervisory Board approved new NCC’s risk appetite, including risk types and their quantitative and qualitative thresholds as well as more extensively studied mechanisms for informing and escalating, monitoring and controlling.
- In accordance with the strategic plans of NCC development, the strategic risk management concept was developed and approved by NCC’s Executive Board. An extended register was formed and the Company’s strategic risks were assessed, the measures for management thereof were determined, the updated indicators for monitoring the above risks type were proposed. NCC’s Supervisory Board approved the updated Strategic Risk Management Policy.
- NCC’s Supervisory Board reviewed and approved NCC’s new Business Continuity Policy and Strategy and NCC’s Business Continuity and Recovery Plan. The fundamental documents were updated based on the assessment of the current state of the business continuity management framework taking into account the external (pandemic) and internal factors. As a part of the updated Business Continuity Policy, the target component of the set of internal guidelines was established and approved. The 2-year road map for organizing and developing the business continuity function was conceived as a part of the updated Strategy materials.
III. Innovative Development of the IT Platform
- SWIFT GPI Financial Institution Transfer Project was implemented for credit institutions, on the basis of which CCP TRS and Programbank.ABS were enhanced for connection of the above systems to GPI Tracker SWIFT, thus improving NCC’s operational reliability, when interfacing with the international financial messaging systems, and enabling the Company to obtain up-to-date information on the processing stages of client payments.
- The business process was built to implement in-house enhancements of Neoflex Reporting system and adapt to the existing scheme of interaction with the corporate product developer. The full cycle of works (for 28 objectives) was completed – from analytics to commissioning. The automated regression testing facility using multiple instances of Neoflex Reporting system was introduced.
- SFD market’s TCAs were developed: new products — OIS on indexes of SOFR/ESTR/SARON, IRS for RusFar3m were added; the model to support new index calibration and assess metrics for trades therewith was enhanced thus increasing the accuracy of calculating risks and required collateral; the default management was automated for holding Liquidation Auctions, hedging and porting positions.