Assessing Clearing Participants’ Credit Risks

An assessment of the credit risks and financial stability of Clearing Participants is carried out in order to optimize the operating conditions for various market participants depending on their credit quality. A Clearing Participant’s credit quality is specified by the level of his internal rating calculated by the Clearing Organization.

Principles of Rating Assessment:

• A Clearing Participant’s internal rating is not a product of the Exchange, but rather a way to formally monitor results and assess the credit quality and financial stability of participants;
• A Clearing Participant’s internal rating is specified according to the results of an aggregate assessment of financial and non-financial parameters;
• To assess the credit quality and financial stability of Clearing Participants, the parameters are differentiated according to significance. Each parameter is assessed in terms of a basic score corrected for the coefficient of the parameter’s significance;
• When determining the internal rating, a conservative approach is used: in the event of a situation that prevents the participant’s credit quality from being definitely assessed, the internal rating assigned is that of the assessment of his worst positions;
• Submitting financial reports is a mandatory condition for calculating a Clearing Participant’s internal rating. Participants who have not submitted their financial reports by the deadline established by the Clearing Regulations may be given the lowest internal rating.

A Clearing Participant’s aggregate assessment score is given based on the assessment of the following groups of parameters:

For Lending Organizations:

• “General Financial Stability”
• “Effectiveness”
• “Liquidity”
• “International Rating”
• “Cooperation”

For Non-Lending Organizations:

• “Business Assessment, General Financial Stability”
• “Effectiveness”
• “Liquidity”
• “Cooperation”