The management of stress collateral will improve the risk profile of the Russian clearing system. By Ksenia Liskina, Relationship Manager, GSS Russia
The first calculation of stress collateral by the National Clearing Centre took place on 28 June 2016. The stress collateral, as part of the individual clearing collateral, is used to ensure the settlement of trades with partial collateral, and will be applied to the FX, securities and derivatives markets.
Following this first calculation, clearing members with stress collateral exceeding the established limit of RUB 500,000 (EUR 7,000), will receive a margin call, which will have to be met within five working days and which can be covered in RUB, EUR, USD and OFZs.
The stress collateral in RUB and foreign currency will earn interest at a rate set by NCC. The collateral requirements will be reviewed weekly. The clearing members that fail to meet the deadline will receive a margin call, which will have to be met in accordance with the Clearing Rules.