On setting initial value of the smoothing constant α

The Bank of Russia decided to set the initial value of the smoothing constant α equal to one from the publication date of this press release.

The smoothing constant α is used by non-bank credit institutions — central counterparties (hereinafter, NCI-CC) to calculate the numerical value of NCI-CC total funds adequacy ratio stipulated by Bank of Russia Instruction No. 175-I, dated 14 November 2016, ‘On Banking Operations of Non-bank Credit Institutions, Central Counterparties, on the Required Ratios of Non-bank Credit Institutions, Central Counterparties, and the Specifics of Exercising Supervision over Their Compliance by the Bank of Russia’ (hereinafter, N2cc ratio).

N2cc ratio shows the ability of an NCI-CC to fulfil its obligations to bona fide clearing participants in case of a default on obligations by two largest clearing participants in terms of potential losses (uncovered by collateral) caused by the revaluation of their open positions.

The reference to the Press Service is mandatory if you intend to use this material.

30.10.2017 00.00.00