Training on sovereign risk credit analysis, October 24

Disclosure of deviations from approved methodologies

In accordance with the requirements of Section 2, Article 12 of the Federal Law of 13 July 2015 N 222-FZ “On the Activities of credit rating agencies in the Russian Federation, On the amendment to Article 76.1 of the Federal Law ‘On the Central Bank of the Russian Federation (Bank of Russia)’ and the invalidation of certain provisions of legal acts of the Russian Federation,” ACRA shall duly document, disclose, and indicate the reasons for every individual deviation from the applied methodologies with relation to its rating actions.

1.Methodology for Credit Ratings Assignment to Banks and Banking Groups Under the National Scale for the Russian Federation

1.1. Assigning credit rating to Bank NCC (JSC), 31.10.2016

Justification for the deviation: According to Clause of the Methodology for Credit Ratings Assignment to Banks and Banking Groups Under the National Scale for the Russian Federation, in its leverage ratio calculation ACRA used Tier I capital (Tier-1), which pertains to the volume of total assets, off-balance sheet liabilities of credit nature, and net off-balance sheet derivatives position. At the same time, in order to ensure the comparability of Tier-1 capital adequacy ratio and leverage ratio, ACRA deducted the volume of assets of the central counterparty from the leverage ratio denominator. This was done in accordance with the regulatory principles used with respect to clearing institutions, although de facto constituted a deviation from the ACRA methodology.

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