INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of August 21, 2017 No. 4501-U

About requirements to the organization by the professional participant of the security market of risk management system, connected with implementation of professional activity in the security market and with implementation of transactions with own property, depending on type of activity and nature of the made transactions

This Instruction based on Item 5 of Article 10.1-1, of Items 3 and 34 of article 42 of the Federal Law of April 22, 1996 No. 39-FZ "About the security market" (The Russian Federation Code, 1996, No. 17, Art. 1918; 2001, No. 33, Art. 3424; 2002, No. 52, Art. 5141; 2004, No. 27, Art. 2711; No. 31, Art. 3225; 2005, No. 11, Art. 900; No. 25, Art. 2426; 2006, No. 1, Art. 5; No. 2, Art. 172; No. 17, Art. 1780; No. 31, Art. 3437; No. 43, Art. 4412; 2007, No. 1, Art. 45; No. 18, Art. 2117; No. 22, Art. 2563; No. 41, Art. 4845; No. 50, Art. 6247; 2008, No. 52, Art. 6221; 2009, No. 1, Art. 28; No. 18, Art. 2154; No. 23, Art. 2770; No. 29, Art. 3642; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 17, Art. 1988; No. 31, Art. 4193; No. 41, Art. 5193; 2011, No. 7, Art. 905; No. 23, Art. 3262; No. 29, Art. 4291; No. 48, Art. 6728; No. 49, Art. 7040; No. 50, Art. 7357; 2012, No. 25, Art. 3269; No. 31, Art. 4334; No. 53, Art. 7607; 2013, No. 26, Art. 3207; No. 30, Art. 4043, Art. 4082, Art. 4084; No. 51, Art. 6699; No. 52, Art. 6985; 2014, No. 30, Art. 4219; 2015, No. 1, Art. 13; No. 14, Art. 2022; No. 27, Art. 4001; No. 29, Art. 4348, Art. 4357; 2016, No. 1, Art. 50, Art. 81; No. 27, Art. 4225; 2017, No. 25, Art. 3592; No. 27, Art. 3925; No. 30; the Art. 4444) (further - the Federal Law of April 22, 1996 No. 39-FZ "About the security market") establishes requirements to the organization by the legal entity performing activities of the professional participant of the security market, according to Chapter 2 of the Federal Law of April 22, 1996 No. 39-FZ "About the security market" (further - the professional participant) risk management systems, connected with implementation of professional activity in the security market and with implementation of transactions with own property (further in case of joint mentioning - risks of the professional participant), depending on type of activity and nature of the made transactions (further - risk management system).

Chapter 1. General provisions

1.1. The professional participant according to requirements of this Instruction shall organize the risk management system containing the monitoring system of risks of the professional participant providing timely bringing necessary information to data of governing bodies of the professional participant.

1.2. The professional participant according to Item 3 of article 42 of the Federal Law of April 22, 1996 No. 39-FZ "About the security market" within the organization of risk management system shall develop internal (internal) the document (documents) of the professional participant establishing (establishing) procedure for the organization and implementation of risk management of the professional participant (further - regulations of risk management of the professional participant) conforming (conforming) requirements provided by Chapter 3 presents of the Instruction.

The professional participant shall provide implementation of the processes and actions provided by Chapter 2 presents of the Instruction concerning risks of the professional participant, including risks of the professional participant recognized by it significant which realization can lead to one of the following effects:

decrease in own means of the professional participant is lower than the size of own means, the Federal Law established for Forex dealer by Item 5 of Article 4.1 of April 22, 1996 No. 39-FZ "About the security market" or the Bank of Russia calculated for other professional participants according to the Instruction of May 11, 2017 No. 4373-U "About requirements to own means of professional participants of the security market", the registered Ministry of Justice of the Russian Federation on June 5, 2017 No. 46943;

approach of the bases for application of measures for the prevention of bankruptcy of the professional participant;

approach of the bases for cancellation of the license of the professional participant, except for cancellations of the license based on the statement of the professional participant of the security market in writing according to the subitem 1 of Item 1 of article 39.1 of the Federal Law of April 22, 1996 No. 39-FZ "About the security market";

impossibility of continuous implementation of further activities of the professional participant.

1.3. The professional participant within the organization of risk management system shall designate the official or create the separate structural division responsible for the organization of risk management system, except for risk of origin at the professional participant of expenses (losses) and (or) other adverse effects as a result of its discrepancy or discrepancy of its activities to requirements of the legislation of the Russian Federation on the security market, basic and internal standards of self-regulatory organization in the field of the financial market which member is the professional participant, the constituent and internal documents of the professional participant connected with implementation of professional activity in the security market and also as a result of application of corrective actions from supervisory authorities (further - regulatory risk).

The organization of identification, analysis, assessment, monitoring and control of regulatory risk, and also management of it shall be performed by the controller (service of internal control) of the professional participant.

The official (separate structural division) responsible for the organization of risk management system shall be accountable to body (bodies) of management of the professional participant.

The official (the head of separate structural division) responsible (responsible) for the organization of risk management system, shall not (shall not) to perform the functions connected with making of transactions and the conclusion of transactions of the professional participant, except for the case established by the paragraph the fifth this Item.

The professional participant performing activities of the client broker according to the Instruction of the Bank of Russia of July 25, 2014 No. 3349-U "About single requirements to rules of implementation of broker activities when making transactions with property of the client of the broker", the registered Ministry of Justice of the Russian Federation on August 25, 2014 No. 33865 (further - the client broker), can according to the decision of such client broker assign functions of the official (separate structural division) responsible for the organization of risk management system, to sole executive body of the client broker in case of ensuring with the client broker prevention, identification of conflict of interest and management of it according to the procedure, provided by regulations of risk management of the professional participant.

1.4. In case of involvement of the third parties for ensuring the processes and actions provided by Chapter 2 presents of the Instruction (except for processes on decrease in risks of the professional participant or their exception, and also process of exchange of information about risks of the professional participant), the professional participant shall provide observance of requirements of this Instruction and the legislation of the Russian Federation on the security market.

1.5. In case of combination by the professional participant of the activities with other types of activity risk management system shall provide risk management of the professional participant, connected with professional activity in the security market, taking into account risks of non-execution of the obligations resulting from such combination of activities (in the presence) to clients of the professional participant to whom services in the security market are rendered (further - clients of the professional participant).

1.6. Risk management system shall provide risk management of the professional participant, and also the risks of clients of the professional participant arising when rendering services in the security market. In case of risk management of the clients the professional participant shall perform actions for their decrease.

If according to the Provision of the Bank of Russia of August 3, 2015 No. 482-P "About single requirements to rules of implementation of activities for management of securities, to procedure for disclosure by the managing director of information, and also the requirements directed to exception of conflict of interest of the managing director" the registered Ministry of Justice of the Russian Federation on December 4, 2015 No. 39968, management of securities and money of the client of the professional participant shall be performed according to investment profile of such client, risk management system of the professional participant shall provide risk management of discrepancy of management of securities and money of the client of the professional participant to investment profile of such client.

1.7. This Instruction does not extend to the professional participants combining the activities with clearing activities, activities for the organization of trade and professional participants, being credit institutions, requirements to which risk management systems are established in the Provision of the Bank of Russia of March 12, 2015 No. 463-P "About the requirements directed to decrease in risks of implementation of clearing activities and requirements to the document (documents) determining (determining) the measure directed to decrease in credit, operational and other risks, including the risks connected with combination of clearing activities with other types of activity", No. registered by the Ministry of Justice of the Russian Federation on April 30, 2015 37079, the order of the Federal Service for Financial Markets of June 25, 2013 No. 13-53/pz-n "About approval of requirements to activities of the organizer of trade regarding the organization of risk management system and procedure of internal control, and also to separate internal documents of the organizer of trade", No. registered by the Ministry of Justice of the Russian Federation on August 22, 2013 29760, and the Instruction of the Bank of Russia of April 15, 2015 No. 3624-U "About requirements to risk management system and the capital of credit institution and banking group", No. registered by the Ministry of Justice of the Russian Federation on May 26, 2015 37388, on December 28, 2015 No. 40325, respectively.

1.8. The professional participant shall provide document storage, conforming to requirements of this Instruction, at least five years from the date of their creation.

Chapter 2. Requirements to the processes and actions performed by the professional participant within the organization of risk management system

2.1. The professional participant within the organization of risk management system shall provide implementation of the following processes on permanent basis:

identification of risks of the professional participant;

analysis and risks assessment of the professional participant;

monitoring and risk control of the professional participant, decrease in risks of the professional participant or their exception;

exchange of information about risks of the professional participant.

2.2. The professional participant within identification of risks of the professional participant shall provide accomplishment of the following events.

2.2.1. Risk identification of the professional participant, including following types of risks of the professional participant:

risk of emergence of expenses (losses) of the professional participant owing to non-execution, untimely or incomplete execution by the debtor of financial liabilities before the professional participant in accordance with the terms of agreements (credit risk);

risk of emergence of the effects attracting including suspension or the termination of rendering services, and also emergence of expenses (losses) of the professional participant caused by failures in operation of program technical means, discrepancy of their functionality to type of activity, nature and scale of the made transactions of the professional participant, violations of procedures of carrying out internal transactions or inefficiency of the specified procedures, incorrect actions or failure to act of workers of the professional participant and (or) impact of external events (operational risk);

risk of emergence of expenses (losses) of the professional participant owing to adverse change of market value of financial instruments or other assets in which the means of such professional participant or means provided to it as ensuring obligation fulfillment (market risk) are invested;

risk of emergence of expenses (losses) of the professional participant owing to ambiguity of interpretation of rules of law (legal risk);

risk of emergence of expenses (losses) of the professional participant owing to insufficiency of property at the disposal of the professional participant for satisfaction of requirements of his creditors for transfer of this property at the scheduled time (liquidity risk);

risk of loss of property of the professional participant or property of his clients owing to actions or failure to act of person responsible for storage of this property and accounting of the rights to this property (custodial risk);

risk of emergence of expenses (losses), including in case of reduction of the income or excess of expenses over the income, as a result of poor control of the organization, emergence of contingencies, losses of mother company or realization of other risks, except the risks specified in paragraphs the second, sixth and seventh this subitem (commercial risk).

2.2.2. Entering of the revealed risks of the professional participant and results of their assessment into the internal document of the professional participant (further - the risk register of the professional participant) if other is not provided by this Item. The risk register of the professional participant shall be reviewed taking into account results of identification of risks of the professional participant for the purpose of updating of the data containing in it.

If by results of identification of risks of the professional participant risks are not acknowledged as the professional participant significant, the action specified in paragraph one of this subitem is performed according to the decision of the official (the head of the separate structural division) responsible for the organization of risk management system.

2.2.3. Carrying out questioning of structural divisions of the professional participant for the purpose of identification of the risk specified in paragraph three of subitem 2.2.1 of this Item (further - self-assessment), and documentary registration of results of self-assessment.

2.3. The professional participant within the analysis and risks assessment of the professional participant shall provide accomplishment of the following events.

2.3.1. Determination of sources and types of the revealed risks of the professional participant.

2.3.2. Impact assessment of risks of the professional participant on its financial stability by means of risk assessment, as a result of which approach or probability of realization and whose extents of influence at the professional participant will arise expenses (losses), and also effects, the stipulated in Item 1.2 presents of the Instruction.

2.3.3. Comparison of results of risks assessment of the professional participant to the criteria of materiality of effects established by the professional participant, including the effects specified in Item 1.2 of this Instruction to which realization of the corresponding risks of the professional participant, for the purpose of recognition by the professional participant of risks significant can lead.

2.3.4. Limiting establishment of the extent of risks (admissible level of risks) of the professional participant, and also the cumulative extreme extent of risks of the professional participant (further - restrictions of risks) according to technique of their determination.

2.4. The professional participant within monitoring and risk control of the professional participant, decrease in risks of the professional participant or their exception shall provide accomplishment of the following events.

2.4.1. Determination of condition of risks of the professional participant, including their compliance to the restrictions of risks set by the professional participant, identification of violations of restrictions of risks.

2.4.2. Ensuring carrying out stress testing of risks (including direct and return stress testing of risks) the professional participants performing broker activities when making separate transactions and transactions for customer account about which broker servicing are provided in agreements the right to use money of the client of the professional participant for the benefit of brokers, and also possibility of the uncovered line item determined according to item 4 of the Instruction of the Bank of Russia of April 18, 2014 No. 3234-U "About single requirements to rules of implementation of broker activities when making separate transactions for customer account", No. registered by the Ministry of Justice of the Russian Federation on June 18, 2014 32792, on February 24, 2016 No. 41207, and (or) possibility of the conclusion at the request of clients of the professional participant of the agreements which are derivative financial instruments (further - the broker).

Results of direct stress testing of risks of the broker shall show as far as the capability of the broker will change to fulfill the obligations in case of non-execution by one or several clients of the broker of the obligations to the broker in case of simultaneous impairment and (or) reduction of the liquidity of their property as being at the disposal at the broker, and acquired according to the transactions made according to orders of these clients.

Results of the return stress testing of risks of the broker shall show critical values of obligations of clients of the broker to the broker which non-execution will entail inability of the broker to answer for the obligations in case of the set impairment and (or) reduction of the liquidity of property of clients of the broker as being at the disposal at the broker, and acquired according to the transactions made according to orders of these clients.

Results of direct and return stress testing of risks of the broker shall be drawn up documentary.

2.4.3. Development and implementation of actions on elimination of the revealed violations of restrictions of risks and (or) other actions concerning risks of the professional participant, including decision making directed to refusal of risk, its decrease, transfer (insurance), acceptance or increase.

The professional participant shall provide concerning the risks of the professional participant included in the risk register of the professional participant, development internal (internal) the document (documents) containing (containing) list actions for decrease in these risks or their exception (further - the actions plan), obligatory bringing the actions plan to data of governing bodies of the professional participant.

2.4.4. Efficiency evaluation of risk management of the professional participant by means of the analysis of effectiveness of the activities for identification of violations of restrictions of risks and to their elimination and (or) on implementation of other actions within decrease in these risks or their exception.

2.4.5. Ensuring control over the implementation of the processes and actions provided by this head, governing bodies of the professional participant.

2.5. The professional participant within exchange of information about risks of the professional participant shall provide accomplishment of the following events.

2.5.1. Exchange of information about risks of the professional participant between divisions of the professional participant, between divisions of the professional participant and governing bodies of the professional participant, including finishing the actions plan and information on its realization, and also information on restrictions of risks and violations of restrictions of risks to data of governing bodies of the professional participant.

2.5.2. Creation and representation for consideration of governing bodies of the professional participant of reports on results of implementation by the professional participant within the organization of risk management system of the processes and actions provided by this Chapter for the purpose of ensuring efficiency of functioning of risk management system, decision making concerning development (enhancement) of risk management system and implementation of the action specified in subitem 2.4.5 of Item 2.4 of this Instruction.

Chapter 3. Requirements to regulations of risk management of the professional participant

3.1. The regulations of risk management of the professional participant developed according to Item 1.2 of this Instruction shall include:

the general provisions determining the purposes of the organization of risk management system;

procedure for recognition by the professional participant of risks significant, and also determination of criteria of materiality of effects, including the effects specified in Item 1.2 of this Instruction to which realization of risks of the professional participant, for the purpose of recognition by the professional participant of risks significant can lead;

technique of determination of restrictions of risks;

procedure for identification of violations of restrictions of risks and procedure of actions for their elimination and (or) implementation of other actions concerning risks of the professional participant within decrease in these risks or their exception, control of their realization;

procedure for the organization and implementation of the processes and actions provided by Chapter 2 presents of the Instruction including decision makings by the professional participant within risk management of the professional participant (by each type of risks, except for regulatory risk);

procedure for maintaining on permanent basis of the risk register of the professional participant with indication of sources of these risks (except for regulatory risk), and also frequency of review of the risk register of the professional participant for the purpose of updating of the data containing in it (except for the case provided by the paragraph the second subitem 2.2.2 of Item 2.2 of this Instruction);

the rights and obligations of governing bodies of the professional participant, heads and employees of structural divisions of the professional participant, including the official (the head of the separate structural division) responsible for the organization of risk management system, within the organization of risk management system of the professional participant;

order of interaction of governing bodies of the professional participant and structural divisions of the professional participant, including establishment of cases and procedure for obligatory informing governing bodies of the professional participant on risks of the professional participant (except for regulatory risk) and bringing to data of governing bodies of the professional participant of the actions plan and information on its realization, and also information on restrictions of risks and violations of restrictions of risks;

procedure, content and frequency (at least once a quarter) submissions of reports on risk management of the professional participant, including reports on results of implementation by the professional participant within the organization of risk management system of the processes and actions provided by Chapter 2 presents of the Instruction, to governing bodies of the professional participant, except for reports on management of regulatory risk;

procedure for risk management of the professional participant in case of involvement of the third parties by the professional participant for implementation of separate processes and actions by them concerning risks of the professional participant within the organization of risk management system and the risks arising in connection with such attraction;

frequency (at least once a year) and procedure for carrying out self-assessment, procedure for registration of its results;

the procedure for carrying out direct and return stress testing of risks of the broker including frequency of carrying out (at least once a year);

the procedure for documentary registration of results of direct and return stress testing of risks of the broker containing the description of scenarios and (or) methodology of their creation, procedure for determination of critical values of obligations of clients to the broker which non-execution will entail inability of the last to answer for the obligations in case of the set impairment and (or) reduction of the liquidity of property of clients as being at the disposal at the broker and acquired according to the transactions made according to orders of these clients;

evaluation procedure of efficiency of functioning of risk management system and decision making concerning development (enhancement) of risk management system;

procedure the client broker of actions for prevention, identification of conflict of interest and management of conflict of interest in case of assignment of functions of the official (separate structural division) responsible for the organization of risk management system, on sole executive body of the client broker;

procedure governing bodies of the professional participant of control over the implementation of the processes and actions provided by Chapter 2 presents of the Instruction.

3.2. The professional participant reviews regulations of risk management of the professional participant as required (at least once a year) for the purpose of updating of the data containing in it and (or) increase in efficiency of functioning of risk management system.

Chapter 4. Final provisions

4.1. This Instruction according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of August 9, 2017 No. 18) become effective after six months after day of its official publication.

 

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