Repo with the CCP (Risk Management System) December 04, 2012 Moscow Sergey Gorbachenko Head of Clearing CJSC JSCB National Clearing Centre

Repo with the CCP Repo with the CCP (Risk Management System)(Risk Management System)

December 04, 2012Moscow

Sergey Gorbachenko Head of Clearing

CJSC JSCB National Clearing Centre

Main Principles of the Risk Management System

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Collateral needed to cover a Clearing member’s positions (the Single limit) is estimated based on the online evaluation of market and interest rate risks as well as marking to market of such positions.

The worst alternative, i.e. that one with the lowest level of position coverage is chosen taking into account entered orders.

Assessment ranges for market and interest rate risks for each security is computed based on historical simulation with exponential weighting.

In order to consider the concentration risk 3 levels of market and interest rate risks corresponding with increased collateral requirement for increasing position are applied.

Concentration limits

3

LimitLimit 1 1 Position sizePosition size

Collateral requirementCollateral requirement

Concentration limits: applied to consider the concentration risk associated with positions. are determined for market and interest rate risks (3 levels).

LimitLimit 2 2

Prohibitive levelProhibitive levelIncreased levelIncreased levelStandard levelStandard level

Risk parameters

4

TermTerm

Security Security priceprice

Repo trade priceRepo trade price

Calculated Calculated priceprice

Lower Lower LimitLimit

Upper Upper LimitLimit

Calculated Calculated repo rate risk repo rate risk

One One dayday

Risk parameters: the calculated price (of shares and bonds that involved into trades with partial collateral):• for shares – closing price on the spot market;• for bonds – the comparative method (static Z-spread). the calculated repo rate (the weighted average repo rate or the Repo rate indicator). Market risk rate and interest risk rate (method of adaptive rates with predefined level for confidence probability and estimation horizon).Upper and Lower limits of the Assessment range for market and interest rate risks (using the relevant Risk Rates).

Time Table for the Risk Parameters Calculation

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Calculated priceCalculated price

TimeTime

PricePrice

Upper LimitUpper Limit

Lower LimitLower Limit

10:0010:00 19:0019:00 23:5023:50 10:0010:00

Number of changes is restricted Number of changes is restricted as per the FFMS’s regulatory act as per the FFMS’s regulatory act

((concerning trading suspensionconcerning trading suspension

Calculation of Calculation of risk parametersrisk parameters for the next dayfor the next day

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Upper LimitUpper Limit

Lower LimitLower Limit

Possible change in risk parametersPossible change in risk parameters

Time Table for the Risk Parameters Calculation

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TimeTime

Calculation of Calculation of risk parametersrisk parameters for the next dayfor the next day

10:0010:00 10:0010:00 10:0010:00 10:0010:00 10:0010:00

MondayMonday TuesdayTuesday WednesdayWednesday ThursdayThursday FridayFriday

Public Holiday Public Holiday in the Russian in the Russian

FederationFederation

Changes in risk parametersChanges in risk parameters are possibleare possible

((reduction of collateral requirementsreduction of collateral requirements))

Life Circle of a Trade

7

Lower limit of the market risk assessment range, [RUB/security]

Calculated price, [RUB/security]

Upper limit of the market risk assessment range, [RUB/security]

8 10 12

Security’s risk parameters:

Securities [units] Cash [RUB]

Obligations (T+2) -10 +100

Collateral 0 26

Net position -10 +126

Single limit -10*12+126=6

Parameters of the trade:Settlement date: T+2 (23.11.12)Direction: sellNumber of securities: 10Price: RUB10 per security

Trading day on 21.11.12

Clearing member’s positions after the trade:

Interest rate risk and the concentration limits are not included in calculation of collateral (the Single limit) in this example for clarity


8




9 11 13




Collateral 0 26

Net position -10 +126

Single limit -10*13+126=-4

Trading day on 22.11.12 (10:00)

Clearing member’s positions:

The Single limit of the Clearing member is < 0. Collateral is insufficient.At 10:00 the Margin call containing the demand to recover position coverage by 17:30 is send to the Clearing member.


9




9 11 13



Obligations (T+2) +5 -60


Collateral 0 26

Net position -5 +66

Single limit -5*13+66=1

Trading day on 22.11.12 (17:30)


The Margin call has not been executed by the Clearing member. Market risk associated with the Clearing member’s positions are to be satisfied mandatory.After the mandatory satisfaction the Single limit is >0 and collateral is sufficient.

Parameters of the trade to be closed out mandatory:Settlement date: T+2 (24.11.12)Direction: buyNumber of securities: 5Price: 12 RUB/security


10




9 11 13



Obligations (T+2) +5-10=-5 -60+(10*90)-(10*0,2)=28

Obligations (T+0) -10+10=0 +100-(10*9)=+10

Collateral 0 26

Net position -5 +64


Trading day on 23.11.12 (17:00)


There is an insufficient amount of assets for settling matured trade (there is a shortage of securities). A repo trade under which the obligations are rolled over to the next day should be executed with the Clearing member.

Repo trade parameters:Term: one dayDirection: buy/sellNumber of securities: 10Haircut: RUB2, Price: -0.2 RUB/security


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9 11 13




Obligations (T+1) 0 0

Collateral 0 36

Net position -5 +64


Trading day on 23.11.12 (17:00)

Clearing member’s position:

The obligations termination procedure resulted in that RUB10 were credited to the cash account of the Clearing member,as:on 21.11.12 it sold 10 securities for RUB10 each,on 23.11.12 it bought 10 securities for RUB9 each.


12




9 11 13




Collateral 5 36

Net position 0 +64

Single limit 64

Trading day on 24.11.12 (10:00)


The Clearing member transferred 5 securities to the Collateral section


13




9 11 13



Obligations (T+0) 0 0

Collateral 0 64

Net position 0 +64

Single limit 64

Trading day on 24.11.12 (17:00)


The obligations termination procedure resulted in that 5 securities were debited from the Collateral section of the Clearing member while RUB28 were credited to its cash account.

Zero Coupon Yield Curve

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No Bond State Registration Number

1 OFZ 25065 25065RMFS

2 OFZ 25068 25068RMFS

3 OFZ 25071 25071RMFS

4 OFZ 25072 25072RMFS

5 OFZ 25075 25075RMFS

6 OFZ 25076 25076RMFS

7 OFZ 25077 25077RMFS

8 OFZ 25078 25078RMFS

9 OFZ 25079 25079RMFS

10 OFZ 25080 25080RMFS

11 OFZ 26202 26202RMFS

12 OFZ 26203 26203RMFS

13 OFZ 26204 26204RMFS

14 OFZ 26205 26205RMFS

15 OFZ 26206 26206RMFS

16 OFZ 26207 26207RMFS

17 OFZ 26208 26208RMFS

18 OFZ 46017 46017RMFS

19 OFZ 46018 46018RMFS

20 OFZ 46020 46020RMFS

21 OFZ 46021 46021RMFS

Zero Coupon Yield Curve Base, effective from 17.09.2012

The Zero Coupon Yield Curve (G-curve) calculated by the Moscow Exchange is determined on the basis of trades in government bonds. It used as a benchmark for risk-free borrowing costs on the Russian debt market. The G-curve is a continuous representation of interest rates against a term that is applied to set prices for debt instruments and manage interest rate risks. The G-curve is computed on a real time continuous basis during the trading sessions as trades in bonds included into the curve’s base are executed.

Zero Coupon Yield Curve ZCYC

Disclaimer

This presentation has been prepared and issued by Open Joint Stock Company “Moscow Exchange MICEX-RTS” (the “Company”). Unless otherwise stated, the Company is the source for all data contained in this document. Such data is provided as at the date of this document and is subject to change without notice.

This document does not constitute or form part of, and should not be construed as, an offer or invitation for the sale or subscription of, or a solicitation of any offer to buy or subscribe for, any securities, nor shall it or any part of it or the fact of its distribution form the basis of, or be relied on in connection with, any offer, contract, commitment or investment decision relating thereto, nor does it constitute a recommendation regarding the securities of the Company.

The information in this document has not been independently verified. No representation or warranty, express or implied, is made as to, and no reliance should be placed on, the fairness, accuracy or completeness of the information or opinions contained herein. None of the Company, or any of its subsidiaries or affiliates or any of such person's directors, officers or employees, advisers or other representatives, accepts any liability whatsoever (whether in negligence or otherwise) arising, directly or indirectly, from the use of this document or otherwise arising in connection therewith.

This presentation includes forward-looking statements. All statements other than statements of historical fact included in this presentation, including, without limitation, those regarding our financial position, business strategy, management plans and objectives for future operations are forward-looking statements. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause our actual results, performance, achievements or industry results to be materially different from those expressed or implied by these forward-looking statements. These forward-looking statements are based on numerous assumptions regarding our present and future business strategies and the environment in which we expect to operate in the future. Important factors that could cause our actual results, performance, achievements or industry results to differ materially from those in the forward-looking statements include, among other factors:

•perception of market services offered by the Company and its subsidiaries; •volatility (a) of the Russian economy and the securities market and (b) sectors with a high level of competition that the

Company and its subsidiaries operate; •changes in (a) domestic and international legislation and tax regulation and (b) state policies related to financial markets and

securities markets; •competition increase from new players on the Russian market; •the ability to keep pace with rapid changes in science and technology environment, including the ability to use advanced

features that are popular with the Company's and its subsidiaries' customers; •the ability to maintain continuity of the process of introduction of new competitive products and services, while keeping the

competitiveness; •the ability to attract new customers on the domestic market and in foreign jurisdictions; •the ability to increase the offer of products in foreign jurisdictions. Forward-looking statements speak only as of the date of this presentation and we expressly disclaim any obligation or

undertaking to release any update of, or revisions to, any forward-looking statements in this presentation as a result of any change in our expectations or any change in events, conditions or circumstances on which these forward-looking statements are based.

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THANK YOU FOR YOUR INTEREST IN THANK YOU FOR YOUR INTEREST IN MOSCOW EXCHANGE!MOSCOW EXCHANGE!

Contact:Contact:

Phone:Phone: +7 (495) +7 (495) 363-32-32, 363-32-32, ext. 11ext. 11--9494Email:Email: [email protected] [email protected] WebsiteWebsite:: http://www.nkcbank.com/ http://www.nkcbank.com/

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Repo with the CCP (Risk Management System) December 04, 2012 Moscow Sergey Gorbachenko Head of Clearing CJSC JSCB National Clearing Centre