Unified settlement on FORTS and RTS Standard

UNIFIED SETTLEMENT TECHNOLOGY FOR DELIVERY OF FUTURES ON STOCKS ON FORTS AND EQUITIES TRANSACTIONS ON RTS STANDARD MARKET nets the Clearing member obligations on the derivatives and stock markets; reducing operational risks and brokers/clients expenses during delivery execution; decreases collateral on futures contracts prior to delivery; organizes trading in options on the stocks traded in the RTS Standard market; simplifies and systemizes delivery procedure for various underlying assets; reduces risks in arbitrage transactions; raises liquidity of delivery instruments; increases trading effectiveness on FORTS and RTS Standard markets.

MECHANISM OF UNIFIED SETTLEMENT futures contracts transacted on the RTS Standard market on the T+N basis (during evening clearing session of the last trading day for the futures); the last trading day of the futures contract is the same day as the settlement date of futures contracts; a position that opened as a result of a futures contract settlement can be closed on the RTS Standard market, creating a single FORTS and RTS Standard order-book.

MECHANISM OF UNIFIED SETTLEMENT. STAGES OF IMPLEMENTATION STAGE 1 (March 2010) A futures contract is settled by means of concluding a trade with a security on T+1 basis on the RTS Standard market. The futures settlement price equals a settlement price for the security on the RTS Standard which was formed at the close of the evening settlement period (in order to avoid additional settlement procedures for collateral transfer on RTS Standard). STAGE 2 (June 2010) A futures contract is settled by means of concluding a trade with a security on T+5 basis on the RTS Standard market. The futures settlement price equals the price for the last futures trade. STAGE 3 (September 2010 and later on) New dates for the last day of trading and the futures and options settlement date in accordance with the concept of “ideal” procedure for settlement of futures contracts agreed.

PROCEDURE FOR SETTLING CONTRACTS ON FORTS AND RTS STANDARD UNTIL MARCH 2010 Last day of SSF, IF trading Expiry of IFO options 14 Delivery for SSF-10.00 Settlement IF- 18.45 15 Settlement Т+4 SSFO expiry IM 12 FORTS RTS Standard 11 Т+4 Trade with settlement on the 15th 13 T, days

PROCEDURE FOR SETTLING CONTRACTS ON FORTS AND RTS STANDARD STARTING FROM MARCH 2010 Last day of SSF / SSFO trading SSFO expiry SSF settlement Through concluding aТ+5 trade on the RTS Standard Starting from 19.00 positions on SSF can be closed on RTS Standard in the «order-book» Last day of IF/IFO trading IF/IFO expiry 15 Т+4 trade FORTS RTS Standard 19 Settlement of a Т+4 with a security 14 T, days

NON-FULFILLMENT OF DELIVERY OBLIGATIONS UNDER A FUTURES CONTRACT non-fulfillment of delivery obligations under a futures contract means that a Clearing member cannot conclude a T+N trade if it is not admitted to trading on the stock market; in this case a Clearing member is fined the amount equal to a given futures’ IM amount in favour of the Clearing center; a Clearing member’s position in a futures contract is annuled; The Clearing center fulfills futures delivery obligations to the bona fide Clearing member (concludes a trade T+N with it and delivers on N day).

NON-FULFILLMENT OF A T+N TRADE DELIVERY OBLIGATION obligations are transferred to the next Trading day and a fine for the transfer is deducted; The transfer is performed a minimum of 5 times, after that positions are compulsorily closed by the Clearing center (after 18:00 on the sixth Trading day); The Clearing center fulfills delivery obligations for T+N trades to a bona fide Clearing member (delivers on N day).

UNIFIED SETTLEMENT: MARCH 2010 MO N TUE WE D THU FR SAT SU N 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31   March 10 – expiry date for options on futures contracts on equities; March12 – expiry date for options on RTS Index and RTS Standard Index futures; March12 – settlement date for futures on equities and RTS Index (RTS Standard Index) futures contracts; March 15 – delivery date for equities in positions on RTS Standard received during futures settlement (at 10:00).

UNIFIED SETTLEMENT: JUNE 2010 MO N TU E WE D TH U FRI SAT SU N   1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 June 9 – expiry date for options on futures on equities; June 9 – settlement date for futures on equities; June 11 – expiry date for options on RTS Index (RTS Standard Index) futures contracts; June 11 – settlement date for RTS Index (RTS Standard Index) futures contracts; June 17 – delivery date for equities on RTS Standard received during futures settlement (at 10:00).

UNIFIED SETTLEMENT: SEPTEMBER 2010 AND LATER ON MON TUE WED THU FRI SAT SUN   1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 September 14 – expiry date for options on futures on equities; September 14 – settlement date for futures on equities; September 15 – expiry date for options on RTS Index (RTS Standard Index) futures contracts; September 15 – settlement date for RTS Index (RTS Standard Index) futures contracts; September 21 – delivery date for equities on RTS Standard received during futures settlement (at 10:00).

raises the liquidity on FORTS and RTS Standard. CONCLUSION Unified settlement technology and optimization of forming rules regarding the last trading days and settlement dates for derivatives contracts: makes the strategies used for trading on FORTS and RTS Standard more effective; raises the liquidity on FORTS and RTS Standard.

Thank you for your attention! “Russian Trading System” Stock Exchange 38 Dolgorukovskaya Str, Bld 1 127006, Moscow, Russia Tel 007 495 7059031 www.rts.ru