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

2. Main Principles of the Risk Management System
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. 2

3. Concentration limits 3 Collateral requirement Position size
Standard level
Increased level
Prohibitive level
Limit 1
Limit 2
Position size
Concentration limits:
applied to consider the concentration risk associated with positions.
are determined for market and interest rate risks (3 levels). 3

4. Calculated repo rate risk
Risk parameters
Term
Repo trade price
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).
One day
Calculated repo rate risk
Lower Limit
Calculated price
Upper Limit
Security price 4

5. Time Table for the Risk Parameters Calculation
Number of changes is restricted
as per the FFMS’s regulatory act
(concerning trading suspension
Possible change in risk parameters
Price
Upper Limit
Upper Limit
After hours trading
Global markets
News
Calculated Price
Calculated price
Lower Limit
Lower Limit
Time
10:00
19:00
23:50
10:00
Calculation of
risk parameters
for the next day 5

6. Time Table for the Risk Parameters Calculation
Calculation of
risk parameters
for the next day
Public Holiday
in the Russian Federation
Changes in risk parameters
are possible
(reduction of collateral requirements)
Monday
Tuesday
Wednesday
Thursday
Friday
Time
10:00
10:00
10:00
10:00
10:00 6

7. Life Circle of a Trade 7 Trading day on 21.11.12
Security’s risk parameters:
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
Parameters of the trade:
Settlement date: T+2 ( )
Direction: sell
Number of securities: 10
Price: RUB10 per security
Interest rate risk and the concentration limits are not included in calculation of collateral (the Single limit) in this example for clarity
Clearing member’s positions after the trade:
Securities [units]
Cash [RUB]
Obligations (T+2)
-10
+100
Collateral 26
Net position
+126
Single limit
-10*12+126=6 7

8. Life Circle of a Trade 8 Trading day on 22.11.12 (10:00)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
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.
Clearing member’s positions:
Securities [units]
Cash [RUB]
Obligations (T+2)
-10
+100
Collateral 26
Net position
+126
Single limit
-10*13+126=-4 8

9. Life Circle of a Trade 9 Trading day on 22.11.12 (17:30)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
Parameters of the trade to be closed out mandatory:
Settlement date: T+2 ( )
Direction: buy
Number of securities: 5
Price: 12 RUB/security
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.
Clearing member’s positions after the trade:
Securities [units]
Cash [RUB]
Obligations (T+2) +5
-60
Obligations (T+1)
-10
+100
Collateral 26
Net position -5
+66
Single limit
-5*13+66=1 9

10. Life Circle of a Trade 10 Trading day on 23.11.12 (17:00)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
Repo trade parameters:
Term: one day
Direction: buy/sell
Number of securities: 10
Haircut: RUB2, Price: -0.2 RUB/security
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.
Clearing member’s positions after the trade:
Securities [units]
Cash [RUB]
Obligations (T+2)
+5-10=-5
-60+(10*90)-(10*0,2)=28
Obligations (T+0)
-10+10=0
+100-(10*9)=+10
Collateral 26
Net position -5
+64
Single limit
-5*13+64=-1 10

11. Life Circle of a Trade 11 Trading day on 23.11.12 (17:00)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
The obligations termination procedure resulted in that RUB10 were credited to the cash account of the Clearing member,
as:
on it sold 10 securities for RUB10 each,
on it bought 10 securities for RUB9 each.
Clearing member’s position:
Securities [units]
Cash [RUB]
Obligations (T+2) -5
+28
Obligations (T+1)
Collateral 36
Net position
+64
Single limit
-5*13+64=-1 11

12. Life Circle of a Trade 12 Trading day on 24.11.12 (10:00)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
The Clearing member transferred 5 securities to the Collateral section
Clearing member’s position:
Securities [units]
Cash [RUB]
Obligations (T+0) -5
+28
Collateral 5 36
Net position
+64
Single limit 64 12

13. Life Circle of a Trade 13 Trading day on 24.11.12 (17:00)
Security’s risk parameters:
Lower limit of the market risk assessment range, [RUB/security]
Calculated price, [RUB/security]
Upper limit of the market risk assessment range, [RUB/security] 9 11 13
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.
Clearing member’s position:
Securities [units]
Cash [RUB]
Obligations (T+0)
Collateral 64
Net position
+64
Single limit 13

14. Zero Coupon Yield Curve
Zero Coupon Yield Curve Base,
effective from
Zero Coupon Yield Curve ZCYC 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
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.
1414

15. 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.
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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. 15

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