1. NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

2. RUB 10 034 mln (as of 31/12/2011 ~ USD 311,65 mln)
NCC – Profile
Established in October 2005
Shareholders‘ equity structure
CJSC “MICEX-RTS” – 100%
NCC operates as a central counterparty (CCP) for MICEX-RTS
FX market
Securities market
Licenses:
for banking operations;
professional securities market participant’s license for clearing activities;
in progress - achieving the status of a qualifying CCP by the Bank of Russia – lower capital requirements for clearing members on CCP exposures (Basel III).
Core business:
rendering of clearing services to financial market participants;
risk management for MICEX-RTS Group markets;
liquidity management for MICEX-RTS Group companies
Capital:
  RUB mln (as of  31/12/2011 ~ USD 311,65 mln)
Return on Equity: %* (as of 31/12/2011)
* Draft unaudited result
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

3. NCC’s Total Capital Constantly Growing
Efforts to maintain the constant capital growth
strengthen NCC’s financial stability
increase NCC’s reliability as a Central Counterparty
Further Capital increase:
Target – EUR 1,00 Bio Capital
till 2015.
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

4. NCC – Central Counterparty for MICEX-RTS Market
NCC as Central Counterparty:
• open offer principle (all transactions are initially concluded between the clearing participants and NCC)
• guarantee of performance of its obligations to each non-defaulting participant under the transactions concluded (NCC assumes the risks of default on the transactions concluded with it)
• participants only assess the risks of central counterparty (NCC)
lower operational burden on a participant’s back office (netting arrangement)
NCC as central counterparty operation promotes:
higher liquidity in the MICEX-RTS FX and securities markets,
lower transaction costs for market participants,
more efficient use of the market participants’ funds.
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

5. 2011 NCC’s main implementations
FOREIGN EXCHANGE MARKET
New Risk Management System (RMS):
Use of Single Collateral (RUB, EUR, USD in any combination)
Application of adaptive collateral rate (which is subject of fixed tick change, depending on market volatility)
New on-exchange instruments on the basis of the new RMS:
Bank of Russia Dual-Currency Basket
SWAP (Т+1 ,Т+2)
Ongoing improvement of default management:
The additional session of the 1st type (closing the open FX positions held by clearing participants via sell (buy) transactions with NCC)
The additional session of the 2nd type (“carry over” to the next day of open FX positions held by clearing participants via SWAP transactions with NCC)
2-tier access to clearing services (additional service necessary for efficient servicing by the participants of their clients)
SECURITIES MARKET
Performance of clearing operations + development of the CCP institution
Funds withdrawal in the amount of the planned position during trading
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

6. Prospects of development of NCC activities as CCP on the Russian financial market
MICEX-RTS FOREIGN EXCHANGE MARKET
RMB/RUB instruments with partial margin deposit (trading and clearing)
Instruments with maturity of up to 180 days (trading and clearing )
MICEX-RTS SECURITIES MARKET
Instruments with partial margin deposit, including REPO with central counterparty (trading and clearing)
MICEX-RTS FORWARD MARKET
Transfer of clearing functions to NCC from RTS Clearing Center
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

7. NCC - Central Counterparty for MICEX-RTS FX Market Possessing Efficient Risk Management System
Margin posting arrangements and control of collateral adequacy for registered orders
Default Fund of US $18,1 mln (as of 01/03/2012)
Settlements with clearing participants according to PVP principle
Membership criteria and rating system of clearing participants which are used for setting net transaction limits for clearing participants
Setting limits for 1-day rate fluctuations
Arrangements for liquidation of unsecured participant’s positions (via the Additional Session with possible participation of the Bank of Russia)
Efficient liquidity management: ability to raise funds in the interbank money market and access to Bank of Russia liquidity window
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

8. Guarantee Systems. Lines of Defence
Current RMS structure
Planned RMS structure
Financial resources of the clearing organization
NCC’s
total capital
Financial resources of the clearing organization
Partial charging of non-defaulters to cover the amount of expenses incurred by the NCC
NCC’s
total capital
Financial resources of the clearing participants
Financial resources of the clearing participants
CBR’s
and
issuers’
buy-out
Commitments
Clearing Participants Default Fund (additional market risk coverage in case of stress)
Financial resources of the clearing participants
Default funds
Financial resources of the defaulter
Clearing Participants’ commitments
to maintain bid quotes
NCC’s fund (additional market risk coverage in case of stress)
Financial resources of the clearing organization
Defaulter’s own default fund contribution
Default fund to cover blank limits of Clearing Participants
Initial Margin and Variation Margin
for Clearing Participants
Defaulter’s own default fund contribution
Initial Margin and Variation Margin
for Clearing Participants
Requirements to clearing participants
Requirements to clearing participants
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

9. Stress Testing
The regular stress testing enables evaluation of NCC’s readiness in extreme but plausible market conditions and improves the decision-making process of NCC’s management bodies.
Stress testing procedure and use of its results:
Estimating total and Tier 1 capital adequacy for risk covering purposes;
The following risks are covered by stress-tests:
central counterparty risk (losses from the default of participants with largest credit exposures);
liquidity risk;
credit risk;
market risk;
Recommendations to NCC management bodies regarding maintenance of capital adequacy via setting limits on the NCC’s investment, the structure of assets accepted as a collateral and risk parameters of the exchange-based markets;
Recommendations to NCC management bodies regarding capital structure and profit allocation;
Scenario analysis based on historical scenarios (financial crises) and hypothetical scenarios;
Quantitative assessment of risks in extreme but plausible market conditions.
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

10. NCC is a Member of European Association of CCP Clearing Houses (EACH) and Global Association of Central Counterparties – CCP12
Compliance with Recommendations for CCPs
NCC periodically performs self-assessment of its operations for compliance with the Recommendations for Central Counterparties developed by the CPSS/IOSCO.
The self-assessment demonstrates that NCC’s operation as central counterparty on the whole complies with the current international standards
NCC membership in the Associations made it possible:
For the NCC Risk Management System to be recognized consistent with international standards and recommendations of the Committee on Payment and Settlement Systems of the Bank for International Settlements and International Organization of Securities Commissions;
Participation of NCC in development of international standards and rules of CCP functioning, constant self-assessment of the bank and ensuring its consistency with the international standards under development helps to their implementation on the Russian financial market and to building-up of International financial centre in Russia.
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

11. NCC – liquidity manager for MICEX-RTS Group companies
MANAGING FUNDS (as of 01/03/2012)
Liquidity sources
RUB,
Bio
USD, Bio
EUR, Bio
Total,
Bio USD
Capital
10,7 -
0,37
MICEX-RTS Group companies’ funds
10,1
0,35
Funds of MICEX-RTS FX market participants
15,1
2,11
0,33
3.09
Funds of MICEX-RTS securities market participants
93,9
3,24
Total
129,8
7,05

12. Main issues of NCC ALM significantly reduce credit and market risks
Applied financial instruments:
term interbank deposits
currency SWAPs
Bonds
direct & reverse Repo
Requirements to the Counterparty Credit rating
Russian counterparties
not less than «BB-»
S&P
Fitch
not less than «Ba3»
Moody’s
Non-resident counterparties
not less than «А»
not less than «А2»
Tenor Limits
Portfolio max duration
1,5 year
Bond Repo transactions
up to 1/2 year
FX SWAP transactions
Own capital use
Clearing funds (client`s accounts) use
Terms interbank deposits
up to 1 year
Government Bonds
no limitation
up to 1,5 year
Sub-sovereign and corporate Bonds
up to 5 years
NCC : Clearing House - Central Counterparty for MICEX-RTS Markets

13. CJSC JSCB National Clearing Centre
Contacts:
CJSC JSCB National Clearing Centre
Our address: 13 Bolshoy Kislovsky Lane,
Moscow, , Russia
Phone: +7 (495)