1. Risk balancing (netting) between the derivatives and FX markets

2. 2 Start date: 2 June 2014 What will be offered? The service for redistributing the risk between open derivatives market positions and unfulfilled FX market obligations. The service will work for currency pairs EUR/RUB and USD/RUB across all instruments (futures, options, forwards and spot). Risk forwarding instruments: supporting instruments EURRUB_RSK and USDRUB_RSK (not de jure trading instruments). Benefits for members: less collateral is required as a result of counter positions netting. To use the service, members should issue a special instruction to NCC to tie the brokerage firm and relevant FX market settlement code.

3. How to use 3  Enter a non-anonymous order in the instrument (EURRUB_RSK or USDRUB_RSK) in the SPECTRA trading and clearing system. The order must contain volume and the broker code in the field “Counterparty”.  After a non anonymous order is entered, two orders in the risk transfer instrument with opposite directions are generated automatically (after the collateral sufficiency check), on the derivatives and FX markets, respectively.  Instruments EURRUB_RSK and USDRUB_RSK are similar to TOM instruments in terms of risk parameters. Thus,  Collateral sufficiency is checked by recalculating the Single limit on the full netting basis, in the FX market trading and clearing system;  Collateral in the SPECTRA trading and clearing system is taken for the larger deal leg (half netting). During the clearing session, the risk forwarding instruments are recorded at the current central rate, with no variation margin or collateral deposits required. Note: A position arising from such a transaction is open ended; it may be closed out by making a counter transaction in the same risk forwarding instrument.

4. Margin netting 4 Member’s position - 1000 Member’s position + 1000 Risk balancing The Single limit change (full netting) Derivatives market trading member initial margin +1000*USDRUB_RSK FX market trading member initial margin -1000*USDRUB_RSK = = Initial margin per the larger deal leg (half netting)

5. 5 Example. Collateral calculation SpectraASTS Before 2 June 2014 Position-1*Si-6.14+1*USDRUB_TOM IMRUB 1,264RUB 1,722.5 TOTAL: IM = 1,264+1,722.5= RUB 3,019.5 After 2 June 2014 (a transaction in USDRUB_RSK is applied) Position-1*Si-6.14 +1,000*USDRUB_RSK +1*USDRUB_TOM -1,000*USDRUB_RSK IMRUB 1,722.5RUB 0 ** TOTAL: IM = RUB 1,722.5 **the Single limit includes only the interest rate risk (after the transaction in the risk transfer instrument). The Single limit value is very small due to full netting of USDRUB_TOM and USDRUB_RSK instruments. Note: positions in the instruments USDRUB_RSK or EURRUB_RSK are not closed automatically at closing out of relevant position in the futures or TOM instrument; such positions are closed out by making a counter deal in the same risk transfer instrument.

6. Contacts: FX Market Marina Astreina Phone: +7 495 363-32-32, ext. 26124 Email: marina.astreina@moex.commarina.astreina@moex.com Derivatives market Irina Bukharina Phone: +7 495 363-32-32, ext. 26062 Email: irina.bukharina@moex.comirina.bukharina@moex.com Thank you