Accounts details

1. Posting Collateral

Up-to-date information on contributions to the Default Fund can be found on the relevant page.

Since all Settlement Accounts on the Standardised Derivatives market are Unified Pool Settlement Accounts, all assets accepted as collateral for the fulfillment of obligations under partially secured trades on the Securities market are accepted as Collateral on the Unified Pool Settlement Accounts

The list of assets, which Profiles can be transferred to the Standardised Derivatives market can be found on the Unified Collateral Pool page on the NCC website.

The funds being individual clearing collateral / other collateral shall be deposited by the Clearing Member to the clearing bank account / correspondent account of the NCC in relevant currency with obligatory indication of the Settlement Account in the payment purpose.

XXXXX is the Clearing Member Settlement Account

2. Return of Collateral

Guidelines on returning Collateral via SWIFT

Guidelines on returning Collateral via the Clearing terminal and EDI

Request for return is valid the day of submission (on Settlement Days of corresponding currency).

The NCC accepts Requests for return in accordance with the Time Specification.

Examples of filling in Requests for Collateral return in standard txt format:

- Collateral return in Russian Rubles – RURRETURN

- Collateral return in US Dollars – CURRETURN

To conclude Standardised Derivative Contracts the Clearing Member needs a position register opened. The main proprietary position register of the Clearing Member is opened by the NCC upon admission to the Clearing Service. On the basis of the Application for opening of the position register the NCC opens positions registers of the following types:

additional proprietary position register

lient position register

trust management position register

The type of the position register must correspond with the Settlement Account type specified in the Application.

For execution of trades by the Trading Member not coinciding with the Clearing Member, the Clearing Member opens a separate position register for such a Trading Member and specifies the identifier and name of the Trading Member in the Application for registration of the position register.

Several position registers may correspond with one Settlement Account.

To the Settlement Account, registered in the name of the Segregated Client, may correspond only one client position register, opened in the name of such Segregated Client.

NCC accounts for:

- in the position registers:

data on the Standardised Derivative Contracts

data on swap trades / trades of purchase and sale in foreign currency

- in Settlement Accounts:

obligations to pay variation margin, premium, deposit margin, accumulated deposit margin, interest on accumulated deposit margin, amount of initial / final / interim / additional payment, floating / fixed / nominal amount, amount of capitalisation period by Settlement Dates

Liabilities from swap / foreign currency purchase / sale transactions by Settlement Dates

Total Net Obligation / Total Net Claim of the Clearing Member in each currency

Collateral in each currency

Debt in each currency if present

Margin Call if present

To control and manage risks on the Standardised Derivatives market, the following are used:

the estimated value of Standardised Derivative Contracts

limit of fluctuations in the value of Standardised Derivative Contracts

Calculation / change of risk-parameters is carried out by the NCC every Trading Day at the moment of the end of trading.

The calculated value of the Standardised Derivatives Contract at conclusion (change of conditions) of the Standardised Derivatives Contract may not exceed the limit of fluctuations in the value of Standardised Derivative Contracts set by the NCC.

The Clearing Members of the Standardised Derivatives market contribute to the Guarantee Fund and Stress Collateral.

The amount of contribution to the Guarantee Fund of each Clearing Member is RUB10,000,000 (ten million)

For each Settlement Account the NCC calculates the Collateralised Position Level as a difference of the assessment of the Collateral accounted for in the Settlement Account of the Clearing Member and the Collateral Requirement.

Margin Call

A Margin Call arises for the Clearing Member, when the Level of sufficiency of Collateral under a Settlement Account has become less than zero.

A Margin Call arising for the Clearing Member during the clearing session must be settled before 16:00 of the Settlement Day following the day of arising of the Margin Call in the following ways:

deposit of the Collateral

in case of conclusion of the Standardised Derivative Contracts, early termination of the Standardised Derivative Contracts, change of the terms and conditions of the Standardised Derivative Contracts resulting in increase of the Level of sufficiency of Collateral

In case of non-fulfillment of the Margin Call the NCC:

sends to the Exchange a notice to suspend the possibility to submit Orders on such position registers / a notice to withdraw all or part of the Orders

suspends the possibility of submission by the Clearing Member of the Offers / Strategy Offers / deletes all or part of the Offers / Strategy Offers

concludes the closing Standardised Derivative Contracts on the Markets and OTC and / or closing trades of purchase and sale of foreign currency resulting in increase of the Collateralised Position Level. The said Standardised Derivative Contracts / foreign currency purchase and sale transactions are concluded until the Margin Call is terminated

For each OTC Standardised Derivatives Contract the NCC approves the list of subjects of obligations under contracts, which contain:

Standardised Derivative Contracts code

subject of obligations under Standardised Derivative Contracts

subject of obligations to conclude Auction contracts

The NCC, being a party to the OTC Standardised Derivative Contracts, transfers the information on the concluded OTC Standardised Derivative Contracts to the Repository.

The Clearing Members conclude OTC Standardised Derivative Contracts in their own name and at their own expense and in their own name and at the expense of their client.

To conclude the OTC Standardised Derivative Contracts / OTC Standardised Derivative Contracts, the Clearing Member shall submit the Offer / Strategy Offer to the Clearing System.

The NCC shall conclude OTC Standardised Derivative Contracts with the Clearing Members solely for the purposes of clearing.

The Offer / Strategy Offer shall contain:

code of the OTC Standardised Derivative Contracts / Strategy Code

conditions stipulated in the Specification

position register code

Identifier of the Clearing Member - Final Counterparty

The Offers / Strategy Offers simultaneously satisfying the conditions include:

One Code

Identical conditions

coincidence of the Identifier of the Clearing Member sending one Offer / Strategy Offer with the Identifier of the end counterparty

The NCC shall record in the Clearing System the Offers / Strategy Offers submitted by the Clearing Members (in case of compliance with the necessary conditions) until the moment of receipt of the counter Offer / Strategy Offer and assign identification numbers to them.

From the moment of caption in the Clearing System of counter Offers / withdrawal of such Offers is not allowed.

The OTC Standardised Derivative Contracts shall be concluded with each party at the moment of registration by the NCC of the counteroffers / Strategy Offers (acceptance of the offers, the terms and conditions of which are provided in the Offers / Strategy Offers of the Clearing Members-Offerors).

The concluded OTC Standardised Derivatives Contract shall be recorded by the NCC on the position register with the code specified upon submission of the Offer / Strategy Offer.

Standardised Derivative Contracts

Orders for conclusion of Standardised Derivative Contracts shall be submitted by the Trading Members via the Trading System, information on such Orders shall be available to the NCC.

The NCC shall verify the possibility of registration of such Orders (compliance of the settlement value with the fluctuation limit, Level of position security) and in case of counter Orders shall conclude a Standardised Derivatives Contract with each party.

Concluded Standardised Derivative Contracts shall be accounted for on the position register with the code specified at the time of Order submission. Obligations under Standardised Derivative Contracts shall be accounted for in the Settlement Account corresponding to the position register specified at the time of submission of the Order.

Modification of the Standardised Derivatives Contract Terms and Conditions

The terms and conditions of the Standardised Derivatives Contract that may be changed shall be set forth in the Standardised Derivatives Contract Specification. The Clearing Member shall send the Application for modification of the Standardised Derivatives Contract conditions and specify:

the identification number of the Standardised Derivatives Contract

the terms and conditions of the Standardised Derivatives Contract to be changed

The NCC shall register the Agreement on changing terms of the Standardised Derivatives Contract if there is a counter Agreement on changing terms of the Standardised Derivatives Contract meeting the requirements:

Applications are aimed at changing Related Central Counterparty Standardised Derivative Contracts

terms of Standardised Derivative Contracts to be changed, indicated in such applications, are similar

for each application: ID code of a Clearing Member, which forwarded the application, coincides with the ID code of a Clearing Member – Counterparty to the Related Central Counterparty Standardised Derivative Contract

The obligations under the Standardised Derivatives Contract prior to its modification shall be terminated and arise in accordance with the modified terms and conditions.

Revocation of the Application for change of the Standardised Derivatives Contract conditions is possible before the start of the nearest clearing session.

Early Termination of the Standardised Derivative Contracts

If not less than three Settlement Days have passed from the date of conclusion of the Standardised Derivatives Contract, the Clearing Member shall be entitled to submit to the NCC the Application for early termination of the Standardised Derivatives Contract and specify:

the identification number of the Standardised Derivatives Contract

the compensation amounts

The NCC shall register the Agreement on Early Termination of the Standardised Derivatives Contract if there is a counter Application on Early Termination of the Standardised Derivatives Contract that meets the requirements:

Applications are aimed at changing Related Central Counterparty Standardised Derivative Contracts

for each application: ID code of a Clearing Member, which forwarded the application, coincides with the ID code of a Clearing Member – Counterparty to the Related Central Counterparty Standardised Derivative Contract

In case of termination of the Standardised Derivatives Contract, the obligations under such Standardised Derivatives Contract shall be performed during the nearest clearing session. Revocation of the Application for early termination of the Standardised Derivatives Contract is possible before the start of the nearest clearing session.

Change of the Accounting Procedure for the Standardised Derivative Contracts

The Clearing Member has the right to request changes to the accounting procedure for the Standardised Derivative Contracts on the position register on the basis of an application provided that both registers are proprietary or both registers are client registers opened for the same client.

The change of the accounting of the Standardised Derivative Contracts shall be performed by the NCC during the nearest clearing session after the receipt of such an application.

The NCC holds a clearing session daily from 18:00 to 19:20, during which it:

sets risk parameters

records changes of the terms of Standardised Derivative Contracts under position registers on the basis of the Agreements on changing terms of the Standardised Derivative Contract

determines obligations / claims for payment / receipt of variation / deposit margin

on position register early terminates obligations under Standardised Derivative Contracts on the basis of the Participant's applications

determines the obligations under the Standardised Derivative Contracts, the date of fulfillment of which has come, which were not determined at the moment of conclusion

forms the clearing pool, performs fulfillment (termination) of the obligations included in the clearing pool, determines the Total Net Obligation and / or the Total Net Claim in relevant currency for each Settlement Account

performs (terminates) the Total Net Obligations / Total Net Claims and settles the outstanding obligations

calculates the Position Security Level for each Settlement Account

determines the Margin Calls

sends reports on the clearing results

The NCC shall include in the clearing pool:

Debt outstanding at the beginning of the clearing session

obligations under the Standardised Derivative Contracts on payment of the monetary amounts, the due date of which is: variation margin, deposit margin, on return of the accumulated deposit margin, on payment of interest on the accumulated deposit margin, on payment of premium, payment amount, amount of initial / final / interim / additional payment, floating / fixed / nominal amount, amount of capitalisation period

obligations under closing foreign currency purchase and sale transactions, swap transactions and purchase and sale transactions with the Defaulting Participant with the due maturity date

obligations / claims for payment / receipt of payment for conclusion of Auction Contracts

obligations from the Agreements on amendment of terms / early termination of the Standardised Derivatives Contract

obligations to pay commission fees and penalties

Variation Margin

The NCC calculates the variation margin on Standardised Derivatives Exchange Contracts on each Settlement Day from the effective date till the execution date.

Obligations to pay variation margin are irrevocable. No interest shall be accrued on the amount of paid / received variation margin.

When calculating the variation margin on the last Execution Date, the estimated value of the Standardised Derivatives Contract shall be equal to zero.

Deposit Margin

The NCC shall calculate the deposit margin under OTC Standardised Derivative Contracts on each Settlement Day from the effective date to the Settlement Day preceding the execution date.

The accumulated deposit margin in the amount equal to the settlement value of the Standardised Derivatives Contract determined on the previous Settlement Day shall be refunded (paid) in the following cases:

on the last Settlement Date for the fulfillment of obligations arising from Standardised Derivative Contracts to pay cash amounts in accordance with the Specification taking into account specifics, set by the Specification of the relevant Standardised Derivative Contract

on the date of early termination of the Standardised Derivatives Contract

on the date when the currency of the deposit margin payment is changed

in other cases set by the Specification of the relevant Standardised Derivatives Agreement

The NCC shall accrue interest on the accumulated deposit margin on a monthly basis (in the currency in which the deposit margin was calculated and paid on the previous Settlement Day). The Participant may have claims and obligations to pay interest.

Obligations / claims for payment of the initial margin, accumulated initial margin, interest on the accumulated initial margin shall be recorded under the Settlement Account of the Clearing Member corresponding with the position registers where the Standardised Derivative Contracts are recorded.

Interest rates used to calculate the accrued margin interest on a deposit:

The NCC shall fulfill the Total Net Claims of the Clearing Member subject to the fulfillment by the Clearing Member of its Total Net Obligations.

The Total Net Obligation recorded under the Settlement Account of the Clearing Member shall be performed at the expense of the Collateral. If the Collateral in the required currency and amount is insufficient for fulfillment of the Total Net Obligation, the Clearing Member shall be deemed Defaulting.

Actions in Respect of the Defaulting Clearing Members

The NCC shall conclude a swap trade or a trade of purchase and sale in foreign currency with the Defaulting Clearing Member at the clearing session without submission of orders.

The NCC offsets the counter homogeneous Total Net Obligations not secured by execution funds with claims under the specified transactions. If the Total Net Obligation is not terminated as a result of the specified actions, the NCC shall take into account the Debt in the remaining amount and charge a penalty.If the Debt is not repaid by 17:00 of the Settlement Day following the day of arising of the Debt, the NCC shall use the Collateral of the Clearing Member recorded under other Settlement Accounts, as well as the resources of the Guarantee Funds and/or the Collateral for Stress in accordance with the general part of the Clearing Rules (cross-default procedure).

In case of exceeding the number of days of position rollover (2 consecutive Settlement Days) the NCC shall charge a penalty.

NCC Balancing Trades in the Course of the Liquidation Auction

During the liquidation auction the NCC concludes Standardised Derivative Contracts with the Non-Defaulting Clearing Members. The Liquidation Auction shall be held if the following applies:

1. Defaulting Clearing Member
2. Clearing member for which the liquidation netting is carried out
3. Clearing Member in respect of which the NCC has defaulted

in cases of necessity to conclude balancing trades (Standardized Derivative Contracts) if the NCC is unable to conclude Standardised Derivative Contracts on the exchange or OTC markets, or if conclusion of Standardised Derivative Contracts leads to violation of the limitation of the NCC liability for non-fulfillment of obligations to Non-Defaulting Clearing Members.

Auction Contracts shall be concluded in accordance with the Clearing Rules for the Standardised Derivatives market.

Execution of OTC Standardised Derivatives Option Contracts

The Clearing Member – the Buyer under the Option Contract shall send the NCC the Request for Execution under the Option Contract within the terms stipulated in the Specification of the Option Contract. The Request for Execution shall not be subject to revocation.

If the result of all position security level checks is positive, the NCC shall exercise the right to settle all Option Contracts or each Option Contract for which the result of the check was positive.

When the Buyer exercises the right of execution under an Option Contract, the NCC shall send a Request for Execution to the Seller under a Related Standardised Derivatives Contract for such an Option Contract. The Right to Exercise shall be exercised without performing checks.

In the absence of a Standardised Derivatives Related Agreement for an Option Contract under which the NCC is the Buyer, the NCC shall be entitled to send a Performance Request to the Seller.

When exercising the right to fulfillment under the Option Contract, the underlying asset of which is foreign currencies or indices, the NCC shall admit the Performance Obligations under this Option Contract to clearing.

Forms and formats of reports are set in the document ‘Forms and formats of documents and reports on Standardised Derivatives market’. Upon clearing the NCC provides Clearing Members with the following reports via EDI: