Managing counterparty risk

7th Annual International Conference, “Russian Derivatives Market”Moscow, 11 September 2012

Managing counterparty risk Key features

ParticipantsAdmission criteria

End-to-end STP & reporting

Continuous Collateral optimisation & re-use

Automatic allocation & substitutions

Local securitiesComprehensive

Collateral reporting

Integration with core settlement & custody

ManagingC/P Risk

Local currency

2

Russian Derivative MarketState of development

ParticipantsAdmission criteria

Local securitiesManagingC/P Risk

Local currency End-to-end STP

& reporting

Automatic allocation & substitutions

ComprehensiveCollateral reporting

Integration with core settlement & custody

Continuous Collateral optimisation & re-use

3

4

Post-trade made easy in RussiaKey features – DRAFT – Pending Local authorisation

Full service offer:

• Direct link in CSD (market proximity)• Effective trading account

structure for Euroclear Bank clients ► allowing OTC and stock exchange

activity • Range of services including:

► Internal settlement, Lending & Borrowing, Triparty from omnibus account

• DVP in RUB on the local market • Enhanced interoperability

All Fixed Income instruments?

• Eligible for trading on Moscow Exchange

• Eligible for holding in the local CSD

• Tax and asset servicing• Standardised, international

processes• Risk-controlled environment• Easy access to sell-side

Buy - Side (Global

Custodian)

Sell - Side(Investment

Bank)

Servicing the Russian market

• Liquid and robust settlement• Standardised, international

processes• Risk-controlled environment• Dynamic lending and collateral

management

• Inbound and outbound link• Efficient operability with

seamless access to Stock exchange

• DVP in RUB against local counterparties

• Same day funding (cash and securities)

Russian CSD

• Robust asset protection• Asset servicing• Financing capabilities• Lending and borrowing

Post-trade made easy in Russia

OTC derivativesParticipant admission criteria

Clearing Member CCP

Client (Buy-Side)

Custodian

Triparty CollateralManager

Collateraltransformati

on

SWAP of non-eligible collateral against CCP

eligible collateral

It is more complex then it looks

Triparty CollateralManager

Buy-side to post initial margins 6