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Program for ranking market makers in long-tenor FX swaps with maturity in 1 W-1Y

May 2014, Moscow Viktoriya Gulavskaya Head of trading technologies and market making. Program for ranking market makers in long-tenor FX swaps with maturity in 1 W-1Y. Goals of the program. B oosting liquidity for long-tenor swaps with 1 W-1Y maturity.

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Program for ranking market makers in long-tenor FX swaps with maturity in 1 W-1Y

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  1. May 2014, Moscow ViktoriyaGulavskaya Head of trading technologies and market making Program for ranking market makers in long-tenor FX swaps with maturity in 1W-1Y

  2. Goals of the program Boosting liquidity for long-tenor swaps with 1W-1Y maturity. Creating the competitive environment and effective incentive system for market makers with optimal allocation of Exchange’s expenses for liquidity support.

  3. Terms The program will be launched after 1 July 2014. All market makers are eligible to participate by using their current market maker agreements. Minimum three market makers are required. By the end of the calendar month market makers are ranked by the quality factors determining their remuneration. Quality factors Spread maintenance time, % Trading volume

  4. Terms Place of a market maker in the ranking (N) is determined by its rating value (R) assuming that N = 1 for maximum value of. Market makers’ ratings are calculated with the quality factors applied: - the quality factor of the market maker’s trading volume obligation with regard to the i-th trading day; - the quality factor of the market maker’s obligation regarding spread maintenance time on the i-th trading day.

  5. Calculation of market makers ratings = + ), where: = • = • - the coefficient with values determined by the minimum number of the month’s trading days on which the market maker performs its obligations: • 0.5, if the minimum number of such days accounts for 40-80 percent of the total number of trading days; • 1.0, if the minimum number of such days accounts for 80 and more percent of the total number of trading days; • - the actual spread maintenance time on the i-th day; • - the committed spread maintenance time during the main session as per the agreement; .

  6. Calculation of market makers remunerations РВ = - the fixed remuneration determined by the ranking place number N; = RUB 600,000 (six hundred thousand), ifN=1 = RUB 300,000 (three hundred thousand), ifN=2 = RUB 150,000 (one hundred fifty thousand), ifN=3 0, otherwise

  7. Outcomes expected from the program 1. Boosting liquidity for long-tenor swaps with maturity on 1W-1Y 2. Reaching the principle “high efficiency is the best result” 3. Openness of the program to all market participants 4. Flexibility of the remuneration formula with the quality criteria determined

  8. DRAFT DECISION • To take note of the Program for ranking FX market maker makers on long-tenor swaps with maturity on 1W-1Y

  9. Thank you Contacts: Viktoriya Gulavskaya, +7(495) 363-32332, ext. 26122 Alexander Apanasevich, +7(495) 363-32332, ext. 26121

  10. Appendix No 1Changes to the calculation method for market makers’ remunerations =600,000, ifN=1 =300,000, ifN=2 =150,000, ifN=3 0, otherwise = The place is determined by the rating value assuming that N=1 for.

  11. Appendix No 2Changes to market makers obligations

  12. DISCLAIMER

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