May 11 — 12 2006 The Derivatives Market

May 11 - 12, 2006 The Derivatives Market of the MICEX Group Alexander Balabushkin Deputy Head of Derivatives, MICEX

Moscow Interbank Currency Exchange MICEX ● MICEX was established in 1992 as a currency exchange in the form of a closed-end joint-stock company ● Shareholders: ۰ ۰ ۰ ۰ Central Bank of the Russian Federation Association of Russian Banks Sberbank RF Vneshtorgbank International Moscow Bank Rosbank Bank of Moscow 9 other leading commercial banks of Russia ● Mission: To be the core Russian financial marketplace, providing market participants with full spectrum of trading, clearing and settlement services based on high-end state-of-the art solutions 2

Moscow Interbank Currency Exchange MICEX Group MICEX Stock Exchange National Depository Center National Mercantile Exchange MICEX National Clearing Center N. Novgorod Novosibirsk Ekaterinburg Samara S. Petersburg MICEX Settlement House Rostov Vladivostok 3

Moscow Interbank Currency Exchange MICEX Group: Financial Supermarket ● The MICEX Group offers trading and settlement services for 5 markets: ۰ ۰ ۰ currency market (since 1992) federal bonds market (since 1993) derivatives market (since 1996) equity market (since 1997) corporate and regional bonds market (since 1999) ● Operates under the licenses of: ۰ Central Bank of the Russian Federation ۰ ۰ (currency market) Federal Service for the Financial Markets (securities market) Ministry for the Antimonopoly Policy (derivatives market) 4

Moscow Interbank Currency Exchange MICEX Group: National Financial Infrastructure St. -Petersburg Novosibirsk N. Novgorod • 1500 banks and companies Moscow • 10 000 clients • 11 telecom providers • 318 brokerage systems • 500 000 orders a day • 250 000 trades a day Samara Rostov-on-Don Yekaterinburg Vladivostok 5

Moscow Interbank Currency Exchange MICEX Group: Advanced Information Technologies ● Screen-based ● trading with remote access Possibility of numerous trade vehicles ● Integrated services: trading, ● ● clearing and settlement facilities in the ‘one-stop shopping’ environment Good scalability, flexibility and universality of the system According to the Gartner Group, the reliability of the Micex system is 99, 99% 6

Moscow Interbank Currency Exchange MICEX Group: Daily Average Volumes USD mln Period 2004 2005 Jan-Mar 2006 Foreign exchange 1400 2397 3216 Equities 434 574 1407 Corporate bonds 165 339 561 Federal bonds 187 409 516 2 26 100 2188 3745 5800 Market Derivatives Total 7

Moscow Interbank Currency Exchange MICEX Group: Market Shares Leading Russian exchanges’ market shares in 2005 Period MICEX RTS SPCEX and other Foreign exchange 94% 2% 4% Equities* 79% 21% - Corporate bonds 97% - 3% Federal bonds 100% - - Derivatives 21% 76% 3% Market • MICEX spot markets – basis for derivatives • On-line funds transfers between MICEX markets 8 (*) Gazprom stocks had been in limited circulation till the end of 2005 and were traded on the Stock Exchange “Saint-Petersburg” (RTS SE Group) only. Gazprom stocks market share amounted to 15%.

Moscow Interbank Currency Exchange MICEX Derivatives Market: Products Underlying USD / RUB Euro / RUB Trading unit USD 1000 Euro 1000 Contract months Next 6 months + 2 months in quarterly March cycle Next 6 months Final settlement day Next 6 months + 2 months in quarterly March cycle 15 -th of contract month Delivery Final settlement price Euro / USD Cash settled Micex USD / RUB exchange rate Central Bank of Russia Euro / RUB exchange rate Tick ECB Euro / USD exchange rate 0, 0001 Tick value RUB 0, 1 RUB 3 Fee RUB 0, 3 per contract RUB 0, 5 per contract Initial margin (=Deposit margin) RUB 600 - 1000 (depending on contract month) RUB 1600 – 3500 (depending on contract month) RUB 1000 - 3500 (depending on contract month) 9

Moscow Interbank Currency Exchange Market Structure • MICEX authorized capital: RUB 800 mln MICEX Derivatives Market • Derivatives Market Reserve Fund: RUB 200 mln • MICEX SH authorized capital: RUB 255 mln Marketplace – MICEX • MICEX SH is a specialized institution for providing Clearing – MICEX settlement services – “non-banking credit organization” • The License and regulations of the Bank of Russia do not allow active operations with clients' funds Settlement bank – MICEX Settlement House deposited with MICEX SH (lending) • This guarantees safety of clients' funds 10

Moscow Interbank Currency Exchange Membership Structure MICEX Derivatives Section General Clearing Member Individual Clearing Member General Trading Member Clients Associated Clearing Member Individual Trading Member Clients GCM ICM GTM ITM ACM Right to trade all types of contracts USD, EUR Right to trade on its own account Right to trade for and on behalf of its Clients Right to settle its own and clients’ trades directly with MICEX Right to settle Trading Members’ trades with MICEX Banks Non banks 11

Moscow Interbank Currency Exchange Membership Dynamics & Market Participants Rating Date Total GCM ICM ACM GTM ITM Active 01. 05 156 24 57 4 56 15 39 01. 04. 05 161 25 58 7 56 15 42 01. 09. 05 161 25 58 9 54 15 51 01. 06 164 26 60 10 53 15 62 01. 04. 06 168 26 62 11 53 16 62 2005 March 2006 1 Metallinvestbank 1 International Moscow Bank 2 Vneshtorgbank 2 Gazprombank 3 Eurofinance Mosnarbank 3 Metallinvestbank 4 Sberbank 4 MDM Bank 12

Moscow Interbank Currency Exchange Market Dynamics ● ● ● September 2004 — largest Russian banks set up a pool of liquidity providers Trading volume in 2005 – 6. 5 mln contracts or USD 6. 5 bln in notional value Trading volume in Q 1 2006 — 5. 7 mln contracts (11 times Q 1’ 05 volume) End-of-March open interest — 1. 9 mln contracts or USD 1. 9 bln Record daily volume — USD 640 mln Average transaction volume in 2005 — USD 7 mln (Q 1 2006 – USD 10. 5 mln) 13

Moscow Interbank Currency Exchange Open Interest s e 4 tim 1 USD 2 bln USD 140 mln 14

Moscow Interbank Currency Exchange USD/RUB Futures Market * Based on official data from Internet sites of the exchanges 15

Moscow Interbank Currency Exchange Futures and Options on Russian Exchanges FX only All products * Based on official data from Internet sites of the exchanges 16

Moscow Interbank Currency Exchange Plans for 2006: STIRs Short-term interest rate futures – new instruments for the Russian market (1) § Underlying - 3 -month Mos. Prime Rate § Calculated by the National Foreign Exchange Association § Methodology is approved by EBRD which uses Mos. Prime Rate for quarterly setting coupon for its floater § Contributor Panel consists of 8 leading participants of the Russian money market: ABN Amro, Citibank, Gazprombank, IMB, Raiffeisenbank, Sberbank, Vneshtorgbank, West. LB Vostok § Expected launch time – June 2006 (2) § Underlying – compounded Mos. IBOR Overnight Rate § Analogs – BM&F One-Day Interbank Deposut Futures, EONIA Futures § O/n deposits account for 70% of Russian money market § Contributor Panel consists of 16 leading participants of the Russian money market § Expected launch time – July 2006 17

Moscow Interbank Currency Exchange MICEX SE: Leader Among Exchanges of the CIS and CEE ● The capitalization of the Russian equity The turnover on the equity market in January-February 2006 and the number of issuers bln USD The number of issuers NYSE 2641. 5 1817* NASDAQ 2040. 7 2816 London SE 1201. 2 2762 Tokyo SE 1140. 4 2337 Euronext 563. 0 961 Deutsche Borse 420. 5 645 Hong Kong Ex&Cl 125. 8 1130 Shanghai SE 56. 6 833 MICEX SE 49. 6 186 Singapore Ex 26. 6 458 Wiener Borse 12. 4 91 Warsaw SE 8. 6 234 market is 84% of Russia’s GDP or 647. 4 bln USD (as of April 1, 2006) ● The trading volume in the Russian stock market is over 60% of the stock market of the countries of the CIS, Central and Eastern Europe *) January 2006 18

Moscow Interbank Currency Exchange MICEX Index: Dynamics Country Growth of national stock index in Jan-Mar 2006 Russia (MICEX Index) +28. 5% China (SSEC) +11. 8% Germany (DAX) +10. 4% United Kingdom (FT-SE) +6. 2% Japan (Nikkei) +5. 9% USA (DJIA) +3. 7% On April 26 MICEX Index exceeded the level of 1500 Growth from the beginning of 2006 – 41% 19

Moscow Interbank Currency Exchange Plans for 2006: Futures on MICEX Index ISSUER "Aeroflot" "Avto. VAZ" "RAO UES" "Gazprom" "Norilsk Nickel" • Potentially the most attractive product for domestic investors • Expected time – October 2006 STOCK TYPE Common stock Preference stock Common stock "LUKoil" "Mosenergo" "MTS" "RBC IS" "Rostelecom" "Sberbank" "Sibneft" "Surgutneftegaz" "Tatneft" "Transneft" "Uralsvyazinform" Common stock Common stock Preference stock Common stock 20

Moscow Interbank Currency Exchange Plans for 2006: Options § Underlying: futures contracts on USD/RUB, later other futures § Settlement method: futures-style, new for the Russian market § Expected time: October-November 2006 Plans for 2007 § Single stock futures and options § Futures on federal bonds § Futures on corporate bonds Common variant of “cheapest–to-deliver” ZCYC: • recalculated on-line • methodology was developed by the Central Bank and MICEX or cash settled futures on the basis of ZCYC § National Mercantile Exchange – wheat, white sugar, oil, gold, … (commodity futures) 21

Moscow Interbank Currency Exchange Plans for 2006: Financial Safeguard System MICEX Reserve Fund for derivatives market • The Board of Directors decided to recommend to the Shareholders Meeting to allocate to the Reserve Fund additionally RUB 300 mln • As a result the MICEX Reserve Fund for derivatives market will be increased up to RUB 500 mln • The Clearing Fund will be set up by clearing members • The Reserve Fund and the Clearing Fund will be used proportionately in cases when the initial margin of a defaulting clearing member is not sufficient to close out its positions SPAN • MICEX and CME have signed SPAN License Agreement • SPAN implementation is under way • Expected time - October-November 2006 Step-by-step raising of requirements for clearing members • The goal is to strengthen the guarantee system by restricting clearing membership to first-rate banks only 22

Moscow Interbank Currency Exchange SPAN Implementation Design price order • Built in the trading system • On-line margining • Capital adequacy checks 23

Moscow Interbank Currency Exchange Contacts ● Address: ۰ 13, B. Kislovskiy per. , Moscow, 125009, Russia ● Telephone: ۰ +7 495 7059610 ۰ +7 495 7059612 ۰ +7 495 7059627 ● Fax: ۰ +7 495 2027504 ● E-mail: ۰ derivatives@micex. com ● Web-server: ۰ www. micex. com 24