= OTC options portfolio management = - Portfolio of OTC options traded with insurance companies for the purpose of life-insurance products construction - Investment strategies selection and pricing, calculation of option “greeks”, active management of hedging position in compliance with risk limits under given mandate - Portfolio notional volume above RUB 4 bn (USD 70 mln) = Credit notes portfolio management = - Management of portfolio of credit notes (structured products under EMTN program): First-to-default, Leveraged Note, CDO Equity tranche - Selection of reference entities, baskets, calculation of issue characteristics and pricing of tranches - Active management of underlying hedging position – bonds/eurobonds. CDS of Russian issuers, compliance to percentage, credit and currency risks limits. - Portfolio volume above RUB 15 bn (USD 250 mln) = Equity-linked structured products portfolio management = - Strategy pay-off and underlying asset selection, hedging of outstanding position, pricing of contract terms - Capital protected products with participation, barrier or digital payoffs - Reverse convertibles, worst-off - Auto-callable products – phoenix, hymalaya, bonus and express certificates, etc. - Exchange traded notes = Interaction with related divisions = - Department of Risks – negotiation on risk mandate for structured products business, participation in development of VaR and capital allocation methodology, participation in Risk and Assets/Liability committee sessions - Department of risk monitoring – daily/weekly risk reports preparation (option greeks, limits on leverage, stop-loss controls, currency position, etc.) - Financial unit – negotiation on development of P&L and revaluation methodology on structured products - Operations department, back-office – negotiation on trades booking procedures, participation in projects on automation of reporting procedures - Treasury – issues on positions funding, internal transfer pricing, rates, liquidity management and budgeting

- Participation in structuring of derivatives trades and creation of structured product line for individual clients of BCS retail network - Set-up of OTC options platform for life-insurance companies - Participation of set-up and development of EMTN program for the purpose of structured products issuance - Creation of standard documentation for derivative transactions: general agreements (ISDA and Russian ISDA based), trade orders, long forms and confirmations

- Interaction with asset management companies, mutual and pension funds on hedging regulation issues. - Participation in creation of trade ideas for the clients of the department - Presentations and analytical materials preparation