How to get UTF-8 locale when connecting via SSH to MacOSX from PuTTY (Windows)

I have the following problem. When I connect to the server via ssh (client is PuTTY under Windows), I don't get UTF-8 locale. Here is what I see on MacOSX (Yosemite) after ssh connection:

$ locale
LANG=
LC_COLLATE="C"
LC_CTYPE="C"
LC_MESSAGES="C"
LC_MONETARY="C"
LC_NUMERIC="C"
LC_TIME="C"
LC_ALL=

The thing is that I use the same settings for my Linux connections and on Linux I don't have these problems with locale. So, this might be a problem on the MacOSX side, not on the PuTTY's side.

Any ideas how to have UTF-8?