MARGIN PARAMETERS NOTICE

Transcription

1 RISK NOTICE >> LCH.Clearnet SA Corporate Reference No.: From: Risk Department Date: 16 th April 2013 Markets affected: AMSTERDAM, BRUSSELS, LISBON and PARIS DERIVATIVES NOTICE Pursuant the instruction IV.2-2, LCH.Clearnet SA sets the margin parameters for the SPAN algorithm. These new parameters concern: - The Regular Initial Margin on equities, index and commodities derivatives contracts listed on Euronext derivatives markets (Amsterdam, Brussels, Lisbon and Paris). These amounts shall come into effect with the margin call on the morning of 19 th April 2013, for the Positions at the close of 18 th April The changed SPAN algorithm parameters are printed in bold in the appendix. The Clearing Members shall require margins from Clients and Trading Members on the basis of principles defined in Article of the clearing Rule Book. These parameters are applied as part of the SPAN methodology available on the LCH.CLEARNET web site: For further information please contact: Risk Department: For products listed on Euronext Amsterdam: AMSTERDAM : (+31 20) M. LATHOUWERS For products listed on Euronext Paris, Brussels and Lisbon: PARIS : (+33 1) Y. BARBIER / C.VIRASAK /

2 COMMODITIES CONTRACTS CO MATIF GLOBAL PARAMETERS Daily price limit and Regular initial margin Contract code DPL +/- RIM UPSR +/- Risk Free Interest Rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** EBM (WHEAT) EBM OBM Euribor 15 % 5 ECO (RAPESEED) ECO OCO Euribor 16% 5 EMA (CORN) EMA OMA Euribor 31% 5 EOB (MALTING BARLEY) EOB OOB Euribor 26 % 5 EPL (SKIM MILK POWDER) EPL Spot month charge 1 Nbr of days Naked Positions Spread Positions EBM ECO EMA INTER MONTH SPREAD CHARGE Levels Level Month date EBM 1-2 (futures + options) (futures + options) ECO 1-2 (futures + options) (futures + options) EMA 1 (futures + options) (futures + options) EOB 1-2 (futures + options) (futures + options) EPL futures 1 Apply on 12 days before expiration date Effective date: 18 th April

3 COMMODITIES CONTRACTS CO MATIF Spread rules and charge amounts Leg 1 Leg 2 Priority Side of Side of Delta Level Delta Level the leg the leg Additional charge 1 1 A 1 B 450 EBM 2 1 A 1 B A 1 B A 1 B 800 ECO 2 1 A 1 B A 1 B 650 EMA 1 1 A 1 B A 1 B A 1 B 450 EOB 2 1 A 1 B A 1 B 650 EPL 1 1 A 1 B IN CASE OF CCP DELIVERY: DELIVERY INITIAL MARGIN All commodities Futures contracts = 20 % of contract value at delivery price in D+4 after the expiry D, every day, until the end of delivery. Effective date: 18 th April

4 INDEX INDEX CONTRACTS CO MONEP GLOBAL PARAMETERS Daily price limit and Regular initial margin Contract code RIM UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** Index Derivatives FCE (CAC 40) FCE ip MFC ip PXL ip Euribor 38% 0.1 PXA ip Euribor 38% 0.1 BXF (BEL 20) BXF ip BXO ip Euribor 33% 0.01 BEL ip Euribor 33% 0.01 AEX (AEX) FTI ip MFA ip AEX - 16 ip Euribor 41% 0.05 MOA - 16 ip Euribor 41% 0.05 AX1 16ip Euribor 41% à AX5 A1 16 ip Euribor 41% à A31 AEL (AEX Light) FTL ip AEL ip Euribor 41% 0.05 AMX (AMX) FMX ip AMX 30 ip Euribor 36% 0.05 PSI (PSI 20) PSI ip FEF (FTSE Eurofirst 80) FEF ip FEO (FTSE Eurofirst 100) FEO ip EPE (FTSE EPRA Euro zone) EPE ip EPR (FTSE EPRA Europe) EPR ip Tracker Options CAC CAC ip Euribor 38% 0.01 MSE (Lyxor DJ Stoxx 50) MSE ip Euribor 38% 0.01 ISX (ishares DJ Stoxx 50) ISX ip Euribor 38% 0.05 DJ Stoxx 600 Banks BNK - 19% Euribor 24% 0.01 DJ Soxx 600 Oil & Gas LOG - 5% Euribor 50% 0.01 DJ Stoxx 600 Basic Resources BRE - 8% Euribor 34% 0.01 DJ Stoxx TEL - 6% Euribor 50% Telecommunications ETF China Entreprise ASI - 7% Euribor 50% 0.01 Futures on Dividend Index XFC (CAC 40) XFC - 5% AXF (AEX) AXF - 13% Effective date: 18 th April

5 Spot month charge 2 Nbr of days Naked Positions Spread positions FCE i.e. ip 77 BXF i.e. ip 27 AEX i.e. ip 2.4 AEL i.e. ip 1.4 PSI 1-45 i.e. ip 45 FEF 1-50 i.e. ip 5 FEO 1-20 i.e. ip 2 EPE i.e. ip 66 EPR i.e. ip 37 INDEX CONTRACTS INTER MONTH SPREAD CHARGE FCE BXF AEX AEL AMX PSI Level L3 L3 L4 L3 L3 N1 N2 Month date (futures) (futures) All options 1 (futures) 2 (futures) 3-4 (futures) All options (futures) (futures) All options 1-2 (futures) 3-4 (futures) All options 1-3 (futures) All options 1 (futures) (futures) FEF (futures) FEO (futures) EPE (futures) EPR (futures) XFC AXF L3 L3 1 (futures) 2 (futures) (futures) 1 (futures) 2 (futures) (futures) 2 The day of expiration date Effective date: 18 th April

6 INDEX CONTRACTS Spread rules and charge amounts Leg 1 Leg 2 Priority Side of Side of Additional charge Delta Level Delta Level the leg the leg 1 1 A 1 B 210 i.e. 21 pi 2 1 A 1 B 510 i.e. 51 pi FCE 3 1 A 1 B 520 i.e. 52 pi 4 1 A 1 B L3 770 i.e. 77 pi 5 1 A 1 B L3 810 i.e. 81 pi 1 1 A 1 B 825 i.e pi 2 1 A 1 B L3 780 i.e. 78 pi 3 1 A 1 B L4 860 i.e. 86 pi BXF 4 1 A 1 B L i.e. 100 pi 5 1 A 1 B L i.e. 100 pi 6 1 A L3 1 B L3 800 i.e. 80 pi 7 1 A L3 1 B L4 830 i.e. 83 pi 1 1 A 1 B 400 i.e. 2 pi 2 1 A 1 B 440 i.e. 2.2 pi AEX 3 1 A 1 B 800 i.e. 4 pi 4 1 A 1 B L3 400 i.e. 2 pi 5 1 A 1 B L3 880 i.e. 4.4 pi 1 1 A 1 B 40 i.e. 0.2 pi 2 1 A 1 B 44 i.e pi AEL 3 1 A 1 B 80 i.e. 0.4 pi 4 1 A 1 B L3 40 i.e. 0.2 pi 5 1 A 1 B L3 88 i.e pi PSI 1 1 A 1 B 300 i.e. 300 pi 2 1 A 1 B 300 i.e 300 pi FEF 1 1 A 1 B 890 i.e. 89 pi FEO 1 1 A 1 B 185 i.e pi EPE 1 1 A 1 B 90 i.e. 9 pi EPR 1 1 A 1 B 50 i.e. 5 pi 1 1 A 1 B 102 i.e pi XFC 2 1 A 1 B L3 196 i.e pi 3 1 A 1 B L3 125 i.e pi 4 1 A L3 1 B L3 92 i.e. 9.2 pi 1 1 A 1 B 140 i.e. 0.7 pi AXF 2 1 A 1 B L3 480 i.e. 2.4 pi 3 1 A 1 B L3 500 i.e. 2.5 pi 4 1 A L3 1 B L3 92 i.e pi Effective date: 18 th April

7 INDEX CONTRACTS CREDIT FOR INTER-COMMODITIES SPREADS Spread rules and credit amounts Priority Credit rate Leg 1 Leg 2 CC code Delta Ratio Side of the leg CC code Delta Ratio Side of the leg 1 80% AEL 10 A AEX 1 B 2 80% FEF 1,1 A FCE 1 B 3 80% CAC 98 A FCE 1 B 4 80% FEO 10 A AEX 1 B 5 80% AEL 1 A FEO 1 B 6 80% CAC 91 A FEF 1 B 7 80% FEO 1 A FEF 1 B 8 80% FCE 9,6 A AEX 1 B 9 80% AEL 1 A FCE 1 B 10 80% FCE 1,4 A BXF 1 B 11 80% FEO 1 A FCE 1 B 12 80% BXF 6,9 A AEX 1 B 13 80% FEF 10 A AEX 1 B 14 80% AEL 1,4 A BXF 1 B 15 80% AEL 1 A FEF 1 B 16 80% FEO 1,4 A BXF 1 B 17 80% FEF 1,5 A BXF 1 B 18 75% CAC 940 A AEX 1 B 19 75% CAC 94 A AEL 1 B 20 75% CAC 140 A BXF 1 B 21 75% CAC 94 A FEO 1 B 22 70% EPE 2,1 A FCE 1 B 23 70% EPE 20 A AEX 1 B 24 70% EPE 2 A AEL 1 B 25 70% EPE 2,9 A BXF 1 B 26 70% EPE 2 A FEO 1 B 27 70% EPE 2 A FEF 1 B 28 70% EPR 1,1 A EPE 1 B 29 65% CAC 46 A EPE 1 B 30 65% BNK 1,8 A MSE 1 B 31 65% MSE 4,5 A ASI 1 B 32 65% BRE 2,4 A ASI 1 B 33 60% EPR 2,3 A FCE 1 B 34 60% LOG 95 A FCE 1 B 35 60% EPR 23 A AEX 1 B 36 60% LOG 920 A AEX 1 B 37 60% EPR 2,3 A AEL 1 B 38 60% LOG 92 A AEL 1 B 39 60% EPR 3,3 A BXF 1 B 40 60% CAC 42 A EPR 1 B 41 60% LOG 1 A CAC 1 B 42 60% EPR 2,3 A FEO 1 B 43 60% LOG 92 A FEO 1 B 44 60% EPR 2,2 A FEF 1 B 45 60% LOG 89 A FEF 1 B 46 60% TEL 1,3 A LOG 1 B 47 55% FCE 1,5 A PSI 1 B 48 55% TEL 130 A FCE 1 B Effective date: 18 th April

8 INDEX CONTRACTS Priority Credit rate Leg 1 Leg 2 CC code Delta Ratio Side of the leg CC code Delta Ratio Side of the leg 49 55% PSI 6,4 A AEX 1 B 50 55% TEL 1200 A AEX 1 B 51 55% AEL 1,6 A PSI 1 B 52 55% BXF 1,1 A PSI 1 B 53 55% LOG 130 A BXF 1 B 54 55% TEL 180 A BXF 1 B 55 55% CAC 150 A PSI 1 B 56 55% FEO 1,5 A PSI 1 B 57 55% FEF 1,6 A PSI 1 B 58 55% TEL 1,3 A CAC 1 B 59 55% MSE 1,5 A LOG 1 B 60 55% MSE 1,9 A BRE 1 B 61 55% MSE 1,1 A TEL 1 B 62 55% TEL 120 A FEO 1 B 63 55% TEL 120 A FEF 1 B 64 55% LOG 45 A EPE 1 B 65 55% LOG 3,1 A ASI 1 B 66 55% TEL 4,1 A ASI 1 B 67 50% BRE 73 A FCE 1 B 68 50% ASI 31 A FCE 1 B 69 50% EPR 3,5 A PSI 1 B 70 50% EPE 3,2 A PSI 1 B 71 50% LOG 140 A PSI 1 B 72 50% MSE 1,4 A CAC 1 B 73 50% CAC 1,3 A BRE 1 B 74 50% CAC 3,2 A ASI 1 B 75 50% BRE 68 A FEF 1 B 76 50% ASI 29 A FEF 1 B 77 50% LOG 41 A EPR 1 B 78 50% TEL 60 A EPE 1 B 79 50% BNK 7,9 A ASI 1 B Effective date: 18 th April

9 INDEX CONTRACTS Delta ratio takes into account underlying price and ratio between nominal and delta scaling factor of index contracts. To maximize the number of spread and the credit, optimal positions on each contracts have to be proportional to Delta Ratio divided by delta scaling factor. Delta scaling factor amount Contract code Delta scaling factor FCE (CAC 40) FCE 10 PXL 1 PXA 10 BXF (BEL 20) BXF 5 BXO 1 BEL 5 AEX (AEX) FTI 2 AEX 1 AXi (i between 1 et 5) 1 AEL (AEX Light) FTL 2 AEL 1 PSI (PSI 20) PSI 1 FEF (FTSE Eurofirst 80) FEF 10 FEO (FTSE Eurofirst 100) FEO 10 EPE (FTSE EPRA Euro zone) EPE 10 EPR (FTSE EPRA Europe) EPR 10 CAC CAC 100 MSE (DJ Stoxx 50) MSE 100 DEX (USD/EUR) FDE 2 DEX 1 EDX (EUR/USD) FED 2 EDX 1 CAC 40 Dividend Futures XFC 1 AEX Dividend Futures AXF 1 DJ Stoxx 600 Banks BNK 100 DJ Stoxx 600 Oil & Gas LOG 100 DJ Stoxx 600 Basic resources BRE 100 DJ Stoxx 600 Telecommunication TEL 100 ETF China Entreprise* ASI 100 Effective date: 18 th April

10 EQUITY EQUITY CONTRACTS CO MONEP Regular Initial Margin Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** Equity derivatives on Euronext Paris ACCB AC1 ACCOR EDENRED 13% Euribor 43% 0,01 AC2 13% Euribor 43% 0,01 AHA AH1 ACCOR 11% Euribor 43% 0,01 AH2 11% Euribor 43% 0,01 AF AF1 AIR FRANCE 16% Euribor 34% 0,01 AF2 16% Euribor 34% 0,01 AFA 16% Euribor 34% 0,01 AI AI1 AIR LIQUIDE 10% Euribor 35% 0,01 AI2 10% Euribor 35% 0,01 CGE CG1 ALCATEL - LUCENT 23% Euribor 29% 0,01 CG3 23% Euribor 29% 0,01 CG7 23% Euribor 29% 0,01 ALS AS1 ALSTOM 12% Euribor 31% 0,01 AS3 12% Euribor 31% 0,01 AK AK1 ARKEMA 13% Euribor 28% 0,01 ATO AT1 ATOS ORIGIN 10% Euribor 32% 0,01 CS CS1 AXA 12% Euribor 45% 0,01 CS9 12% Euribor 45% 0,01 CS7 12% Euribor 45% 0,01 BNP BN1 BNP PARIBAS 13% Euribor 45% 0,01 BN3 13% Euribor 45% 0,01 BN7 13% Euribor 45% 0,01 EN EN1 BOUYGUES 12% Euribor 37% 0,01 EN9 12% Euribor 37% 0,01 CAP CP1 CAP GEMINI 11% Euribor 30% 0,01 CA3 11% Euribor 30% 0,01 CA CA1 CARREFOUR 12% Euribor 26% 0,01 CA2 12% Euribor 26% 0,01 CA7 12% Euribor 26% 0,01 CO CO1 CASINO GUICHARD 11% Euribor 31% 0,01 CO2 11% Euribor 31% 0,01 CDI CD1 CHRISTIAN DIOR 11% Euribor 21% 0,01 CD3 11% Euribor 21% 0,01 CNP CN1 CNP ASSURANCES 11% Euribor 23% 0,01 ACA CR1 CREDIT AGRICOLE 15% Euribor 37% 0,01 AC3 15% Euribor 37% 0,01 CR7 15% Euribor 37% 0,01 BN DA1 GROUPE DANONE 10% Euribor 33% 0,01 BN2 10% Euribor 33% 0,01 DSY DS1 DASSAULT SYSTEMES 10% Euribor 44% 0,01 DS3 10% Euribor 44% 0,01 EAD EA1 EADS 11% Euribor 48% 0,01 EA3 11% Euribor 48% 0,01 EDF DF1 EDF 10% Euribor 35% 0,01 DF3 10% Euribor 35% 0,01 EF EF1 ESSILOR INTERNATIONAL 10% Euribor 22% 0,01 Effective date: 18 th April

11 EQUITY CONTRACTS Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** EO EO1 FAURECIA 14% Euribor 48% 0,01 FTE FT1 FRANCE TELECOM 11% Euribor 34% 0,01 FT3 11% Euribor 34% 0,01 FT7 11% Euribor 34% 0,01 GAZ GA1 GDF SUEZ 10% Euribor 39% 0,01 GA3 10% Euribor 39% 0,01 GA7 10% Euribor 39% 0,01 HAV HA1 HAVAS 12% Euribor 50% 0,01 RMS RMS HERMES INTERNATIONAL 12% Euribor 47% 0,01 RM1 12% Euribor 47% 0,01 LG LG1 LAFARGE 11% Euribor 30% 0,01 LG2 11% Euribor 30% 0,01 MMB MM1 LAGARDERE SCA 11% Euribor 20% 0,01 MM3 11% Euribor 20% 0,01 OR OR1 L OREAL 10% Euribor 27% 0,01 OR2 10% Euribor 27% 0,01 MC MC1 LVMH 10% Euribor 35% 0,01 MC2 10% Euribor 35% 0,01 MMT MT1 M6 METROPOLE TELEVISION 12% Euribor 15% 0,01 ML M MICHELIN 11% Euribor 28% 0,01 M 11% Euribor 28% 0,01 KN KN1 NATIXIS 14% Euribor 43% 0,01 KN2 14% Euribor 43% 0,01 LR1 LR1 LEGRAND 10% Euribor 25% 0,01 NYX NY1 NYSE EURONEXT Inc 17% Euribor 32% 0,01 NX1 17% Euribor 32% 0,01 RI RI1 PERNOD-RICARD 10% Euribor 27% 0,01 RI2 10% Euribor 27% 0,01 UG UG1 PEUGEOT SA 19% Euribor 41% 0,01 UG2 19% Euribor 41% 0,01 UG7 19% Euribor 41% 0,01 PP PP1 PINAULT PRINTEMPS REDOUTE 10% Euribor 31% 0,01 PP2 10% Euribor 31% 0,01 PUB PU1 PUBLICIS GROUPE 11% Euribor 34% 0,01 RNO RN1 RENAULT 12% Euribor 35% 0,01 RN3 12% Euribor 35% 0,01 SAG SM1 SAFRAN (ex SAGEM) 11% Euribor 37% 0,01 SGO SG1 SAINT-GOBAIN 11% Euribor 33% 0,01 SG3 11% Euribor 33% 0,01 SAN SA1 SANOFI 11% Euribor 35% 0,01 SA3 11% Euribor 35% 0,01 AV3 11% Euribor 35% 0,01 SA7 11% Euribor 35% 0,01 SU SU1 SCHNEIDER ELECTRIC SA 11% Euribor 31% 0,01 SU2 11% Euribor 31% 0,01 SCR SC1 SCOR 10% Euribor 25% 0,01 GLE G SOCIETE GENERALE 15% Euribor 50% 0,01 GL3 15% Euribor 50% 0,01 GL7 15% Euribor 50% 0,01 Effective date: 18 th April

12 EQUITY CONTRACTS Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** SW SW1 SODEXO 10% Euribor 31% 0,01 SW2 10% Euribor 31% 0,01 STM ST1 STMICROELECTRONICS 14% Euribor 29% 0,01 ST3 14% Euribor 29% 0,01 ST7 14% Euribor 29% 0,01 SZECB SZ1 COMBO SUEZ 11% Euribor 50% 0,01 SZ3 11% Euribor 50% 0,01 SE SE1 SUEZ ENVIRONNEMENT 11% Euribor 50% 0,01 SE2 11% Euribor 50% 0,01 TEC TE1 TECHNIP 11% Euribor 50% 0,01 TE3 11% Euribor 50% 0,01 TF1 TF1 TF1 12% Euribor 32% 0,01 TF3 12% Euribor 32% 0,01 HO HO1 THALES 10% Euribor 17% 0,01 HO2 10% Euribor 17% 0,01 TMS TM1 TECHNICOLOR 23% Euribor 50% 0,01 TM3 23% Euribor 50% 0,01 FP TO1 TOTAL 11% Euribor 41% 0,01 TO2 11% Euribor 41% 0,01 TO7 11% Euribor 41% 0,01 FPCB FP1 TOTAL ARKEMA 10% Euribor 41% 0,01 FP2 10% Euribor 41% 0,01 UL U UNIBAIL RODAMCO 11% Euribor 37% 0,01 UBL 11% Euribor 37% 0,01 OBL 11% Euribor 37% 0,01 FR FR1 VALEO 13% Euribor 37% 0,01 FR2 13% Euribor 37% 0,01 VK VA1 VALLOUREC 11% Euribor 30% 0,01 VA2 11% Euribor 30% 0,01 DG DG1 VINCI 11% Euribor 30% 0,01 DG2 11% Euribor 30% 0,01 DG7 11% Euribor 30% 0,01 VIE VI1 VEOLIA ENVIRONNEMENT 13% Euribor 45% 0,01 VI3 13% Euribor 45% 0,01 VI7 13% Euribor 45% 0,01 EX EX1 VIVENDI 11% Euribor 30% 0,01 EX2 11% Euribor 30% 0,01 EX7 11% Euribor 30% 0,01 Effective date: 18 th April

13 EQUITY CONTRACTS Regular Initial Margin Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** Equity derivatives on Euronext Brussels AGE AGE AGFA-GEVAERT 19% Euribor 30% 0,01 AVH AVH ACKERMANS & VAN HAAREN 10% Euribor 50% 0,01 BAR BAR BARCO 12% Euribor 19% 0,01 BEK BEK BEKAERT 14% Euribor 26% 0,01 BLG BLG BELGACOM 10% Euribor 40% 0,01 BLX 10% Euribor 40% 0,01 COL COL COLRUYT 11% Euribor 20% 0,01 DEL DEL DELHAIZE GROUP 11% Euribor 22% 0,01 DXB DXB DEXIA 37% Euribor 44% 0,01 DX1 37% Euribor 44% 0,01 DX2 37% Euribor 44% 0,01 FRB FRB AGEAS 12% Euribor 43% 0,01 FOR 12% Euribor 43% 0,01 FRO 12% Euribor 43% 0,01 FOB 12% Euribor 43% 0,01 FOO 12% Euribor 43% 0,01 AG AGA AGEAS New 12% Euribor 43% 0,01 AGB 12% Euribor 43% 0,01 GBL GBL GPE BRUXEL.LAMBERT 10% Euribor 50% 0,01 GLS GLS GALAPAGOS 10% Euribor 20% 0,01 INT INT ANHEUSER-BUSCH INBEV 10% Euribor 30% 0,01 KBC KBC KBC 14% Euribor 29% 0,01 MOB MOB MOBISTAR 11% Euribor 45% 0,01 NYR NYR NYRSTAR 14% Euribor 48% 0,01 SOL SOL SOLVAY 11% Euribor 32% 0,01 THR THR THROMBOGENICS 12% Euribor 25% 0,01 TLN TLN TELENET GROUP HOLDING 10% Euribor 39% 0,01 TNX 10% Euribor 39% 0,01 TNO 10% Euribor 39% 0,01 TOTCB TOT TOTAL ARKEMA 17% Euribor 35% 0,01 UCB UCB UCB 10% Euribor 49% 0,01 UMC UMC UMICORE 11% Euribor 27% 0,01 Effective date: 18 th April

14 EQUITY CONTRACTS Regular Initial Margin Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** Equity derivatives on Euronext Amsterdam AAI AAI AALBERTS INDUSTRIES NV 10% Euribor 34% 0,05 AGN AGN AEGON 12% Euribor 40% 0,05 1AG 12% Euribor 40% 0,05 2AG 12% Euribor 40% 0,05 4AG 12% Euribor 40% 0,05 5AG 12% Euribor 40% 0,05 AMG AMG AMG ADVANCED METTALLURGICAL 13% Euribor 34% 0,05 AP AP APERAM 15% Euribor 45% 0,05 ARC ARC ARCADIS 10% Euribor 30% 0,05 MT MT ARCELORMITTAL 13% Euribor 42% 0,05 MI3 13% Euribor 42% 0,05 1MT 13% Euribor 42% 0,05 2MT 13% Euribor 42% 0,05 4MT 13% Euribor 42% 0,05 5MT 13% Euribor 42% 0,05 MTCB MTZ ARCELOR MITAL COMBO 13% Euribor 42% 0,05 MI1 13% Euribor 42% 0,05 AH AH KON AHOLD 10% Euribor 39% 0,05 AHO 10% Euribor 39% 0,05 AKZ AKZ AKZO NOBEL 10% Euribor 44% 0,05 ASL ASL ASML HOLDING 12% Euribor 40% 0,05 ASO 12% Euribor 40% 0,05 ALO 12% Euribor 40% 0,05 ASM ASM ASM INTERNATIONAL 10% Euribor 24% 0,05 BAM BAM KONINKLIJKE BAM GROEP 13% Euribor 28% 0,05 BCK BCK BINCKBANK 11% Euribor 39% 0,05 BCO 11% Euribor 39% 0,05 BI BI BRUNEL INTERNATIONAL 10% Euribor 35% 0,05 BOS BOS BOSKALIS WESTMINSTER NV 10% Euribor 33% 0,05 CIO CIO CORIO NV 11% Euribor 50% 0,05 CSM CSM CSM 11% Euribor 41% 0,05 DE DE DE MASTER BLENDERS 10% Euribor 20% 0,05 DL DL DELTA LLOYD NV 12% Euribor 40% 0,05 DSM DSM KONINKLIJKE DSM 10% Euribor 45% 0,05 FUR FUR FUGRO 12% Euribor 50% 0,05 GT1 GT1 GEMALTO 10% Euribor 20% 0,05 HEI HEI HEINEKEN 10% Euribor 28% 0,05 HEX 10% Euribor 28% 0,05 HEY HEY HEIJMANS NV 14% Euribor 36% 0,05 HMO 14% Euribor 36% 0,05 IHC IHC SBM OFFSHORE NV 14% Euribor 44% 0,05 SBM 14% Euribor 44% 0,05 IM IM IMTECH NV 19% Euribor 38% 0,05 ING ING ING GROEP 14% Euribor 50% 0,05 INO 14% Euribor 50% 0,05 1IN 14% Euribor 50% 0,05 2IN 14% Euribor 50% 0,05 4IN 14% Euribor 50% 0,05 5IN 14% Euribor 50% 0,05 Effective date: 18 th April

15 EQUITY CONTRACTS Contract code Name UPSR +/- Risk Free Interest rate (*) VSR +/- Rate for Short Option Min. Position (SOM Rate)** KPN KPN KON KPN 18% Euribor 50% 0,05 KPO 18% Euribor 50% 0,05 1KP 18% Euribor 50% 0,05 2KP 18% Euribor 50% 0,05 4KP 18% Euribor 50% 0,05 5KP 18% Euribor 50% 0,05 LC LC LOGICACMG PLC 17% Euribor 33% 0,05 LCX 17% Euribor 33% 0,05 NSI* NSI 10% Euribor 20% 0,05 NUO NUO NUTRECO HOLDING 11% Euribor 47% 0,05 NUC 11% Euribor 47% 0,05 NXO 11% Euribor 47% 0,05 NYE NYE NYSE EURONEXT Inc 14% Euribor 50% 0,05 ORD ORD ORDINA 21% Euribor 25% 0,05 ORO 21% Euribor 25% 0,05 MDQ MDQ MEDIQ N.V 15% Euribor 49% 0.05 PHI PHI PHILIPS ELECTRONICS 10% Euribor 44% 0,05 1PH 10% Euribor 44% 0,05 2PH 10% Euribor 44% 0,05 4PH 10% Euribor 44% 0,05 5PH 10% Euribor 44% 0,05 PNL PNL POST NL 18% Euribor 50% 0,05 RD RD ROYAL DUTCH SHELL PLC (A) 11% Euribor 46% 0,05 1RD 11% Euribor 46% 0,05 2RD 11% Euribor 46% 0,05 4RD 11% Euribor 46% 0,05 5RD 11% Euribor 46% 0,05 REN REN REED ELSEVIER 10% Euribor 46% 0,05 RND RND RANDSTAD HOLDING 11% Euribor 44% 0,05 VDR 11% Euribor 44% 0,05 SR SR SNS REAAL 74% Euribor 39% 0,05 TCT TCT TEN CATE 10% Euribor 30% 0,05 TKG TKG TKH GROUP 10% Euribor 20% 0,05 TNE TNE TNT EXPRESS 14% Euribor 50% 0,05 TPGCB TPO COMBO TNT 13% Euribor 50% 0,05 TPG 13% Euribor 50% 0,05 TTM TTM TOMTOM N.V. 17% Euribor 50% 0,05 TMO 17% Euribor 50% 0,05 UN UN UNILEVER 11% Euribor 29% 0,05 UOO 11% Euribor 29% 0,05 UNT UNT UNIT4 NV 11% Euribor 21% 0,05 USG USG USG PEOPLE N.V. 10% Euribor 41% 0,05 VPK VPK VOPAK 10% Euribor 44% 0,05 WAV WAV WAVIN NV 10% Euribor 50% 0,05 WVX 10% Euribor 50% 0,05 WES WES KON WESSANEN 13% Euribor 50% 0,05 WHV WHV WERELDHAVE NV 10% Euribor 45% 0,05 WKL WKL WOLTERS KLUWER 10% Euribor 50% 0,05 ZGO ZGO ZIGGO NV 10% Euribor 20% 0,05 *Launch on 23 th April 2013 Effective date: 18 th April

16 Regular Initial Margin Contra ct code Name UPSR +/- Equity derivatives on Euronext Lisbon: futures with cash settlement MBC MBC BANCO COMERCIAL PORTUGUES 25% ESS ESS BANCO ESPIRITO SANTO 50% BBP BBP BANCO PORTUGUES DE INVESTIMENTO 18% BRS BRS BRISA AUTOESTRADAS DE PORTUGAL 19% EDR EDR EDP RENOVAVEIS 14% EPM EPM ENERGIAS DE PORTUGAL 12% GAL GAL GALP ENERGIA SGPS SA 13% JMT JMT JERONIMO MARTINS 12% PTS PTS PORTUGAL TELECOM 13% PTA PTA ZON MULTIMEDIA 16% RNA RNE REDES ENERGETICAS NACIONAIS 12% RNA 12% SNA SNA SONAE 15% SNC SNC SONAECOM SGPS 13 % Risk Free Interest rate (*) VSR +/- EQUITY CONTRACTS Rate for Short Option Min. Position (SOM Rate)** Effective date: 18 th April

17 CURRENCY CURRENCY CONTRACTS CO MONEP GLOBAL PARAMETERS Regular Initial Margin Contract code Name RIM UPSR +/- Risk Free Interest rate (*) VSR+/- Rate for Short Option Min. Position (SOM Rate)** DEX FDE USD / EUR bp DEX - 4 bp Euribor 17 % 0.01 EDX FED EUR / USD $ bp EDX - 4 bp Euribor 14 % $ 0.01 INTER MONTH SPREAD CHARGE Levels Level Month date DEX (futures) all options EDX (futures) all options Spread rules and charge amounts Leg 1 Leg 2 Priority Side of Sens Additional charge Delta Level Delta Level the leg Marché DEX 1 1 A N1 1 B N1 450 i.e pb 2 1 A N1 1 B N2 450 i.e pb EDX 1 1 A N1 1 B N1 440 $ i.e. 2.2 pb 2 1 A N1 1 B N2 680 $ i.e. 3.4 pb CREDIT FOR INTER-COMMODITIES SPREADS Spread rules and credit amounts Leg 1 Leg 2 Priority Credit rate CC code Delta Ratio Side of the leg CC code Delta Ratio Side of the leg 1 80% EDX 1 A DEX 1.9 A Effective date: 18 th April

18 CURRENCY CONTRACTS Currency Table Currency SPAN Currency code ZZ Name Parameters for currency risk EUR EU Euro 0% USD US American dollar 4% Foreign exchange risk methodology: Conversion of Initial Margin is done at Member Code / PB Segregation type / PB Account /Currency level. The Initial Margin is always a charge so the formula used is: Initial Margin in Euro = (Initial Margin in currency / currency exchange rate) * A With: A = 1 + rate for currency risk (to increase charge) Effective date: 18 th April

19 INTRA-DAY MARGIN CALL INTRA-DAY MARGIN CALL Intra-day Margins thresholds levels Regarding the article (chapter 2 of the Title IV risk management) of the Clearing Rule Book LCH.Clearnet SA fixed to 0 euro the applicable threshold on amounts " of Intra-day Margin Call " since the call of 28/05/10. Effective date: 18 th April