NOTICE MARGIN PARAMETERS

Transcription

1 RISK NOTICE th July 2014 NOTICE MARGIN PARAMETERS LCH.Clearnet SA sets the margin parameters for the SPAN algorithm pursuant to the Instruction IV.2-2 and the thresholds on additional margin requirement, pursuant to the Article regarding additional margins. This notice concerns: The launch of spotlight Euronext options These parameters shall come into effect with the margin call on the morning of 8 th July 2014, for the positions at the close of 7 th July The changed SPAN algorithm parameters are printed in bold. 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: Margin Management LCH.Clearnet Tel margin.fr@lchclearnet.com Website:

2 COMMODITIES CONTRACTS COMMODITIES CONTRACTS CO MATIF 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)** EBM (WHEAT) EBM OBM - 15 Euribor 18% 5 ECO (RAPESEED) ECO OCO - 22 Euribor 24% 5 EMA (CORN) EMA OMA - 13 Euribor 30% 5 EOB (MALTING BARLEY) EOB OOB - 29 Euribor 26% 5 EPL (SKIM MILK POWDER) EPL Spot month charge 1 Nbr of days Naked Positions Spread Positions EBM ECO EMA EOB EPL INTER MONTH SPREAD CHARGE Levels Level Month date 1 (futures + options) EBM 2 (futures + options) (futures + options) L (futures + options) 1 (futures + options) ECO 2 (futures + options) 3-4 (futures + options) L (futures + options) EMA 1 (futures + options) (futures + options) 1-2 (futures + options) EOB 3-4 (futures + options) (futures + options) EPL futures 1 Apply on 12 days before expiration date RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

3 COMMODITIES CONTRACTS COMMODITIES CONTRACTS CO MATIF Spread rules and charge amounts Leg 1 Leg 2 Additional charge Priority Side of Sens Level Side of the leg the leg Marché 1 1 A 1 B A 1 B A 1 B L4 485 EBM 4 1 A 1 B A 1 B L A 1 B A 1 B L A 1 B A 1 B A 1 B L ECO 4 1 A 1 B A 1 B L A 1 B A 1 B L4 672 EMA 1 1 A 1 B A 1 B A 1 B A 1 B EOB 3 1 A 1 B A 1 B A 1 B A 1 B 438 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. RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

4 INDEX CO MONEP REGULAR INITIAL MARGIN PARAMETERS PRICE AND VOLATILITY SCAN RANGE, SHORT OPTION MINIMUM 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 35% 0.10 PXA ip Euribor 35% 0.10 BXF (BEL 20) BXF ip BXO ip Euribor 33% 0.01 BEL ip Euribor 33% 0.01 AEX (AEX) FTI ip MFA ip AEX - 20 ip Euribor 30% 0.05 MOA - 2 ip Euribor 30% 0.05 From AX1 20 ip Euribor 30% to AX5 From A1 20 ip Euribor 30% to A31 AEL (AEX Light) FTL ip AEL - 2 ip Euribor 30% 0.05 AMX (AMX) FMX ip AMX 35 ip Euribor 50% 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 LYXOR ETF CAC 40 CAC ip Euribor 35% 0.01 MSE (Lyxor DJ Stoxx 50) MSE ip Euribor 35% 0.01 DJ Stoxx 600 Banks BNK - 19% Euribor 21% 0.01 DJ Soxx 600 Oil & Gas LOG - 5% Euribor 28% 0.01 DJ Stoxx 600 Basic Resources BRE - 9% Euribor 18% 0.01 DJ Stoxx 600 Telecommunications TEL - 6% Euribor 43% 0.01 LYXOR ETF China Entreprise ASI - 7% Euribor 40% 0.01 ishares EM Markets Option IEM - 6% Euribor 48% 0.01 ishares Euro STX50 Option EUE - 7.1% Euribor 42% 0.01 ishares Europe Option IME - 4.9% Euribor 50% 0.01 ishares S&P 500 Option ISS - 4.5% Euribor 43% 0.01 ishares World Option IWR - 4.2% Euribor 50% 0.01 MSCI JAP EH Option IJP - 9.5% Euribor 50% 0.01 Futures on Dividend Index XFC (CAC 40) XFC - 5% AXF (AEX) AXF - 11% RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

5 Spot month charge 2 Nbr of days Naked Positions Spread positions in Euros FCE BXF AEX AEL PSI FEF FEO EPE EPR INTER MONTH SPREAD CHARGE FCE BXF AEX AEL AMX PSI Level L4 L5 Month date (futures) 4-5 (futures) (futures) (futures) All options 1-2 (futures) 3-4 (futures) All options (futures) (futures) All options (futures) (futures) All options 1-3 (futures) All options 1 (futures) (futures) FEF (futures) FEO (futures) EPE (futures) EPR (futures) XFC AXF 1 (futures) 2 (futures) (futures) 1 (futures) 2 (futures) (futures) 2 3 days before expiration date RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

6 Spread rules and charge amounts Priority Leg 1 Leg 2 Additional Side of Side of Level Level charge in euros the leg the leg 1 1 A 1 B A 1 B A 1 B A 1 B L A 1 B L A 1 B 210 FCE 7 1 A 1 B A 1 B L A 1 B L A 1 B A 1 B L A 1 B L A L4 1 B L A L4 1 B L A 1 B 140 BXF 2 1 A 1 B A 1 B A 1 B A 1 B A 1 B 480 AEX 3 1 A 1 B A 1 B A 1 B A 1 B A 1 B 48 AEL 3 1 A 1 B A 1 B A 1 B 58 PSI 1 1 A 1 B A 1 B 63 FEF 1 1 A 1 B 1090 FEO 1 1 A 1 B 540 EPE 1 1 A 1 B 30 EPR 1 1 A 1 B A 1 B 71 XFC 2 1 A 1 B A 1 B A 1 B A 1 B 245 AXF 2 1 A 1 B A 1 B A 1 B 63 RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

7 CREDIT FOR INTER-COMMODITIES SPREADS Spread rules and credit amounts Leg 1 Leg 2 Priority Credit rate Side of the Side of the CC code Ratio CC code Ratio leg leg 1 80% CAC 100 A FCE 1 B 2 80% CAC 93 A FEF 1 B 3 80% FEF 1.1 A FCE 1 B 4 80% FEO 1.1 A FEF 1 B 5 80% MSE 140 A FCE 1 B 6 80% MSE 130 A FEF 1 B 7 80% MSE 1.4 A CAC 1 B 8 80% ISX 140 A FCE 1 B 9 80% ISX 130 A FEF 1 B 10 80% ISX 1 A MSE 1 B 11 80% ISX 1.4 A CAC 1 B 12 80% AEL 1 A AEX 1 B 13 75% FEO 1.1 A FCE 1 B 14 75% MSE 120 A FEO 1 B 15 75% ISX 120 A FEO 1 B 16 75% EPR 1.1 A EPE 1 B 17 70% FEO 1 A AEX 1 B 18 70% FEO 1 A AEL 1 B 19 70% CAC 88 A FEO 1 B 20 65% AEX 1.1 A FCE 1 B 21 65% AEL 1.1 A FCE 1 B 22 65% FEF 1.4 A BXF 1 B 23 65% FEO 1.5 A BXF 1 B 24 65% MSE 190 A BXF 1 B 25 65% ISX 190 A BXF 1 B 26 65% CAC 130 A BXF 1 B 27 65% FEF 1 A AEX 1 B 28 65% MSE 130 A AEX 1 B 29 65% ISX 130 A AEX 1 B 30 65% CAC 89 A AEX 1 B 31 65% FEF 1 A AEL 1 B 32 65% MSE 130 A AEL 1 B 33 65% ISX 130 A AEL 1 B 34 65% CAC 89 A AEL 1 B 35 65% LOG 110 A FEO 1 B 36 65% FCE 1.3 A BXF 1 B 37 60% BNK 210 A FCE 1 B 38 60% BNK 190 A FEF 1 B 39 60% LOG 110 A FEF 1 B 40 60% BNK 180 A FEO 1 B 41 60% MSE 1.2 A LOG 1 B 42 60% ISX 1.2 A LOG 1 B 43 60% LOG 1.2 A CAC 1 B 44 60% BNK 1.5 A MSE 1 B 45 60% BNK 1.5 A ISX 1 B 46 60% BNK 2 A CAC 1 B 47 55% EPE 2.4 A FCE 1 B 48 55% LOG 120 A FCE 1 B 49 55% AEX 1.5 A BXF 1 B 50 55% AEL 1.5 A BXF 1 B 51 55% BNK 280 A BXF 1 B 52 55% LOG 110 A AEX 1 B 53 55% LOG 110 A AEL 1 B RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

8 Leg 1 Leg 2 Priority Credit rate Side of the Side of the CC code Ratio CC code Ratio leg leg 54 55% EPE 2.2 A FEF 1 B 55 55% EPE 2.1 A FEO 1 B 56 55% EPR 2.4 A FEO 1 B 57 55% MSE 58 A EPE 1 B 58 55% ISX 58 A EPE 1 B 59 55% FEF 7.5 A AMX 1 B 60 55% AEX 7.8 A AMX 1 B 61 55% AEL 7.8 A AMX 1 B 62 55% ISX 970 A AMX 1 B 63 55% MSE 980 A AMX 1 B 64 50% EPR 2.7 A FCE 1 B 65 50% TEL 130 A FCE 1 B 66 50% EPE 3.3 A BXF 1 B 67 50% EPR 3.6 A BXF 1 B 68 50% LOG 160 A BXF 1 B 69 50% EPE 2.2 A AEX 1 B 70 50% EPR 2.4 A AEX 1 B 71 50% BNK 180 A AEX 1 B 72 50% TEL 120 A AEX 1 B 73 50% EPE 2.2 A AEL 1 B 74 50% EPR 2.4 A AEL 1 B 75 50% BNK 180 A AEL 1 B 76 50% TEL 120 A AEL 1 B 77 50% FEF 1.6 A PSI 1 B 78 50% BNK 300 A PSI 1 B 79 50% MSE 210 A PSI 1 B 80 50% ISX 210 A PSI 1 B 81 50% CAC 150 A PSI 1 B 82 50% EPR 2.5 A FEF 1 B 83 50% TEL 120 A FEF 1 B 84 50% TEL 120 A FEO 1 B 85 50% BNK 85 A EPE 1 B 86 50% CAC 41 A EPE 1 B 87 50% BNK 76 A EPR 1 B 88 50% MSE 52 A EPR 1 B 89 50% ISX 52 A EPR 1 B 90 50% CAC 37 A EPR 1 B 91 50% MSE 1.1 A TEL 1 B 92 50% ISX 1.1 A TEL 1 B 93 50% CAC 690 A AMX 1 B 94 50% FCE 1.5 A PSI 1 B 95 50% BRE 2.5 A ASI 1 B 96 50% BXF 5.1 A AMX 1 B 97 50% FCE 6.9 A AMX 1 B 98 50% FEO 7.8 A AMX 1 B 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 contract have to be proportional to Ratio divided by delta scaling factor. RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

9 scaling factor amount Contract code scaling factor FCE (CAC 40) FCE 10 PXL 1 PXA 10 BXF (BEL 20) BXF 5 BXO 1 BEL 5 AEX (AEX) FTI 20 MFA 2 AEX 10 MOA 1 AXi (i between 1 et 5) 10 Ai (i between 1 et 31) 10 AEL (AEX Light) FTL 2 AEL 1 AMX (AMX) FMX 1 AMX 2 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 PEX (GBP/EUR) FPE 100 PEX 100 PDX (GBP/USD) FPD 100 PDX 100 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 XFC (CAC 40) XFC 1 AXF (AEX) AXF 1 RIM : Regular Initial Margin UPSR : Underlying Price Scan Range VSR : Volatility Scan Range (*) : Euribor rate corresponding to maturity, reviewed weekly (**) :SOM amount=som Rate* Scaling Factor*options short position bp : basis point ip : index point CC code : Code Side leg A or B means that the algebraic signs of delta for each spread leg are opposed 1 tracker = 100 ip Effective date: 7 th July

10 EQUITY CO MONEP REGULAR INITIAL MARGIN PARAMETERS EQUITY DERIVATIVES EURONEXT PARIS PRICE AND VOLATILITY SCAN RANGE, SHORT OPTION MINIMUM Contract code Name UPSR +/- VSR +/- Effective date: 7 th July Rate for Short Option Min. Position (SOM Rate)** ACA** CR1 / AC3 / CR7 / CR6 CREDIT AGRICOLE 12% 25% 0.01 ACCB** AC1 / AC2 / AC6 ACCOR EDENRED 13% 50% 0.01 AF** AF1 / AF2 / AFA / AF6 AIR FRANCE 13% 26% 0.01 AHA AH1 / AH2 ACCOR 11% 50% 0.01 AI** AI1 / AI2 / AI6 AIR LIQUIDE 10% 26% 0.01 AK AK1 ARKEMA 10% 15% 0.01 A A ALTRAN TECHNOLOGIES SA 11% 34% 0.01 ALS** AS1 / AS3 / AL6 ALSTOM 12% 29% 0.01 ATO AT1 ATOS ORIGIN 10% 23% 0.01 BN** DA1 / BN2 / DA6 GROUPE DANONE 10% 36% 0.01 BNP** BN1 / BN3 / BN7 / BN6 BNP PARIBAS 11% 30% 0.01 CA** CA1 / CA2 / CA7 / CA6 CARREFOUR 10% 25% 0.01 CAP** CP1 / CA3 / CP6 CAP GEMINI 12% 38% 0.01 CDI CD1 / CD3 CHRISTIAN DIOR 11% 16% 0.01 CGE CG1 / CG3 / CG7 ALCATEL - LUCENT 15% 30% 0.01 CNP CN1 CNP ASSURANCES 11% 18% 0.01 CO CO1 / CO2 CASINO GUICHARD 11% 33% 0.01 CS** CS1 / CS9 / CS7/ CS6 AXA 12% 26% 0.01 DG** DG1 / DG2 / DG7 / DG6 VINCI 11% 24% 0.01 DSY DS1 / DS3 DASSAULT SYSTEMES 10% 50% 0.01 EAD** EA1 / EA3 / EA6 AIRBUS GROUP 11% 20% 0.01 EDF** DF1 / DF3 / DF6 EDF 10% 21% 0.01 EF** EF1 / EF6 ESSILOR INTERNATIONAL 10% 19% 0.01 EN** EN1 / EN9/ EN6 BOUYGUES 14% 26% 0.01 EO EO1 FAURECIA 15% 14% 0.01 EX** EX1 / EX2 / EX7 / EX6 VIVENDI 11% 24% 0.01 FP** TO1 / TO2 / TO7 / TO6 TOTAL 11% 30% 0.01 FPCB FP1 / FP2 TOTAL ARKEMA 10% 30% 0.01 FR** FR1 / FR2 / FR6 VALEO 12% 20% 0.01 FTE** FT1 / FT3 / FT7 / FT6 ORANGE 11% 31% 0.01 GAZ** GA1 / GA3 / GA7 / GA6 GDF SUEZ 10% 28% 0.01 GLE** G / G / GL7 / GL6 SOCIETE GENERALE 10% 33% 0.01 HAV** HA1 / HA6 HAVAS 12% 40% 0.01 HO HO1 / HO2 THALES 11% 23% 0.01 IL I Iliad 12% 50% 0.01 KER** KR1 / KR2 / PP1 / PP2 / KR6 KERING 11% 25% 0.01 KN** KN1 / KN2 / KN6 NATIXIS 12% 44% 0.01 LG** LG1 / LG2 / LG6 LAFARGE 11% 25% 0.01 LR** LR1 / LR6 LEGRAND 10% 18% 0.01 MC** MC1 / MC2 / MC6 LVMH 10% 29% 0.01 ML** M / M / ML6 MICHELIN 11% 16% 0.01 MMB** MM1 / MM3 / MM6 LAGARDERE SCA 12% 46% 0.01 MMT MT1 M6 METROPOLE TELEVISION 12% 36% 0.01 NYX NY1 / NX1 NYSE EURONEXT Inc 17% 36% 0.01 OR** OR1 / OR2 / OR6 L OREAL 10% 21% 0.01 PUB** PU1 / PU6 PUBLICIS GROUPE 11% 34% 0.01 RI** RI1 / RI2 / RI6 PERNOD-RICARD 10% 30% 0.01 RMS RMS / RM1 HERMES INTERNATIONAL 12% 21% 0.01 RNO** RN1 / RN3 / RN6 RENAULT 13% 21% 0.01 SAG** SM1 / SM6 SAFRAN 11% 39% 0.01 SAN** SA1 / SA3 / AV3 / SA7 / SA6 SANOFI 11% 25% 0.01 SCR** SC1 / SC6 SCOR 10% 23% 0.01 SE** SE1 / SE2 / SE6 SUEZ ENVIRONNEMENT 11% 40% 0.01 SGO** SG1 / SG3 / SG6 SAINT-GOBAIN 11% 23% 0.01 STM** ST1 / ST3 / ST7/ ST6 STMICROELECTRONICS 13% 19% 0.01

11 Contract code Name UPSR +/- VSR +/- Rate for Short Option Min. Position (SOM Rate)** SU** SU1 / SU2 / SU6 SCHNEIDER ELECTRIC SA 12% 20% 0.01 SW SW1 / SW2 SODEXO 10% 33% 0.01 SZECB SZ1 / SZ3 COMBO SUEZ 11% 40% 0.01 TEC** TE1 / TE3 / TE6 TECHNIP 11% 19% 0.01 TF1 TF1 / TF3 TF1 13% 25% 0.01 TMS TM1 / TM3 TECHNICOLOR 15% 50% 0.01 UG UG1 / UG2 / UG7 PEUGEOT SA 15% 38% 0.01 UL** U / UBL / OBL / UB6 UNIBAIL RODAMCO 11% 20% 0.01 VIE** VI1 / VI3 / VI7 / VI6 VEOLIA ENVIRONNEMENT 11% 36% 0.01 VK** VA1 / VA2 / VA6 VALLOUREC 12% 30% 0.01 Risk Free Interest rate (*): Euribor (**) = that include Futures on stocks on which Spread rules and charge amounts are applied, reference below FUTURES CONTRACTS Contract code Name UPSR +/- ETL EC6 Eutelsat Communications - Stock Future 10% ZC ZA6 Zodiac Aerospace - Stock Future 10% INTER MONTH SPREAD CHARGE Level Month date ** Spread rules and charge amounts Priority Effective date: 7 th July Leg 1 Leg 2 Additional Side of Side of the charge in Level the leg leg euros AF 1 1 A 1 B 30 ACA 1 1 A 1 B 20 ACC 1 1 A 1 B 100 AI 1 1 A 1 B 220 ALS 1 1 A 1 B 110 BN 1 1 A 1 B 140 BNP 1 1 A 1 B 150 CAP 1 1 A 1 B 110 CA 1 1 A 1 B 60 CS 1 1 A 1 B 70 DG 1 1 A 1 B 130 EAD 1 1 A 1 B 80 EDF 1 1 A 1 B 60 EF 1 1 A 1 B 130 EN 1 1 A 1 B 140 ETL 1 1 A 1 B 120 EX 1 1 A 1 B 100 FP 1 1 A 1 B 100 FR 1 1 A 1 B 160 FTE 1 1 A 1 B 30 GAZ 1 1 A 1 B 80

12 Priority Leg 1 Leg 2 Additional Side of Side of the charge in Level the leg leg euros GLE 1 1 A 1 B 90 HAV 1 1 A 1 B 20 KER 1 1 A 1 B 240 KN 1 1 A 1 B 20 LG 1 1 A 1 B 130 LR 1 1 A 1 B 100 MC 1 1 A 1 B 200 MMB 1 1 A 1 B 100 ML 1 1 A 1 B 310 OR 1 1 A 1 B 220 PUB 1 1 A 1 B 120 UL 1 1 A 1 B 770 RI 1 1 A 1 B 140 RNO 1 1 A 1 B 150 SAN 1 1 A 1 B 270 SAG 1 1 A 1 B 130 SCR 1 1 A 1 B 130 SGO 1 1 A 1 B 110 STM 1 1 A 1 B 20 SU 1 1 A 1 B 180 SE 1 1 A 1 B 10 TEC 1 1 A 1 B 170 VIE 1 1 A 1 B 20 VK 1 1 A 1 B 70 ZC 1 1 A 1 B 40 REGULAR INITIAL MARGIN PARAMETERS EQUITY DERIVATIVES EURONEXT BRUSSELS Price and Volatility Scan Range, Short Option Minimum Contract code Name UPSR +/- VSR +/- Effective date: 7 th July Rate for Short Option Min. Position (SOM Rate)** AG AGA / AGB / AGX / AXB AGEAS New 12% 50% 0.01 AGE AGE AGFA-GEVAERT 12% 29% 0.01 AVH AVH ACKERMANS & VAN HAAREN 10% 36% 0.01 BAR BAR BARCO 12% 29% 0.01 BEK BEK / BE6** BEKAERT 11% 25% 0.01 BLG BLG / BLX BELGACOM 10% 34% 0.01 BPO BPO BPOST 10% 44% 0.01 COL COL COLRUYT 11% 23% 0.01 DEL DEL DELHAIZE GROUP 10% 28% 0.01 DXB DXB / DX1 / DX2 DEXIA 37% 50% 0.01 FRB FRB / FOR / FRO / FOB / FOO AGEAS 12% 50% 0.01 GBL GBL GPE BRUXEL.LAMBERT 10% 50% 0.01 GLS GLS GALAPAGOS 16% 50% 0.01 INT INT ANHEUSER-BUSCH INBEV 10% 24% 0.01 KBC KBC KBC 11% 29% 0.01 MOB MOB MOBISTAR 14% 49% 0.01 NYR NYR NYRSTAR 15% 50% 0.01 RCU RCU ARSEUS 10% 20% 0.01

13 Contract code Name UPSR +/- VSR +/- Rate for Short Option Min. Position (SOM Rate)** RTL RTL RTL GROUP 10% 20% 0.01 SOL** SOL/ SO6 SOLVAY 11% 31% 0.01 THR THR THROMBOGENICS 18% 41% 0.01 TLN** TLN / TNX / TNO / TL6 TELENET GROUP HOLDING 22% 38% 0.01 TOTCB TOT TOTAL ARKEMA 17% 30% 0.01 UCB UCB UCB 12% 24% 0.01 UMC UMC UMICORE 11% 23% 0.01 Risk Free Interest rate (*): Euribor (**) = that include Futures on stocks on which Spread rules and charge amounts are applied, reference below FUTURES CONTRACTS Contract code Name UPSR +/- COF CF6 Cofinimmo 13% ELI ES6 Elia System Operator SA/NV 10% INTER MONTH SPREAD CHARGE Level Month date ** TLN Spread rules and charge amounts Priority Leg 1 Leg 2 Side of the leg Level Side of the leg Additional charge in euros AVH 1 1 A 1 B 180 BLG 1 1 A 1 B 100 BEK 1 1 A 1 B 20 COF 1 1 A 1 B 660 COL 1 1 A 1 B 130 DEL 1 1 A 1 B 160 ELI 1 1 A 1 B 150 FRB 1 1 A 1 B 110 GBL 1 1 A 1 B 340 INT 1 1 A 1 B 180 KBC 1 1 A 1 B 80 MOB 1 1 A 1 B 140 SOL 1 1 A 1 B 200 TLN 1 1 A 1 B 20 UCB 1 1 A 1 B 110 UMI 1 1 A 1 B 80 REGULAR INITIAL MARGIN PARAMETERS EQUITY DERIVATIVES EURONEXT AMSTERDAM Price and Volatility Scan Range, Short Option Minimum Contract code Name Effective date: 7 th July UPSR +/- VSR +/- Rate for Short Option Min. Position (SOM Rate)** AAI AAI AALBERTS INDUSTRIES NV 10% 25% 0,05 AGN** AGN / 1AG / 2AG / 4AG / 5AG / AE6 AEGON 12% 25% 0,05 AH** AH / AHO / 1AH / AH6 / 2AH / 4AH / 5AH/ AH6 KON AHOLD 10% 41% 0,05 AKZ** AKZ / 1AK / 2AK / AK6 / 4AK / 5AK / AK6 AKZO NOBEL 11% 30% 0,05

14 Contract code Name UPSR +/- VSR +/- Rate for Short Option Min. Position (SOM Rate)** AMG AMG AMG ADVANCED METTALLURGICAL 12% 28% 0,05 AP AP APERAM 14% 21% 0,05 ARC ARC ARCADIS 10% 26% 0,05 ASL** ASL / ASO / ALO / 1AS / 2AS /4AS / 5AS / AS6 ASML HOLDING 12% 38% 0,05 ASM ASM / ASX ASM INTERNATIONAL 11% 50% 0,05 BAM BAM KONINKLIJKE BAM GROEP 11% 50% 0,05 BCK BCK / BCO BINCKBANK 10% 50% 0,05 BI BI BRUNEL INTERNATIONAL 10% 50% 0,05 BOS BOS BOSKALIS WESTMINSTER NV 10% 30% 0,05 CIO** CIO / CI6 CORIO NV 11% 44% 0,05 CSM CSM / CSO CORBION 10% 50% 0,05 DE DE DE MASTER BLENDERS 10% 50% 0,05 DL DL DELTA LLOYD NV 12% 30% 0,05 DSM** DSM / 1DS / 2DS / 4DS / 5DS/ DS6 KONINKLIJKE DSM 10% 23% 0,05 FUR** FUR / FU6 FUGRO 12% 45% 0,05 GT1** GT1 / GMT / GM6 GEMALTO 11% 33% 0,05 HEI** HEI / HEX / 1HE / HE6 / 2HE / 4HE / 5HE HEINEKEN 10% 35% 0,05 HEY HEY / HMO HEIJMANS NV 13% 29% 0,05 IHC** IHC / SBM / SBO / 1SB / 2SB / 4SB / 5SB / SB6 SBM OFFSHORE NV 13% 49% 0,05 IM** IM / IMM / IM6 ROYAL IMTECH NV 23% 50% 0,05 ING** ING / INO / 1IN / 2IN / 4IN / 5IN / IN6 ING GROEP 12% 26% 0,05 KPN** KPN / KPO / 1KP / 2KP / 4KP / 5KP/ KP6 / 4KO KON KPN 16% 50% 0,05 LC LC / LCX LOGICACMG PLC 17% 45% 0,05 MDQ MDQ MEDIQ N.V 15% 50% 0.05 MT** MT / MI3 / 1MT / 2MT / 4MT / 5MT/MT6 ARCELORMITTAL 12% 18% 0,05 MTCB MTZ / MI1 ARCELOR MITAL COMBO 13% 18% 0,05 NSI NSI NSI 11% 50% 0,05 NUO NUO / NUC / NXO NUTRECO HOLDING 11% 50% 0,05 NYE NYE NYSE EURONEXT Inc 14% 50% 0,05 OCI OCI OCI 10% 20% 0,05 ORD ORD / ORO ORDINA 14% 50% 0,05 PHI** PHI / 1PH / 2PH / 4PH / 5PH / PH6 PHILIPS ELECTRONICS 10% 28% 0,05 PNL** PNL/PN6 POST NL 13% 45% 0,05 RD** RD / 1RD / 2RD / 4RD / 5RD / RD6 ROYAL DUTCH SHELL PLC (A) 11% 26% 0,05 REN** REN / RE6 REED ELSEVIER 10% 33% 0,05 RND** RND / VDR / RA6 RANDSTAD HOLDING 11% 28% 0,05 SR SR SNS REAAL 46% 50% 0,05 TCT TCT TEN CATE 10% 30% 0,05 TKG TKG TKH GROUP 10% 50% 0,05 TNE** TNE / TN6 TNT EXPRESS 12% 50% 0,05 TPGCB TPO / TPG COMBO TNT 11% 50% 0,05 TTM TTM / TMO TOMTOM N.V. 16% 50% 0,05 UN** UN / UOO / 1UN / UN6 / 2UN / 4UN / 5UN/ UN6 UNILEVER 11% 28% 0,05 UNT UNT UNIT4 NV 11% 50% 0,05 USG USG USG PEOPLE N.V. 17% 35% 0,05 VPK VPK VOPAK 10% 31% 0,05 WAV WAV / WVX WAVIN NV 10% 50% 0,05 WES WES KON WESSANEN 11% 41% 0,05 WHV WHV WERELDHAVE NV 10% 20% 0,05 WKL** WKL/ WK6 WOLTERS KLUWER 10% 26% 0,05 ZGO** ZGO/ ZG6 ZIGGO NV 11% 50% 0,05 Risk Free Interest rate (*): Euribor (**) = that include Futures on stocks on which Spread rules and charge amounts are applied, reference below Effective date: 7 th July

15 SPOTLIGHJTS EURONEXT AMSTERDAM Contract code Name UPSR +/- VSR +/- TMG TMG Telegraaf Media Groep NV 15% 20% SLG SLG SLIGRO Food Group NV 12% 23% EXT EXT Exact Holding NV 12% 20% ACC ACC Accell Group NV 13% 20% ALT ALT Altice SA 21% 50% BES BES BE Semiconductor Industries NV 20% 35% NN NN NN GROUP NV 23% 35% INTER MONTH SPREAD CHARGE Level Month date ** Spread rules and charge amounts Priority Leg 1 Leg 2 Additional Side of Side of the charge in Level the leg leg euros AGN 1 1 A 1 B 10 AH 1 1 A 1 B 50 AKZ 1 1 A 1 B 120 MT 1 1 A 1 B 30 ASL 1 1 A 1 B 70 CIO 1 1 A 1 B 270 DSM 1 1 A 1 B 90 FUR 1 1 A 1 B 100 HEI 1 1 A 1 B 60 ING 1 1 A 1 B 20 KPN 1 1 A 1 B 10 PHI 1 1 A 1 B 80 PNL 1 1 A 1 B 10 RND 1 1 A 1 B 80 REN 1 1 A 1 B 40 RD 1 1 A 1 B 40 IM 1 1 A 1 B 20 SBM 1 1 A 1 B 100 TNE 1 1 A 1 B 20 UN 1 1 A 1 B 40 WKL 1 1 A 1 B 70 ZGO 1 1 A 1 B 100 GMT 1 1 A 1 B 90 U 1 1 A 1 B 770 Effective date: 7 th July

16 REGULAR INITIAL MARGIN PARAMETERS EQUITY DERIVATIVES EURONEXT LISBON PRICE SCAN RANGE Contract code Name UPSR +/- MBC MBC BANCO COMERCIAL PORTUGUES 23% ESS ESS BANCO ESPIRITO SANTO 21% BBP BBP BANCO PORTUGUES DE INVESTIMENTO 15% BRS BRS BRISA AUTOESTRADAS DE PORTUGAL 19% EDR EDR EDP RENOVAVEIS 12% EPM EPM ENERGIAS DE PORTUGAL 11% GAL GAL GALP ENERGIA SGPS SA 10% JMT JMT JERONIMO MARTINS 12% PTS PTS PORTUGAL TELECOM 19% RNA RNE/ RNA REDES ENERGETICAS NACIONAIS 14% SNA SNA SONAE 12% SNC SNC SONAECOM SGPS 14% PTA PTA ZON OPTIMUS 11% CTT CT6 CORREIOS DE PORTUGAL 13% PC P06 PORTUCEL 10% SEM SP6 SEMAPA 10% Risk Free Interest rate (*): Euribor Effective date: 7 th July

17 WRONG WAY RISK CO MONEP SCOPE OF POSITION The positions concerned by the WWR are the net positions at Margin Account level on futures and options on equity issued by Clearing Members on their own group company (ies). MONTHLY ADDITIONAL MARGIN CALL The WWR is called monthly on the same day as the Default Fund contribution (4th business day of the month) and is based on the daily WWR average of the previous month. A positive value generates a cover requirement at Collateral Account level if the WWR margin is greater than a threshold A. DAILY ADDITIONAL MARGIN CALL The additional margin due to WWR is calculated daily. When the daily un-margined WWR exceeds a threshold B, a daily additional margin requirement is performed. If Daily WWR > WWR latest month + Threshold B => Daily WWR is required as additional margin If Daily WWR < WWR latest month + Threshold B => WWR remains as additional margin THRESHOLD LEVELS Threshold A: For the monthly additional margin call, the minimum call is set up to 100,000 by Collateral Account. Threshold B: For the daily additional margin call, the variation threshold is set up to 5,000,000. REPORTS: WWR amount is added to others additional margin amounts and appears on the treasury report under the Additional Margins tab. Effective date: 7 th July

18 CURRENCY CURRENCY EXCHANGE RISK CO MONEP REGULAR INITIAL MARGIN PARAMETERS Price and Volatility Scan Range, Short Option Minimum Contract code Name RIM UPSR +/- Risk Free Interest rate (*) VSR+/- Rate for Short Option Min. Position (SOM Rate)** DEX FDE USD / EUR bp DEX bp Euribor 12 % 0.01 EDX FED EUR / USD 640 $ 3.2 bp - EDX bp - 12 % - PEX FPE GBP/EUR bp - PEX - 5 bp Euribor 16% 0.01 PDX FPD GBP/USD $ bp - PDX 4 bp Euribor 13% $ 0.01 INTER MONTH SPREAD CHARGE Levels Level Month date DEX (futures) 5 (futures) 6 (futures) L4 all options EDX (futures) 5 (futures) 6 (futures) L4 all options PEX (futures) all options PDX (futures) all options Spread rules and charge amounts Leg 1 Leg 2 Priority Side of Sens Additional charge Level Level the leg Marché DEX 1 1 A 1 B A 1 B A 1 B A 1 B L A 1 B A 1 B L A 1 B L4 399 EDX 1 1 A 1 B $ A 1 B $ A 1 B $ A 1 B L4 $ A 1 B $ A 1 B L4 $ A 1 B L4 $ 399 PEX 1 1 A 1 B A 1 B 250 PDX 1 1 A 1 B $ A 1 B $ 200 Effective date: 7 th July

19 CURRENCY EXCHANGE RISK CREDIT FOR INTER-COMMODITIES SPREADS Spread rules and credit amounts Priority Credit rate CC code Leg 1 Leg 2 Ratio Side of the leg CC code Ratio Side of the leg 1 80% EDX 1 A DEX 1.9 A CURRENCY EXCHANGE RISK Currency SPAN Currency code ZZ Name Parameters for currency risk EUR EU Euro 0% USD US American dollar 5.5% GBP GB Sterling 5.5% 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: 7 th July

20 INTRA-DAY MARGIN CALL INTRA-DAY MARGIN CALL CO MONEP Thresholds levels for index, currency and equity derivatives 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" for index, currency and equity derivatives (CO Monep). INTRA-DAY MARGIN CALL* CO MATIF Intra-day margin calls are requested to Clearing Members active on Commodities markets when thresholds are reached upon the following principles: Event 1 Event 2 Thresholds A i on Futures (WHEAT, RAPESEED, CORN et MALTING BARLEY) reached and Intra-day Margin call requirements initial margin call requirements > threshold C amount if the Clearing Member revaluated collateral is not sufficient to cover its revalued Intra-day risks Variation between the Intra-day Margin call requirements and initial margin call requirements > Threshold B (in %) and Intra-day Margin call requirements initial margin call requirements > threshold C amount if the Clearing Member revaluated collateral is not sufficient to cover its revalued Intra-day risks Thresholds o A i - The observed market moves (increase and decrease) on the commodities markets, meaning when one of the following thresholds are exceeded against the last closing price of the Commodity Futures, the Intra-day margin calls are required on all clearing members concerned. Index Threshold EBM (WHEAT) +/- 3.3% ECO (RAPESEED) +/- 2.4% EMA (CORN) +/- 3.3% EOB (MALTING BARLEY +/-3.3% o B - When the intra-day risk exposure exceed 10% of the previous Initial Margin, the intra margin call is required. o C - Following A and B, the actual call is performed only if a minimum material amount is reached: 100,000. Effective date: 7 th July

21 INTRA-DAY MARGIN CALL LIQUIDITY & CONCENTRATION RISK MARGIN SCOPE OF POSITION The positions concerned by the LCRM are the net positions at Margin Account level on futures and options on all eligible contracts cleared by the CCP. Note: MATIF and MONEP are considered separately. MONTHLY ADDITIONAL MARGIN CALL The LCRM is called monthly on the same day as the Default Fund contribution (4th business day of the month) and is based on the daily LCRM average of the previous month. A positive value generates a cover requirement at Collateral Account level if the LCRM margin is greater than a threshold A. DAILY ADDITIONAL MARGIN CALL The additional margin due to LCRM is calculated daily. When the daily un-margined LCRM exceeds a threshold B, a daily additional margin requirement is performed. If Daily LCRM > LCRM latest month + Threshold B => Daily LCRM is required as additional margin If Daily LCRM < LCRM latest month + Threshold B => LCRM remains as additional margin THRESHOLD LEVELS Threshold A: For the monthly additional margin call, the minimum call is set up to 100,000 by Collateral Account. Threshold B: For the daily additional margin call, the variation threshold is set up to: Min [5 Mln ; Max (10% x Daily Initial Margin; 100k )] HOLDING PERIOD CAPS For all positions: 8 days USAGE OF MARKET AVERAGE DAILY TRADED VOLUME 25% per day (which lead to a threshold at 75% in regards to the standard holding period of 3 days) of the Market Average Daily Traded Volume considering a 60 business days look up period. CONCENTRATION INDICATOR 5% per day (which lead to a threshold at 15% in regards to the standard holding period of 3 days) of the Equivalent Market Open Interest. REPORTS LCRM amount is added to others additional margin amounts and appears on the treasury report under the Additional Margins tab. Effective date: 7 th July