NOTICE OF CHANGE IN MARGIN PARAMETERS

RISK NOTICE 2016-004 19th January 2016

NOTICE OF CHANGE IN MARGIN PARAMETERS

LCH.Clearnet SA has revised margin parameters

LCH.Clearnet SA has revised the parameters applied to transactions on Debt Securities
executed on Trading and Matching Platforms. In summary:

 The margin on the following debt securities issued by the Italian government has been
decreased: 4.75-7 years and CCT

 Some offset parameters on Italy have been reviewed

These changes shall come into effect from the close of business on 20th January 2016 and will
be reflected in the margin calls on 21st January 2016.

The margins in this Notice supersede margins in any previous ones, click here for previous
Notices

For further information please contact:

LCH.Clearnet SA Risk Management Department

LCH.Clearnet SA Fixed Income Market Risk | LCH.Clearnet | Tel +33 (0)1 70 37 65 45
Email: [email protected]
Website: www.lchclearnet.com

* Effective date: 20th January 2016 1/9

Classes : Duration Italy Current Charge Trend
Italy
001 ]0-1 month] Previous Charge 
002 ]1-3 month] 
003 ]3-9 month] 0,15% 0,15% 
004 ]0,75-1,25 year] 0,30% 0,30% 
005 ]1,25-2 year] 0,75% 0,75% 
006 ]2-3,25 year] 1,30% 1,30% 
007 ]3,25-4,75 year] 2,40% 2,40% 
008 ]4,75-7 year] 3,45% 3,45% 
009 ]7-10 year] 4,66% 4,66% 
010 ]10-15 year] 6,05% 6,00% 
011 ]15-30 year] 6,85% 6,85% 
Italian inflation indexed 7,80% 7,80%
012 Bonds (BTPi’s) 15,75% 15,75% 

013 CCT Bonds 9,65% 9,65%
3,15% 2,75% Trend

Classes : Duration France Current Charge 
France 
101 ]0-1 month] Previous Charge 0,15% 
102 ]1-3 month] 0,25% 
103 ]3-9 month] 0,15% 0,30% 
104 ]0,75-1,25 year] 0,25% 0,40% 
105 ]1,25-2 year] 0,30% 0,75% 
106 ]2-3,25 year] 0,40% 1,15% 
107 ]3,25-4,75 year] 0,75% 1,70% 
108 ]4,75-7 year] 1,15% 2,35% 
109 ]7-10 year] 1,70% 3,55% 
110 ]10-15 year] 2,35% 5,35% 
111 ]15-30 year] 3,55% 11,40%
113 ]30-50 year] 5,35% 21,00%
11,40%
21,00%

* Effective date: 20th January 2016 2/9

Classes : Duration Spain Current Charge Trend
Spain
]0-1 month] Previous Charge 0,20% 
201 ]1-3 month] 0,30% 
202 ]3-9 month] 0,20% 0,80% 
203 ]0,75-1,25 year] 0,30% 1,20% 
204 ]1,25-2 year] 0,80% 2,70% 
205 ]2-3,25 year] 1,20% 3,80% 
206 ]3,25-4,75 year] 2,70% 4,80% 
207 ]4,75-7 year] 3,80% 5,80% 
208 ]7-10 year] 4,80% 7,50% 
209 ]10-15 year] 5,80% 10,30% 
210 ]15-30 year] 7,50% 17,00% 
211 10,30%
17,00%

* Effective date: 20th January 2016 3/9

Italian offsets

Class Duration 001 002 003 004 005 006 007 008 009 010 011 012 013

001 ]0-1 month] 5%
Priority ]1-3 month] 0001

002

Priority ]3-9 month] 25% 15%
003 0002 0012

Priority 15% 50% 35%
004 ]0,75-1,25 year] 0012 0003 0013

Priority 35% 75% 35% 20%
005 ]1,25-2 year] 0013 0004 0014 0015

Priority 35% 65% 40% 20% 25% 20%
006 ]2-3,25 year] 0014 0005 0016 0017 0019 0020

Priority 20% 40% 65% 40% 45% 30%
007 ]3,25-4,75 year] 0015 0016 0006 0018 0021 0022

Priority 20% 40% 70% 70% 50% 20%
008 ]4,75-7 year] 0017 0018 0007 0008 0024 0023

Priority 25% 45% 50% 70% 30%
009 0019 0021 0024 0009 0025

]7-10 year] 20% 30% 30% 50% 50% 25%
0020 0022 0025 0026 0026 0027
Priority
010 ]10-15 year] 20% 25%
0023 0027
Priority 70% 40%
011 ]15-30 year] 0010 0028

Priority 40% 55%
0028 0011

012 Inflation indexed 0%
0029
Bonds (BTPi's)
0%
Priority 0030

013 CCT
Priority

* Effective date: 20th January 2016 4/9

France offsets

Class Duration 101 102 103 104 105 106 107 108 109 110 111 113

101 ]0-1 month] 5%
Priority ]1-3 month] 0101

102

Priority 25% 0% 45%
103 ]3-9 month] 0102 0112 0113

Priority 0% 75% 80%
104 0112 0103 0104

Priority ]0,75-1,25 45% 40% 40% 15%
105 year] 0113 0114 0114 0115

]1,25-2 year] 15% 70% 35% 0% 0%
0115 0105 0116 0117 0118
Priority 0%
106 ]2-3,25 year] 35% 60% 35% 15% 0121
0116 0106 0119 0120
Priority ]3,25-4,75 20% 0%
107 year] 0% 35% 65% 35% 0123 0124
0117 0119 0107 0122
Priority ]4,75-7 year] 40% 25% 0%
108 0% 15% 35% 65% 0125 0126 0127
0118 0120 0122 0108
Priority 70% 45% 20%
109 ]7-10 year] 0% 20% 40% 0109 0128 0129
0121 0123 0125
Priority 45% 75% 40%
110 ]10-15 year] 0% 25% 0128 0110 0130
0124 0126
Priority 20% 40% 75%
111 ]15-30 year] 0% 0129 0130 0111
0127
Priority 80%
0131
113 ]30-50 year]]

Priority

* Effective date: 20th January 2016 5/9

Spain offsets

Class Duration 201 202 203 204 205 206 207 208 209 210 211

201 ]0-1 month] 5%
Priority ]1-3 month] 0201

202 ]3-9 month] 25% 40% 35%
0202 0212 0213
Priority
203 40% 70% 75%
0212 0203 0204
Priority
204 ]0,75-1,25 year] 35% 35% 35% 0%
0213 0214 0214 0215
Priority
205 ]1,25-2 year] 0% 65% 35% 20% 0%
0215 0205 0216 0217 0218
Priority ]2-3,25 year] 0%
206 35% 65% 40% 25% 0221
]3,25-4,75 year] 0216 0206 0219 0220 0%
Priority 30% 0224
207 ]4,75-7 year] 20% 40% 70% 45% 0223
0217 0219 0207 0222 30% 0%
Priority 50% 0226 0227
208 0% 25% 45% 70% 0225
0218 0220 0222 0208 45% 20%
Priority 70% 0228 0229
209 ]7-10 year] 0% 30% 50% 0209
0221 0223 0225 75% 35%
Priority 45% 0210 0230
210 ]10-15 year] 0% 30% 0228
0224 0226 35% 70%
Priority 20% 0230 0211
211 ]15-30 year] 0% 0229
0227
Priority

* Effective date: 20th January 2016 6/9

Italy-France inter-commodity offsets

France 101 102 103 104 105 106 107 108 109 110 111 113

Italy Duration ]0-1 ]1-3 ]3-9 ]0,75- ]1,25-2 ]2-3,25 ]3,25- ]4,75-7 ]7-10 year] ]10-15 ]15-30 ]30-50
1,25 year] year] 4,75 year] year] year] year]
month] month] month] year] year]

001 ]0-1 month] 5%
Priority ]1-3 month] 1001

002 ]3-9 month] 25% 30% 40%
1002 1012 1014
Priority
003 20% 30% 30%
1013 1003 1004
Priority
004 ]0,75-1,25 year] 15% 10% 40% 0%
1015 1017 1016 1018
Priority
005 ]1,25-2 year] 0% 20% 35% 0%
1019 1005 1020 1022
Priority ]2-3,25 year] 0% 0%
006 10% 25% 40% 1026 1028
]3,25-4,75 year] 1021 1006 1024 0%
Priority 40% 0% 1034
007 0% 15% 30% 1030 1032
1023 1025 1007 0%
Priority 35% 40% 1038
008 ]4,75-7 year] 0% 20% 1008 1036
1027 1031 40% 0%
Priority ]7-10 year] 25% 45% 1040 1042
009 0% 0% 1037 1009
1029 1033 50% 35%
Priority 0% 30% 1010 1044
010 ]10-15 year] 0% 1039 1041
1035 25% 45%
Priority 0% 1045 1011
011 ]15-30 year] 1043

Priority Inflation indexed
012 Bonds (BTPi's)

Priority CCT
013

Priority

* Effective date: 20th January 2016 7/9

Italy-Spain inter-commodity offsets

Spain 201 202 203 204 205 206 207 208 209 210 211

Italy Duration ]0-1 ]1-3 ]3-9 ]0,75- ]1,25-2 ]2-3,25 ]3,25- ]4,75-7 ]7-10 year] ]10-15 ]15-30
month] month] month] 1,25 year] year] 4,75 year] year] year]
year] year]

001 ]0-1 month] 5%
Priority ]1-3 month] 2001

002 ]3-9 month] 35% 35% 35%
2002 2012 2014
Priority ]0,75-1,25
003 year] 30% 50% 65%
2013 2003 2004
Priority ]1,25-2 year]
004 30% 30% 35% 0%
2015 2017 2016 2018
Priority
005 ]2-3,25 year] 0% 60% 40% 0% 0% 0%
2019 2005 2020 2022 2026 2028
Priority ]3,25-4,75
006 year] 35% 65% 45% 45% 0% 0%
2021 2006 2024 2030 2032 2034
Priority ]4,75-7 year]
007 0% 40% 70% 65% 45% 0%
2023 2025 2007 2008 2036 2038
Priority
008 ]7-10 year] 0% 45% 45% 70% 45% 0%
2027 2031 2037 2009 2040 2042
Priority
009 0% 0% 0% 45% 70% 35%
2029 2033 2039 2041 2010 2044
Priority
010 ]10-15 year] 0% 0% 35% 65%
2035 2043 2045 2011
Priority
011 ]15-30 year]

Priority Inflation indexed
012 Bonds (BTPi's)

Priority CCT
013

Priority

* Effective date: 20th January 2016 8/9

France-Spain inter-commodity offsets

Spain 201 202 203 204 205 206 207 208 209 210 211

France Duration ]0-1 ]1-3 ]3-9 ]0,75- ]1,25-2 ]2-3,25 ]3,25- ]4,75-7 ]7-10 year] ]10-15 ]15-30
month] month] month] 1,25 year] year] 4,75 year] year] year]
year] year]

101 ]0-1 month] 5%
Priority ]1-3 month] 2101

102 ]3-9 month] 30% 20% 15%
2102 2112 2114
Priority
103 35% 30% 30%
2113 2103 2104
Priority
104 ]0,75-1,25 year] 40% 40% 15% 0%
2115 2117 2116 2118
Priority
105 ]1,25-2 year] 0% 25% 15% 0%
2119 2105 2120 2122
Priority ]2-3,25 year] 0% 0%
106 40% 25% 15% 2126 2128
]3,25-4,75 year] 2121 2106 2124 0%
Priority 20% 0% 2134
107 0% 40% 30% 2130 2132
2123 2125 2107 0%
Priority 35% 25% 2138
108 ]4,75-7 year] 0% 35% 2108 2136
2127 2131 30% 0%
Priority ]7-10 year] 35% 45% 2140 2142
109 0% 0% 2137 2109
2129 2133 45% 25%
Priority 0% 40% 2110 2144
110 ]10-15 year] 0% 2139 2141
]15-30 year] 2135 35% 45%
Priority 0% 2145 2111
111 2143

Priority ]30-50 year]]
113

Priority

* Effective date: 20th January 2016 9/9