1004 - Margin Calculation Parameters

CIRCULAR n. 04/10

Date: 18 February 2010

Subject: Margin Calculation Parameters

(Replaces Circular 32/09)

Effective from: 25 February 2010

This Circular is published in accordance with the provisions of Article 21 of the Market
Regulations. The changes regarding the previous Circular are marked in black.

1.- CONSTRUCTION OF VALUATION ARRAYS

Margin Product Total Extraordinary Percentage
Class Fluctuation to Margin Increase and
IBEX 35 & MINI IBEX 35 be Analyzed Decrease of
021 IBEX 35 IMPACTO DIV Fluctuation
099 Volatility
023 BBVA 1,000 points 850 points 15%
024 ABERTIS 20% 16% 15%
025 ENDESA 12% 10% 15%
027 IBERDROLA 10% 8% 15%
028 SANTANDER 14% 11% 15%
030 REPSOL 10% 8% 15%
031 TELEFÓNICA 12% 10% 15%
033 ACERINOX 12% 10% 15%
034 BANCO POPULAR 10% 8% 15%
035 BANKINTER 12% 10% 15%
037 GAS NATURAL 15% 12% 15%
038 12% 10% 15%
043 INDRA 10% 8% 15%
045 INDITEX 11% 9% 15%
046 12% 10% 15%
047 ACS 10% 8% 15%
048 BANCO SABADELL 12% 10% 15%
050 15% 12% 15%
G FERROVIAL 12% 10% 15%
ACCIONA 17% 14% 15%

SACYR VALLEH.

1/5

Margin Class Product Total Extraordinary Percentage
Fluctuation to Margin Increase and
051 FCC be Analyzed Decrease of
052 ENAGAS Fluctuation
053 Volatility
054 REE 14% 11% 15%
056 GAMESA 10% 8% 15%
057 TELECINCO 10% 8% 15%
058 CORP. MAPFRE 15% 12% 15%
060 ANTENA 3TV 15% 12% 15%
061 NH HOTELES 15% 12% 15%
062 BANESTO 17% 14% 15%
063 IBERIA 23% 18% 15%
067 14% 11% 15%
068 PRISA 16% 13% 15%
069 BME 23% 18% 15%
070 GRIFOLS 12% 10% 15%
071 ABENGOA 14% 11% 20%
072 IBER. RENOVABLES 14% 11% 15%
100 CRITERIA 12% 10% 15%
101 ARCELOR MITTAL 12% 10% 15%
102 TOTAL 17% 14% 15%
103 BNP PARIBAS 10% 8% 10%
104 SANOFI – AVENTIS 11% 9% 10%
106 SOCIÉTÉ GÉNÉRALE 11% 9% 10%
107 AXA 12% 10% 10%
108 FRANCE TELECOM 11% 9% 10%
109 VIVENDI 10% 8% 10%
110 DANONE 10% 8% 10%
111 CARREFOUR SUPER. 10% 8% 10%
112 SAINT GOBAIN 10% 8% 10%
113 CRÉDIT AGRICOLE 13% 10% 10%
114 ALCATEL 12% 10% 10%
115 L´ORÉAL 18% 14% 10%
116 AIR LIQUID 10% 8% 10%
118 LVMH 10% 8% 10%
120 RENAULT 10% 8% 10%
121 ING 14% 11% 10%
122 FORTIS 18% 14% 10%
123 UNILEVER 15% 12% 10%
PHILIPS 10% 8% 10%
AEGON 11% 9% 10%
16% 13% 10%

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Margin Class Product Total Extraordinary Percentage
Fluctuation to Margin Increase and
125 NOKIA be Analyzed Decrease of
126 UNICREDIT Fluctuation
127 Volatility
128 ENI 16% 13% 10%
129 INTESA SANPAOLO 12% 10% 10%
130 ASSICURAZIONI GEN 10% 8% 10%
131 11% 9% 10%
132 ENEL 10% 8% 10%
133 TELECOM ITALIA 10% 8% 10%
134 10% 8% 10%
135 E.ON 11% 9% 10%
136 SIEMENS 11% 9% 10%
137 ALLIANZ 11% 9% 10%
138 DEUTSCHE BANK 12% 10% 10%
139 DAIMLER CHRYSLER 13% 10% 10%
140 DEUTSCHE TELEKOM 10% 8% 10%
141 10% 8% 10%
142 RWE 12% 10% 10%
BASF 10% 8% 10%
BAYER 10% 8% 10%
SAP 10% 8% 10%
MÜNCHENER RÜCK

• Comments on the above table

For Class 021 the price fluctuation (up and down) is stated in price points. For the
other Margin Classes the price fluctuation is stated as a percentage of the closing
price of the Underlying asset, equal to the closing price of the respective future on
expiration if available; If not, equal to the closing price of the shares on the Stock
Exchange capitalised on the expiration date, less estimated dividends.

For all Margin Classes the percentage increase and decrease of volatility is
multiplied by the volatility.

• Number of columns 11
3
Classes from 021 to 072:
Classes from 099 to 142:

• Interest Rate

For each option contract, the interest rate corresponding to the number of days
remaining between the valuation date and the option’s expiration date will be used.

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• Time to Expiration

Number of days between the session date and the option’s expiration date, taking
an annual basis of 365 days.

• Dividends

When valuating American stock options MEFF will use the estimated dividends for
each Underlying included from Classes 023 to 142.

• Options Contract Deltas

A different delta for each volatility scenario and Underlying price is used for all
Margin Classes.

• Options Pricing Model Black option pricing model.
For American stock Options the Binomial option
Class 021: pricing model is used, considering a number of time
Classes from 023 to 142: steps equal to 50. For European stock Options
included in these groups, the Black option pricing
model will apply.

2.- APPLICATION OF THE VALUATION ARRAYS TO OPEN POSITIONS

Multiplier

Classes 021 (IBEX 35) & 099 (IBEX 35 DIV IMPACT): 10
Class 021 (MINI IBEX 35): 1
Classes from 023 to 142 (Except Class 099): Contract Nominal

3.- TIME SPREAD MARGINS

Class 021: Margin for a variable spread; Minimum
Value = 20 points and Factor = 1.2

Class 099: Fixed Margin for a spread, equal to 130
Index points.

Classes from 023 to 142 (Except Class 099): Margin for a variable spread; Minimum
Value = 0.2 Euro and Factor = 1.2

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4.- INTER-COMMODITY SPREAD CREDITS

Inter-commodity spread credits, expressed as percentages, are shown in the
following table:

Priority Classes Deltas for 1 spread Margin Credit
(Underlying)
1st IBEX / BSAN 130 / 100,000 60% / 60%
2nd IBEX / BBVA 140 / 100,000 55% / 55%
3rd BBVA / BSAN 55% / 55%
4 th 86 / 100 55% / 55%
5th IBEX / ACS 270 / 100,000 50% / 50%
6 th IBEX / REPSOL 160 / 100,000 50% / 50%
7 th IBEX / B, POPULAR 80 / 100,000 50% / 50%
8 th B, POPULAR / BBVA 50% / 50%
9 th B, POPULAR / B, SABADELL 140 / 100 50% / 50%
10 th BBVA / BANESTO 40 / 100 45% / 45%
11 th BSAN / B. POPULAR 50 / 100 45% / 45%
12 th IBEX / IBERDROLA 53 / 100 45% / 45%
13 th BANESTO / B. POPULAR 50 / 100,000 45% / 45%
14th BSAN / BANESTO 69 / 100 45% / 45%
15th IBEX / ABERTIS 51 / 100 40% / 40%
16th IBEX / B. SABADELL 100 / 100,000 40% / 40%
17 th IBEX / TELEFONICA 40 / 100,000 35% / 35%
18 th BSAN / B, SABADELL 110 / 100,000 35% / 35%
19 th BANESTO / B. SABADELL 25 / 100 35% / 35%
20 th IBEX / BANESTO 33 / 100 35% / 35%
21 st ABERTIS/ BBVA 80 / 100,000 35% / 35%
22 nd REPSOL / BBVA 71 / 100 30% / 30%
23 rd 395 / 100 30% / 30%
24 th ACS / BBVA 31 / 100 30% / 30%
25 th BBVA / TELEFONICA 61 / 100 30% / 30%
26 th B. SABADELL / BBVA 234 / 100 30% / 30%
27 th 180/ 100,000 25% / 25%
28 th IBEX / GAMESA 80 / 100,000 25% / 25%
29 th IBEX / FERROVIAL 26 / 100 20% / 20%
30 th 260 / 100,000 20% / 20%
31 st ACS / ABERTIS 240 / 100,000 20% / 20%
32 nd IBEX / INDITEX 63 / 100 15% / 15%
790 / 100,000
IBEX / FCC 26 / 100
ACS / FCC
IBEX / ACCIONA
FCC/ BBVA

5.- MARGIN DETERMINATION BY ACCOUNT HOLDER
Initial Margins are jointly calculated for all Margin Classes.

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