Number: C-DF- 30/2019

Segment: Financial Derivatives

Date: 25 September 2019

Circular Effective Date: 27 September 2019

Replaces: C-DF-27/2019

Subject Margin Calculation Parameters.

In accordance with the provisions of the Article regarding “Margins required by BME CLEARING” of BME CLEARING’s Summary Rule Book, this Circular establishes the Margin Calculation Parameters.

1.- CONSTRUCTION OF VALUATION ARRAYS

Total Percentage Extraordinary Fluctuation Increase and Margin Class Product Margin to be Decrease of Fluctuation analyzed Volatility 002 BONO 10 600 b.p. 480 b.p. 10% 021 IBEX 35, MINI IBEX 35 & MICRO IBEX 35 800 points 640 points 38% 0S1 IBEX 35 BANKS 11% 9% 10% 0S2 IBEX 35 ENERGY 8% 6% 10% 023 BBVA 11% 9% 27% 025 8% 6% 42% 027 8% 6% 32% 028 SANTANDER 11% 9% 28% 030 9% 7% 28% 031 TELEFÓNICA 8% 6% 26% 033 10% 8% 27% 035 10% 8% 34% 037 9% 7% 32% 038 INDRA 11% 9% 37% 041 AMADEUS 10% 8% 29% 043 10% 8% 28% 045 ACS 10% 8% 47% 046 11% 9% 33% 047 G 9% 7% 31% 048 9% 7% 29% 050 SACYR VALLEH. 13% 10% 39% 051 FCC 10% 8% 50% 052 ENAGAS 11% 9% 45% 053 REE 8% 6% 26% 054 16% 13% 27% 056 MEDIASET 13% 10% 43% 057 CORP. 10% 8% 46% 058 ATRESMEDIA 14% 11% 32%

1/9

Total Percentage Extraordinary Fluctuation Increase and Margin Class Product Margin to be Decrease of Fluctuation analyzed Volatility 066 COLONIAL 10% 8% 30% 067 BME 8% 6% 39% 068 10% 8% 28% 072 ARCELOR MITTAL 14% 11% 22% 073 TEC. REUNIDAS 10% 8% 32% 074 OBRASCON HUARTE 28% 22% 27% 076 EBRO FOODS 8% 6% 41% 078 IAG 11% 9% 27% 080 CAIXABANK 12% 10% 28% 081 10% 8% 41% 082 DIA 43% 34% 36% 085 VISCOFAN 10% 8% 40% 087 AENA 9% 7% 39% 088 MERLIN 9% 7% 20% 089 12% 10% 26% 090 MELIA 10% 8% 21% 091 CIE AUTOMOTIVE 11% 9% 25% 092 15% 12% 34% 099 IBEX 35 IMPACTO DIV YEAR 1 3% 2% 10% 199 IBEX 35 IMPACTO DIV YEAR 2 4% 3% 10% 299 IBEX 35 IMPACTO DIV YEARS 3-5 5% 4% 10% 399 IBEX 35 IMPACTO DIV YEARS 6-8 6% 5% 10% 150 DIVIDENDS BBVA YEAR 1 5% 4% 10% 250 DIVIDENDS BBVA YEAR 2 15% 12% 10% 350 DIVIDENDS BBVA YEARS 3-5 22% 18% 10% 450 DIVIDENDS BBVA YEARS 6-8 26% 21% 10% 151 DIVIDENDS IBERDROLA YEAR 1 2% 2% 10% 251 DIVIDENDS IBERDROLA YEAR 2 10% 8% 10% 351 DIVIDENDS IBERDROLA YEARS 3-5 12% 10% 10% 451 DIVIDENDS IBERDROLA YEARS 6-8 16% 13% 10% 152 DIVIDENDS SANTANDER YEAR 1 5% 4% 10% 252 DIVIDENDS SANTANDER YEAR 2 14% 11% 10% 352 DIVIDENDS SANTANDER YEARS 3-5 18% 14% 10% 452 DIVIDENDS SANTANDER YEARS 6-8 22% 18% 10% 153 DIVIDENDS REPSOL YEAR 1 4% 3% 10% 253 DIVIDENDS REPSOL YEAR 2 14% 11% 10% 353 DIVIDENDS REPSOL YEARS 3-5 16% 13% 10% 453 DIVIDENDS REPSOL YEARS 6-8 20% 16% 10% 154 DIVIDENDS TELEFÓNICA YEAR 1 2% 2% 10% 254 DIVIDENDS TELEFÓNICA YEAR 2 10% 8% 10% 354 DIVIDENDS TELEFÓNICA YEARS 3-5 12% 10% 10% 454 DIVIDENDS TELEFÓNICA YEARS 6-8 18% 14% 10% 155 DIVIDENDS INDITEX YEAR 1 2% 2% 10% 255 DIVIDENDS INDITEX YEAR 2 14% 11% 10% 355 DIVIDENDS INDITEX YEARS 3-5 18% 14% 10%

Circular C-DF-30/2019 2/9

Total Percentage Extraordinary Fluctuation Increase and Margin Class Product Margin to be Decrease of Fluctuation analyzed Volatility 455 DIVIDENDS INDITEX YEARS 6-8 24% 19% 10% 157 DIVIDENDS NATURGY YEAR 1 4% 3% 10% 257 DIVIDENDS NATURGY YEAR 2 9% 7% 10% 357 DIVIDENDS NATURGY YEARS 3-5 10% 8% 10% 457 DIVIDENDS NATURGY YEARS 6-8 13% 10% 10% 158 DIVIDENDS CAIXABANK YEAR 1 2% 2% 10% 258 DIVIDENDS CAIXABANK YEAR 2 25% 20% 10% 358 DIVIDENDS CAIXABANK YEARS 3-5 25% 20% 10% 458 DIVIDENDS CAIXABANK YEARS 6-8 25% 20% 10%

Dividend Futures Intervals are applied to both contract sizes.

 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 capitalized 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

Classes 0S1, 0S2, 021 and from 092: 11 Classes 002, and from 099 to 458: 3

 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.

 Time to expiration

Number of days between the session date and the option’s expiration date, taking an annual basis of 365 days, if the annualized period is greater than 365 days, and 360 days otherwise.

 Dividends

When valuating American stock options MEFF will use the estimated dividends for each underlying included from Classes 023 to 458.

Circular C-DF-30/2019 3/9

 Options Pricing Model

Class 021: Black option pricing model.

Classes from 023 to 092: For American stock Options the Binomial option pricing model is used, considering a number of time steps equal to 50. For European stock Options included in these groups, the Black & Scholes option pricing model will apply.

2.- APPLICATION OF THE VALUATION ARRAYS TO OPEN POSITIONS

Multiplier

Classes 021 (IBEX 35), 099, 199, 299 and 399 (IBEX 10 35 IMPACTO DIV) and 002 (BONO 10):

Classes 0S1 and 0S2 (Sectorial IBEX 35 Indexes): 5

Class 021 (MINI IBEX 35): 1

Class 021 (MICRO IBEX 35): 0.1

Classes from 023 to 458 (Except Classes 099, 199, 299 Contract Nominal and 399):

3.- TIME SPREAD MARGINS

Variable Time Spread Margin Products

Minimum Margin Class Product Factor spread margin 002 BONO 10 160 p.b. 1.2 021 IBEX 35, MINI IBEX 35 & MICRO IBEX 35 25 points 1.2 0S1 IBEX 35 BANKS 25 points 1.2 0S2 IBEX 35 ENERGY 35 points 1.2 023 BBVA 1.03 euro 1.2 025 ENDESA 0.33 euro 1.2 027 IBERDROLA 0.50 euro 1.2 028 SANTANDER 1.01 euro 1.2 030 REPSOL 0.51 euro 1.2 031 TELEFÓNICA 0.20 euro 1.2 033 ACERINOX 0.72 euro 1.2 035 BANKINTER 0.54 euro 1.2 037 NATURGY 0.62 euro 1.2 038 INDRA 1.07 euro 1.2 041 AMADEUS 0.45 euro 1.2 043 INDITEX 0.20 euro 1.2 045 ACS 0.38 euro 1.2

Circular C-DF-30/2019 4/9

Minimum Margin Class Product Factor spread margin 046 BANCO SABADELL 0.28 euro 1.2 047 G FERROVIAL 0.40 euro 1.2 048 ACCIONA 3.54 euro 1.2 050 SACYR VALLEH. 0.23 euro 1.2 051 FCC 0.29 euro 1.2 052 ENAGAS 0.68 euro 1.2 053 REE 0.63 euro 1.2 054 SIEMENS GAMESA 0.7 euro 1.2 056 MEDIASET 0.43 euro 1.2 057 CORP. MAPFRE 0.20 euro 1.2 058 ATRESMEDIA 0.68 euro 1.2 066 COLONIAL 1.14 euro 1.2 067 BME 0.68 euro 1.2 068 GRIFOLS 2.08 euro 1.2 072 ARCELOR MITTAL 1.31 euro 1.2 073 TEC. REUNIDAS 0.43 euro 1.2 074 OBRASCON HUARTE 0.87 euro 1.2 076 EBRO FOODS 0.61 euro 1.2 078 IAG 0.21 euro 1.2 080 CAIXABANK 0.47 euro 1.2 081 BANKIA 0.20 euro 1.2 082 DIA 0.47 euro 1.2 085 VISCOFAN 0.68 euro 1.2 087 AENA 5.42 euro 1.2 088 MERLIN 1.05 euro 1.2

089 CELLNEX 0.62 euro 1.2 090 MELIA 2.02 euro 1.2 091 CIE AUTOMOTIVE 1.15 euro 1.2 092 ENCE 1.03 euro 1.2

Fixed Time Spread Margin Products

Fixed Margin Class Product Spread Margin 099 IBEX 35 IMPACTO DIV YEAR 1 20 points 199 IBEX 35 IMPACTO DIV YEAR 2 20 points 299 IBEX 35 IMPACTO DIV YEARS 3-5 20 points 399 IBEX 35 IMPACTO DIV YEARS 6-8 20 points 150 DIVIDENDS BBVA YEAR 1 0.02 euro 250 DIVIDENDS BBVA YEAR 2 0.04 euro 350 DIVIDENDS BBVA YEARS 3-5 0.04 euro 450 DIVIDENDS BBVA YEARS 6-8 0.04 euro 151 DIVIDENDS IBERDROLA YEAR 1 0.02 euro 251 DIVIDENDS IBERDROLA YEAR 2 0.04 euro 351 DIVIDENDS IBERDROLA YEARS 3-5 0.04 euro

Circular C-DF-30/2019 5/9

Fixed Margin Class Product Spread Margin 451 DIVIDENDS IBERDROLA YEARS 6-8 0.04 euro 152 DIVIDENDS SANTANDER YEAR 1 0.02 euro 252 DIVIDENDS SANTANDER YEAR 2 0.03 euro 352 DIVIDENDS SANTANDER YEARS 3-5 0.04 euro 452 DIVIDENDS SANTANDER YEARS 6-8 0.04 euro 153 DIVIDENDS REPSOL YEAR 1 0.06 euro 253 DIVIDENDS REPSOL YEAR 2 0.11 euro 353 DIVIDENDS REPSOL YEARS 3-5 0.14 euro 453 DIVIDENDS REPSOL YEARS 6-8 0.14 euro 154 DIVIDENDS TELEFÓNICA YEAR 1 0.02 euro 254 DIVIDENDS TELEFÓNICA YEAR 2 0.05 euro 354 DIVIDENDS TELEFÓNICA YEARS 3-5 0.05 euro 454 DIVIDENDS TELEFÓNICA YEARS 6-8 0.05 euro 155 DIVIDENDS INDITEX YEAR 1 0.02 euro 255 DIVIDENDS INDITEX YEAR 2 0.10 euro 355 DIVIDENDS INDITEX YEARS 3-5 0.14 euro 455 DIVIDENDS INDITEX YEARS 6-8 0.14 euro 157 DIVIDENDS NATURGY YEAR 1 0.05 euro 257 DIVIDENDS NATURGY YEAR 2 0.12 euro 357 DIVIDENDS NATURGY YEARS 3-5 0.13 euro 457 DIVIDENDS NATURGY YEARS 6-8 0.13 euro 158 DIVIDENDS CAIXABANK YEAR 1 0.02 euro 258 DIVIDENDS CAIXABANK YEAR 2 0.04 euro 358 DIVIDENDS CAIXABANK YEARS 3-5 0.04 euro 458 DIVIDENDS CAIXABANK YEARS 6-8 0.04 euro

4.- INTER-COMMODITY SPREAD CREDITS

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

Deltas for 1 Priority Classes (Underlying) Margin Credit spread

1st IBEX 35 BANKS / BBVA 941 / 100,000 60% / 60%

2nd IBEX 35 BANKS / SANTANDER 713 / 100,000 60% / 60%

3rd IBEX 35 / IBEX 35 BANKS 91 / 1000 60% / 60%

4th IBEX 35 / SANTANDER 70 / 100,000 55% / 55%

5th IBEX 35 / BBVA 83 / 100,000 40% / 40%

6th IBEX 35 BANKS / BANCO SABADELL 222 / 100,000 40% / 40%

7th IBEX 35 BANKS / CAIXABANK 585 / 100,000 35% / 35%

8th REE / ENAGAS 103 / 100 35% / 35%

Circular C-DF-30/2019 6/9

Deltas for 1 Priority Classes (Underlying) Margin Credit spread

9th IBEX 35 / TELEFÓNICA 75 / 100,000 35% / 35%

10th BBVA / SANTANDER 59 / 100 35% / 35%

11th SANTANDER / MAPFRE 33 / 100 35% / 35%

12th BANCO SABADELL / CAIXABANK 195 / 100 30% / 30%

13th IBEX 35 / MAPFRE 27 / 100,000 30% / 30%

14th IBEX 35 / BANKIA 40 / 100,000 30% / 30%

15th IBEX 35 / ACS 411 / 100,000 25% / 25%

16th IBERDROLA / ENDESA 215 / 100 25% / 25%

17th IBEX 35 ENERGY / NATURGY 1,880 / 100,000 20% / 20%

18th IBEX 35 ENERGY / IBERDROLA 629 / 100,000 20% / 20%

19th IBEX 35 BANKS / MAPFRE 242 / 100,000 20% / 20%

20th IBERDROLA / NATURGY 235 / 100 20% / 20%

21st REE / ENDESA 75 / 100 20% / 20%

22nd IBEX 35 / ARCELORMITTAL 393 / 100,000 20% / 20%

23rd IBEX 35 BANKS / BANKINTER 934 / 100,000 15% / 15%

24th TELEFÓNICA / SANTANDER 48 / 100 15% / 15%

5.- DETERMINATION OF THE INITIAL MARGIN AT THE MARGIN ACCOUNT LEVEL

Initial Margins are jointly calculated for all Margin Classes.

6.- INCREASE OF THE INITIAL MARGIN PARAMETERS DEPENDING ON THE RESULT OF THE RETROSPECTIVE TESTS

According to Article 49 (EU) Regulation 648 / 2012, which defines the performance of back testing, developed in the BME CLEARING’s Back Testing Instruction, and Article 56 (1) of the Delegated Regulation (EU) 153 / 2013, if at any time the daily back tests performed would prove that the initial margin coverage does not reach the confidence level that the CCP must achieve, initial margin parameters included in this Circular can be immediately increased.

Circular C-DF-30/2019 7/9

7.- CALCULATING THE POSITION MARGIN AT ACCOUNT LEVEL FOR CONTINUOUS CURRENCY FUTURES CONTRACTS

The values of the parameters used for calculating the Position Margin for this type of contract are given below:

- Number of sessions to use. At least the last 2,522 sessions (252 sessions for a period of 10 years plus two days). - MPOR. Estimated number of days needed to close a position of a position in a generic manner, both client accounts and proprietary accounts: 2 days (EMIR Regulation). - IM Buffer. Multiplicative factor that applies to the resulting Initial Margin Max (Base IM, IM Floor). The IM Buffer applies when the number of days between the next settlement date and the settlement date immediately following it, are far from 2 days.

The multiplicative factor will be √difference in days. 2 - Scenarios analysed. Scenarios that are analysed. There will be at least 2,520 scenarios. - Historical VaR confidence level. Confidence level used to calculate the Base IM according to historical VaR: 99% (EMIR regulation). - Worst-case scenario with historical VaR confidence level. Using the historical VaR confidence level of 99% and 2,520 scenarios analysed, the 25th worst-case scenario for the account is the selected scenario. - Largest-loss scenarios. Number of scenarios used in the Expected Shortfall (ES) algorithm to obtain the value of the expected shortfall for the account by using an average of the worst-case scenarios. The 18 worst scenarios for each account are selected. - IM Floor. Minimum percentage of initial margin according to Article 27.4 of Delegated Regulation (EU) 153/2013. The minimum percentage is 20%. - Decay factor. For each pair of currency, spot and forward, the value between 0 and 1 that is used in the Exponentially Weighted Moving Average (EWMA) method. - Risk factor Buffer. Multiplier factor established for a Continuous Futures Contract on the “XY” currency pair.

Spot Forward Risk factor Underlying Decay points Decay Buffer Factor Factor Currency X /

Currency Y

Circular C-DF-30/2019 8/9

- Market capacity and illiquidity surcharge. The following table shows an example of the Member Survey:

Multiplier and illiquidity surcharge (in pips) Maximum X1 – X2 – X5 – X10 – X50 – Underlying volume in Maximum Twice Five times Ten times Fifty times market volume in volume in volume in volume in volume in Market market market market market Currency X / Currency Y

- Solvency Multiplier. Parameter used to increase the Initial Margin of a margin Account for Members with low solvency. The increase starts in the lowest solvency levels, according to what is defined in the Calculation of Shareholders Equity and Solvency Circular, as shown in the following table:

Member Solvency Ratio Multiplier Multiplier S7 1.25 S8 1.50 S9 1.80

Clearing Members who are downgraded will have a period of five business days to adjust the additional initial margin amount. Thus, the multiplier that corresponds to the new solvency level will be updated by the CCP on the following business day after these five business days.

Circular C-DF-30/2019 9/9