Asuntos que se someten a la aprobación del Consejo

Circular
Number:
C-DF-03/2016
Segment:
Financial Derivatives
Date:
3 February 2016
Effective Date:
10 February 2016
Replaces:
C-DF-24/2015
Subject
Margin Calculation Parameters.
Summary
In accordance with the provisions of Article 20.2.C of the Rule
Book, this Circular establishes the Margin Calculation
Parameters.
The changes regarding the previous Circular are marked in bold.
1.- CONSTRUCTION OF VALUATION ARRAYS
Margin Class
Product
Total
Fluctuation
to be
Analyzed
Extraordinary
Margin
Fluctuation
Percentage
Increase and
Decrease of
Volatility
002
BONO 10
700 points
560 points
10%
021
IBEX 35 & MINI IBEX 35
950 points
760 points
25%
099
IBEX 35 IMPACTO DIV YEAR 1
4%
3%
10%
199
IBEX 35 IMPACTO DIV YEAR 2
9%
7%
10%
299
IBEX 35 IMPACTO DIV YEARS 3-5
11%
9%
10%
023
BBVA
11%
9%
22%
150
DIVIDENDOS BBVA YEAR 1
11%
9%
10%
250
DIVIDENDOS BBVA YEAR 2
16%
13%
10%
350
DIVIDENDOS BBVA YEARS 3-5
18%
14%
10%
024
ABERTIS
10%
8%
27%
025
ENDESA
10%
8%
25%
027
IBERDROLA
10%
8%
27%
151
DIVIDENDOS IBERDROLA YEAR 1
15%
12%
10%
251
DIVIDENDOS IBERDROLA YEAR 2
18%
14%
10%
351
DIVIDENDOS IBERDROLA YEARS 3-5
21%
17%
10%
028
SANTANDER
11%
9%
23%
152
DIVIDENDOS SANTANDER YEAR 1
8%
6%
10%
252
DIVIDENDOS SANTANDER YEAR 2
17%
14%
10%
352
DIVIDENDOS SANTANDER YEARS 3-5
21%
17%
10%
030
REPSOL
14%
11%
23%
153
DIVIDENDOS REPSOL YEAR 1
8%
6%
10%
253
DIVIDENDOS REPSOL YEAR 2
17%
14%
10%
353
DIVIDENDOS REPSOL YEARS 3-5
23%
18%
10%
031
TELEFÓNICA
10%
8%
27%
154
DIVIDENDOS TELEFÓNICA YEAR 1
11%
9%
10%
254
DIVIDENDOS TELEFÓNICA YEAR 2
11%
9%
10%
354
DIVIDENDOS TELEFÓNICA YEARS 3-5
12%
10%
10%
033
ACERINOX
15%
12%
28%
1/6
Margin Class
Product
Total
Fluctuation
to be
Analyzed
Extraordinary
Margin
Fluctuation
Percentage
Increase and
Decrease of
Volatility
034
BANCO POPULAR
14%
11%
15%
035
BANKINTER
12%
10%
18%
037
GAS NATURAL
10%
8%
21%
038
INDRA
12%
10%
18%
041
AMADEUS
10%
8%
24%
043
INDITEX
10%
8%
21%
155
DIVIDENDOS INDITEX YEAR 1
10%
8%
10%
255
DIVIDENDOS INDITEX YEAR 2
10%
8%
10%
355
DIVIDENDOS INDITEX YEARS 3-5
11%
9%
10%
045
ACS
12%
10%
25%
046
BANCO SABADELL
14%
11%
15%
047
G FERROVIAL
10%
8%
26%
048
ACCIONA
12%
10%
22%
050
SACYR VALLEH.
16%
13%
15%
051
FCC
19%
15%
15%
052
ENAGAS
10%
8%
25%
053
REE
10%
8%
20%
054
GAMESA
16%
13%
18%
056
MEDIASET
13%
10%
16%
057
CORP. MAPFRE
10%
8%
35%
058
ATRESMEDIA
15%
12%
18%
060
NH HOTELES
15%
12%
15%
067
BME
10%
8%
22%
068
GRIFOLS
10%
8%
23%
072
ARCELOR MITTAL
22%
18%
16%
073
TEC. REUNIDAS
10%
8%
18%
074
OBRASCON HUARTE
18%
14%
20%
076
EBRO FOODS
10%
8%
24%
078
IAG
14%
11%
20%
080
CAIXABANK
12%
10%
20%
081
BANKIA
15%
12%
16%
082
DIA
10%
8%
21%
084
ABENGOA B
50%
40%
19%
085
VISCOFAN
10%
8%
28%
087
AENA
15%
12%
25%
NOTE: Stock Dividend Futures Intervals are applied to both contract sizes.
Circular C-DF-03/2016
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 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 from 021 to 087:
Classes 002, and from 099 to 355:
11
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 355.
 Options Contract Deltas
A different delta for each volatility scenario and Underlying price is used for all Margin
Classes.
 Options Pricing Model
Class 021:
Black option pricing model.
Classes from 023 to 087: 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 (IBEX 35 DIV
IMPACT) ) and 002 (BONO 10):
10
Class 021 (MINI IBEX 35):
1
Classes from 023 to 355 (Except
Classes 099, 199 and 299):
Circular C-DF-03/2016
Contract Nominal
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3.- TIME SPREAD MARGINS
Variable Time Spread Margin Products
2
BONO 10
Minimum
spread
margin
160 points
21
IBEX 35 & MINI IBEX 35
20 points
1.2
23
BBVA
0.20 euro
1.2
24
ABERTIS
0.23 euro
1.2
25
ENDESA
1.25 euro
1.2
27
IBERDROLA
0.2 euro
1.2
28
SANTANDER
0.23 euro
1.2
30
REPSOL
0.20 euro
1.2
31
TELEFÓNICA
0.34 euro
1.2
33
ACERINOX
0.38 euro
1.2
34
BANCO POPULAR
0.36 euro
1.2
Margin Class
Circular C-DF-03/2016
Product
Factor
1.2
35
BANKINTER
0.2 euro
1.2
37
GAS NATURAL
0.40 euro
1.2
38
INDRA
1.29 euro
1.2
41
AMADEUS
0.2 euro
1.2
43
INDITEX
0.2 euro
1.2
45
ACS
0.2 euro
1.2
46
BANCO SABADELL
0.2 euro
1.2
47
G FERROVIAL
0.23 euro
1.2
48
ACCIONA
8.87 euro
1.2
50
SACYR VALLEH.
0.33 euro
1.2
51
FCC
2.67 euro
1.2
52
ENAGAS
0.2 euro
1.2
53
REE
0.2 euro
1.2
54
GAMESA
0.2 euro
1.2
56
MEDIASET
0.37 euro
1.2
57
CORP. MAPFRE
0.2 euro
1.2
58
ATRESMEDIA
0.23 euro
1.2
60
NH HOTELES
0.38 euro
1.2
67
BME
0.82 euro
1.2
68
GRIFOLS
0.21 euro
1.2
72
ARCELOR MITTAL
2.08 euro
1.2
73
TEC. REUNIDAS
0.60 euro
1.2
74
OBRASCON HUARTE
0.2 euro
1.2
76
EBRO FOODS
0.2 euro
1.2
78
IAG
0.2 euro
1.2
80
CAIXABANK
0.2 euro
1.2
81
BANKIA
0.2 euro
1.2
82
DIA
0.2 euro
1.2
84
ABENGOA B
0.2 euro
1.2
85
VISCOFAN
0.95 euro
1.2
87
AENA
0.2 euros
1.2
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Fixed Time Spread Margin Products
Margin Class
Product
Spread Fixed
Margin
99
IBEX 35 IMPACTO DIV YEAR 1
130 b.p.
199
IBEX 35 IMPACTO DIV YEAR 2
130 b.p.
299
IBEX 35 IMPACTO DIV YEARS 3-5
130 b.p.
150
DIVIDENDOS BBVA YEAR 1
0.05 euro
250
DIVIDENDOS BBVA YEAR 2
0.06 euro
350
DIVIDENDOS BBVA YEARS 3-5
0.07 euro
151
DIVIDENDOS IBERDROLA YEAR 1
0.03 euro
251
DIVIDENDOS IBERDROLA YEAR 2
0.05 euro
351
DIVIDENDOS IBERDROLA YEARS 3-5
0.06 euro
152
DIVIDENDOS SANTANDER YEAR 1
0.12 euro
252
DIVIDENDOS SANTANDER YEAR 2
0.25 euro
352
DIVIDENDOS SANTANDER YEARS 3-5
0.31 euro
153
DIVIDENDOS REPSOL YEAR 1
0.08 euro
253
DIVIDENDOS REPSOL YEAR 2
0.09 euro
353
DIVIDENDOS REPSOL YEARS 3-5
0.14 euro
154
DIVIDENDOS TELEFÓNICA YEAR 1
0.08 euro
254
DIVIDENDOS TELEFÓNICA YEAR 2
0.12 euro
354
DIVIDENDOS TELEFÓNICA YEARS 3-5
0.12 euro
155
DIVIDENDOS INDITEX YEAR 1
0.10 euro
255
DIVIDENDOS INDITEX YEAR 2
0.10 euro
355
DIVIDENDOS INDITEX YEARS 3-5
0.14 euro
4.- INTER-COMMODITY SPREAD CREDITS
Inter-commodity spread credits, expressed as percentages, are shown in the following table:
Priority
Classes
(Underlying)
Deltas for
1 spread
Margin Credit
1st
IBEX 35 / BBVA
87 / 100,000
55% / 55%
2nd
BBVA / BSAN
72 / 100
50% / 50%
3rd
IBEX 35 / BSAN
75 / 100,000
50% / 50%
4th
IBEX 35 / BANKINTER
61 / 100,000
30% / 30%
5th
IBEX 35 / INDITEX
292 / 100,000
30% / 30%
6th
IBEX 35 / MAPFRE
26 / 100,000
25% / 25%
7th
CAIXABANK / B.SABADELL
48 / 100
25% / 25%
8th
IBEX 35 / TELEFONICA
103 / 100,000
20% / 20%
9th
IBEX 35 / B.SABADELL
22 / 100,000
20% / 20%
10th
IBEX 35 / ACS
287 / 100,000
20% / 20%
11th
B.SABADELL / BBVA
225 / 100
20% / 20%
12th
B.SABADELL / BSAN
185 / 100
20% / 20%
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5.- DETERMINATION OF THE INITIAL MARGIN AT 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.
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