circular nº 06/02...circular c-vrf-xx/2020 5/21 2. margin credit (percentage value) to apply to the...

1/21

This Circular is published relating to the article regarding “Margins required by BME CLEARING” of BME CLEARING’s Rule Book. 1. Margin Class and Margin Percentage For all securities, Extraordinary Margin Fluctuation will be 80% of its corresponding Initial Margin Parameter. Spanish Sovereign Debt

MARGIN CLASS

GROUP From

(years) To (years)

MARGIN PERCENTAGE

EXTRAORDINARY MARGIN

FLUCTUATION

001 1 0 0.5 0.75% 0.60%

002 2 0.5 1.5 1.50% 1.20%

003 3 1.5 3 2.50% 2.00%

004 4 3 5 4.25% 3.40%

005 5 5 7 5.25% 4.20%

006 6 7 9 6.25% 5.00%

007 7 9 11 7.50% 6.00%

008 8 11 15 9.25% 7.40%

009 9 15 20 10.00% 8.00%

010 10 20 25 12.75% 10.20%

011 11 25 30 16.25% 13.00%

012 12 >30 17.75% 14.20%

Circular

Number: C-VRF-11/2020 Segment: Fixed Income Securities Date: 30 June 20 Effective Date: 2 July 2020 Replaces: C-VRF-09/2020

Subject Margin Calculation Parameters for Trades on Fixed Income Securities.

Summary

In accordance with Article regarding “Margins required by BME CLEARING” of the BME CLEARING’s Rule Book this Circular describes the margin calculation parameters for trades on Fixed Income Securities. Yield Curve Rate Section is modified due to the transition to EuroSTR.

Circular C-VRF-11/2020 2/21

German Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

D01 1 0 0.5 0.50% 0.40%

D02 2 0.5 1.5 0.50% 0.40%

D03 3 1.5 3 0.75% 0.60%

D04 4 3 5 1.50% 1.20%

D05 5 5 7 2.25% 1.80%

D06 6 7 9 2.50% 2.00%

D07 7 9 11 3.50% 2.80%

D08 8 11 15 3.75% 3.00%

D09 9 15 20 4.50% 3.60%

D10 10 20 25 6.00% 4.80%

D11 11 25 30 9.00% 7.20%

D12 12 >30 9.75% 7.80%

French Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

F01 1 0 0.5 0.50% 0.40%

F02 2 0.5 1.5 0.50% 0.40%

F03 3 1.5 3 1.00% 0.80%

F04 4 3 5 1.75% 1.40%

F05 5 5 7 2.50% 2.00%

F06 6 7 9 3.00% 2.40%

F07 7 9 11 3.50% 2.80%

F08 8 11 15 4.25% 3.40%

F09 9 15 20 5.25% 4.20%

F10 10 20 25 7.50% 6.00%

F11 11 25 30 8.25% 6.60%

F12 12 >30 9.00% 7.20%


Italian Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

I01 1 0 0.5 0.50% 0.40%

I02 2 0.5 1.5 1.75% 1.40%

I03 3 1.5 3 4.00% 3.20%

I04 4 3 5 6.00% 4.80%

I05 5 5 7 8.25% 6.60%

I06 6 7 9 9.25% 7.40%

I07 7 9 11 10.25% 8.20%

I08 8 11 15 12.25% 9.80%

I09 9 15 20 13.00% 10.40%

I10 10 20 25 13.50% 10.80%

I11 11 25 30 15.00% 12.00%

I12 12 >30 15.00% 12.00%

Portuguese Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

P01 1 0 0.5 0.75% 0.60%

P02 2 0.5 1.5 2.75% 2.20%

P03 3 1.5 3 11.00% 8.80%

P04 4 3 5 14.00% 11.20%

P05 5 5 7 18.00% 14.40%

P06 6 7 9 20.50% 16.40%

P07 7 9 11 22.25% 17.80%

P08 8 11 15 22.25% 17.80%

P09 9 15 20 22.25% 17.80%

P10 10 20 25 22.25% 17.80%

P11 11 25 30 22.25% 17.80%

P12 12 >30 22.25% 17.80%


Austrian Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

A01 1 0 0.5 0.50% 0.40%

A02 2 0.5 1.5 0.75% 0.60%

A03 3 1.5 3 1.50% 1.20%

A04 4 3 5 2.25% 1.80%

A05 5 5 7 3.00% 2.40%

A06 6 7 9 3.25% 2.60%

A07 7 9 11 3.75% 3.00%

A08 8 11 15 5.00% 4.00%

A09 9 15 20 5.50% 4.40%

A10 10 20 25 6.25% 5.00%

A11 11 25 30 7.25% 5.80%

A12 12 >30 7.75% 6.20%

Dutch Sovereign Debt

MARGIN CLASS

PERIOD GROUPS

From (years)

To (years) MARGIN

PERCENTAGE


FLUCTUATION

N01 1 0 0.5 0.50% 0.40%

N02 2 0.5 1.5 0.50% 0.40%

N03 3 1.5 3 0.75% 0.60%

N04 4 3 5 1.50% 1.20%

N05 5 5 7 2.25% 1.80%

N06 6 7 9 2.25% 1.80%

N07 7 9 11 3.00% 2.40%

N08 8 11 15 3.75% 3.00%

N09 9 15 20 4.75% 3.80%

N10 10 20 25 6.00% 4.80%

N11 11 25 30 6.50% 5.20%

N12 12 >30 7.00% 5.60%

Circular C-VRF-xx/2020 5/21

2. Margin Credit (percentage value) to apply to the margin for each off-set position, off-set Priority and spread credits.

Priority Group Deltas to

form spread Margin Credit

1 004 / 004 100 / 100 26% / 26%

2 005 / 005 100 / 100 46% / 46%

3 006 / 006 100 / 100 55% / 55%

4 007 / 007 100 / 100 59% / 59%

5 008 / 008 100 / 100 70% / 70%

6 009 / 009 100 / 100 66% / 66%

7 010 / 010 100 / 100 70% / 70%

8 011 / 011 100 / 100 70% / 70%

9 012 / 012 100 / 100 70% / 70%

10 011 / 012 100 / 84 70% / 70%

11 008 / 009 100 / 57 65% / 65%

12 009 / 010 100 / 56 63% / 63%

13 008 / 010 100 / 53 63% / 63%

14 007 / 008 100 / 55 61% / 61%

15 010 / 012 100 / 64 60% / 60%

16 010 / 011 100 / 64 60% / 60%

17 009 / 012 100 / 53 58% / 58%

18 009 / 011 100 / 53 58% / 58%

19 006 / 007 100 / 66 54% / 54%

20 008 / 012 100 / 42 53% / 53%

21 008 / 011 100 / 42 53% / 53%

22 007 / 009 100 / 41 52% / 52%

23 007 / 012 100 / 26 52% / 52%

24 007 / 011 100 / 26 52% / 52%

25 005 / 006 100 / 51 47% / 47%

26 007 / 010 100 / 32 46% / 46%

27 004 / 006 100 / 25 46% / 46%

28 004 / 005 100 / 38 46% / 46%

29 005 / 007 100 / 39 44% / 44%

30 006 / 008 100 / 43 43% / 43%

31 004 / 007 100 / 19 40% / 40%

32 006 / 009 100 / 30 40% / 40%

33 006 / 012 100 / 19 29% / 29%

34 006 / 011 100 / 19 29% / 29%

35 006 / 010 100 / 24 27% / 27%

36 005 / 012 100 / 11 23% / 23%

37 005 / 011 100 / 11 23% / 23%




38 005 / 010 100 / 14 23% / 23%

39 005 / 008 100 / 25 23% / 23%

40 004 / 010 100 / 6 22% / 22%

41 005 / 009 100 / 19 22% / 22%

42 003 / 004 100 / 51 20% / 20%

43 004 / 012 100 / 5 19% / 19%

44 004 / 011 100 / 5 19% / 19%

45 004 / 009 100 / 9 19% / 19%

46 004 / 008 100 / 12 19% / 19%

47 D03 / D03 100 / 100 16% / 16%

48 D04 / D04 100 / 100 46% / 46%

49 D05 / D05 100 / 100 67% / 67%

50 D06 / D06 100 / 100 67% / 67%

51 D07 / D07 100 / 100 69% / 69%

52 D08 / D08 100 / 100 70% / 70%

53 D09 / D09 100 / 100 64% / 64%

54 D10 / D10 100 / 100 70% / 70%

55 D11 / D11 100 / 100 70% / 70%

56 D12 / D12 100 / 100 70% / 70%

57 D11 / D12 100 / 101 70% / 70%

58 D10 / D12 100 / 86 70% / 70%

59 D10 / D11 100 / 86 70% / 70%

60 D08 / D09 100 / 44 70% / 70%

61 D07 / D08 100 / 44 66% / 66%

62 D06 / D07 100 / 61 65% / 65%

63 D08 / D10 100 / 42 63% / 63%

64 D09 / D10 100 / 54 63% / 63%

65 D09 / D12 100 / 54 62% / 62%

66 D08 / D12 100 / 38 62% / 62%

67 D09 / D11 100 / 54 62% / 62%

68 D08 / D11 100 / 38 62% / 62%

69 D05 / D06 100 / 45 61% / 61%

70 D07 / D09 100 / 28 61% / 61%

71 D07 / D10 100 / 24 59% / 59%

72 D05 / D07 100 / 38 54% / 54%

73 D07 / D12 100 / 24 53% / 53%

74 D07 / D11 100 / 24 53% / 53%

75 D06 / D08 100 / 40 53% / 53%

76 D06 / D09 100 / 26 51% / 51%




77 D05 / D08 100 / 21 45% / 45%

78 D06 / D10 100 / 18 43% / 43%

79 D04 / D05 100 / 40 42% / 42%

80 D06 / D12 100 / 17 39% / 39%

81 D06 / D11 100 / 17 39% / 39%

82 D04 / D06 100 / 26 39% / 39%

83 D04 / D07 100 / 17 36% / 36%

84 D03 / D05 100 / 25 34% / 34%

85 D05 / D09 100 / 13 33% / 33%

86 D03 / D06 100 / 15 33% / 33%

87 D03 / D07 100 / 14 33% / 33%

88 D04 / D08 100 / 9 28% / 28%

89 D05 / D10 100 / 10 26% / 26%

90 D03 / D08 100 / 6 23% / 23%

91 D05 / D12 100 / 9 22% / 22%

92 D05 / D11 100 / 9 22% / 22%

93 D04 / D09 100 / 7 22% / 22%

94 D03 / D09 100 / 6 22% / 22%

95 D03 / D04 100 / 29 20% / 20%

96 D04 / D10 100 / 6 19% / 19%

97 D04 / D12 100 / 7 17% / 17%

98 D04 / D11 100 / 7 17% / 17%

99 F04 / F04 100 / 100 36% / 36%

100 F05 / F05 100 / 100 44% / 44%

101 F06 / F06 100 / 100 70% / 70%

102 F07 / F07 100 / 100 70% / 70%

103 F08 / F08 100 / 100 70% / 70%

104 F09 / F09 100 / 100 65% / 65%

105 F10 / F10 100 / 100 70% / 70%

106 F11 / F11 100 / 100 70% / 70%

107 F12 / F12 100 / 100 70% / 70%

108 F11 / F12 100 / 91 70% / 70%

109 F10 / F12 100 / 76 70% / 70%

110 F10 / F11 100 / 76 70% / 70%

111 F06 / F07 100 / 67 70% / 70%

112 F07 / F08 100 / 50 67% / 67%

113 F09 / F10 100 / 58 67% / 67%

114 F09 / F12 100 / 56 65% / 65%

115 F09 / F11 100 / 56 65% / 65%




116 F06 / F08 100 / 40 63% / 63%

117 F08 / F12 100 / 41 61% / 61%

118 F08 / F11 100 / 41 61% / 61%

119 F08 / F10 100 / 48 61% / 61%

120 F08 / F09 100 / 50 61% / 61%

121 F07 / F09 100 / 34 58% / 58%

122 F07 / F10 100 / 28 56% / 56%

123 F06 / F09 100 / 28 55% / 55%

124 F07 / F12 100 / 26 52% / 52%

125 F07 / F11 100 / 26 52% / 52%

126 F06 / F10 100 / 21 49% / 49%

127 F05 / F07 100 / 42 48% / 48%

128 F05 / F06 100 / 52 43% / 43%

129 F06 / F12 100 / 18 43% / 43%

130 F06 / F11 100 / 18 43% / 43%

131 F05 / F08 100 / 25 41% / 41%

132 F04 / F05 100 / 36 36% / 36%

133 F05 / F09 100 / 18 34% / 34%

134 F03 / F04 100 / 43 33% / 33%

135 F05 / F10 100 / 12 31% / 31%

136 F04 / F08 100 / 15 31% / 31%

137 F04 / F06 100 / 22 30% / 30%

138 F05 / F12 100 / 10 29% / 29%

139 F05 / F11 100 / 10 29% / 29%

140 F03 / F05 100 / 24 29% / 29%

141 F04 / F09 100 / 11 28% / 28%

142 F04 / F10 100 / 7 25% / 25%

143 F04 / F07 100 / 16 25% / 25%

144 F03 / F06 100 / 15 23% / 23%

145 F04 / F12 100 / 8 22% / 22%

146 F04 / F11 100 / 8 22% / 22%

147 F03 / F07 100 / 12 16% / 16%

148 I03 / I03 100 / 100 22% / 22%

149 I04 / I04 100 / 100 49% / 49%

150 I05 / I05 100 / 100 70% / 70%

151 I06 / I06 100 / 100 70% / 70%

152 I07 / I07 100 / 100 62% / 62%

153 I08 / I08 100 / 100 70% / 70%

154 I09 / I09 100 / 100 55% / 55%




155 I10 / I10 100 / 100 70% / 70%

156 I11 / I11 100 / 100 70% / 70%

157 I12 / I12 100 / 100 70% / 70%

158 I11 / I12 100 / 85 70% / 70%

159 I10 / I12 100 / 70 70% / 70%

160 I10 / I11 100 / 70 70% / 70%

161 I09 / I12 100 / 68 69% / 69%

162 I08 / I12 100 / 59 69% / 69%

163 I09 / I11 100 / 68 69% / 69%

164 I08 / I11 100 / 59 69% / 69%

165 I05 / I06 100 / 63 69% / 69%

166 I07 / I08 100 / 67 68% / 68%

167 I06 / I08 100 / 54 68% / 68%

168 I06 / I07 100 / 73 68% / 68%

169 I07 / I10 100 / 50 67% / 67%

170 I09 / I10 100 / 74 67% / 67%

171 I07 / I09 100 / 60 66% / 66%

172 I08 / I09 100 / 75 66% / 66%

173 I07 / I12 100 / 42 65% / 65%

174 I07 / I11 100 / 42 65% / 65%

175 I05 / I07 100 / 53 65% / 65%

176 I06 / I09 100 / 47 65% / 65%

177 I06 / I10 100 / 40 63% / 63%

178 I06 / I12 100 / 34 63% / 63%

179 I06 / I11 100 / 34 63% / 63%

180 I08 / I10 100 / 71 63% / 63%

181 I05 / I08 100 / 39 54% / 54%

182 I05 / I10 100 / 29 52% / 52%

183 I05 / I09 100 / 34 52% / 52%

184 I04 / I05 100 / 43 50% / 50%

185 I04 / I06 100 / 32 47% / 47%

186 I04 / I07 100 / 26 46% / 46%

187 I05 / I12 100 / 24 45% / 45%

188 I05 / I11 100 / 24 45% / 45%

189 I04 / I08 100 / 19 36% / 36%

190 I04 / I10 100 / 14 32% / 32%

191 I04 / I09 100 / 16 31% / 31%

192 I03 / I09 100 / 13 29% / 29%

193 I04 / I12 100 / 12 26% / 26%




194 I04 / I11 100 / 12 26% / 26%

195 I03 / I10 100 / 11 26% / 26%

196 I03 / I04 100 / 40 26% / 26%

197 I03 / I05 100 / 24 25% / 25%

198 I03 / I08 100 / 13 22% / 22%

199 I03 / I06 100 / 18 21% / 21%

200 I03 / I07 100 / 14 20% / 20%

201 P04 / P04 100 / 100 23% / 23%

202 P05 / P05 100 / 100 51% / 51%

203 P06 / P06 100 / 100 70% / 70%

204 P07 / P07 100 / 100 59% / 59%

205 P08 / P08 100 / 100 70% / 70%

206 P09 / P09 100 / 100 55% / 55%

207 P10 / P10 100 / 100 70% / 70%

208 P11 / P11 100 / 100 70% / 70%

209 P12 / P12 100 / 100 70% / 70%

210 P11 / P12 100 / 84 70% / 70%

211 P10 / P12 100 / 69 70% / 70%

212 P10 / P11 100 / 69 70% / 70%

213 P07 / P08 100 / 63 60% / 60%

214 P06 / P07 100 / 72 59% / 59%

215 P06 / P08 100 / 51 57% / 57%

216 P06 / P12 100 / 26 55% / 55%

217 P06 / P11 100 / 26 55% / 55%

218 P06 / P10 100 / 31 55% / 55%

219 P06 / P09 100 / 38 55% / 55%

220 P09 / P12 100 / 57 55% / 55%

221 P09 / P11 100 / 57 55% / 55%

222 P09 / P10 100 / 60 55% / 55%

223 P07 / P09 100 / 45 53% / 53%

224 P08 / P12 100 / 47 51% / 51%

225 P08 / P11 100 / 47 51% / 51%

226 P08 / P10 100 / 56 51% / 51%

227 P08 / P09 100 / 59 51% / 51%

228 P07 / P12 100 / 32 46% / 46%

229 P07 / P11 100 / 32 46% / 46%

230 P07 / P10 100 / 38 46% / 46%

231 P05 / P06 100 / 56 43% / 43%

232 P05 / P07 100 / 45 40% / 40%




233 P05 / P08 100 / 31 36% / 36%

234 P05 / P10 100 / 19 35% / 35%

235 P05 / P12 100 / 16 35% / 35%

236 P05 / P11 100 / 16 35% / 35%

237 P04 / P06 100 / 37 34% / 34%

238 P05 / P09 100 / 24 33% / 33%

239 P04 / P05 100 / 40 32% / 32%

240 P03 / P05 100 / 32 24% / 24%

241 P04 / P07 100 / 35 24% / 24%

242 P04 / P09 100 / 16 23% / 23%

243 P04 / P12 100 / 10 21% / 21%

244 P04 / P11 100 / 10 21% / 21%

245 P03 / P04 100 / 43 21% / 21%

246 P04 / P08 100 / 24 21% / 21%

247 P04 / P10 100 / 12 20% / 20%

248 A04 / A04 100 / 100 28% / 28%

249 A05 / A05 100 / 100 57% / 57%

250 A06 / A06 100 / 100 65% / 65%

251 A07 / A07 100 / 100 62% / 62%

252 A08 / A08 100 / 100 69% / 69%

253 A09 / A09 100 / 100 68% / 68%

254 A10 / A10 100 / 100 70% / 70%

255 A11 / A11 100 / 100 70% / 70%

256 A12 / A12 100 / 100 70% / 70%

257 A11 / A12 100 / 87 70% / 70%

258 A08 / A09 100 / 52 67% / 67%

259 A09 / A10 100 / 59 65% / 65%

260 A08 / A10 100 / 49 64% / 64%

261 A06 / A07 100 / 73 61% / 61%

262 A07 / A08 100 / 45 60% / 60%

263 A10 / A12 100 / 68 59% / 59%

264 A10 / A11 100 / 68 59% / 59%

265 A05 / A06 100 / 56 58% / 58%

266 A06 / A09 100 / 27 58% / 58%

267 A06 / A08 100 / 37 58% / 58%

268 A09 / A12 100 / 56 57% / 57%

269 A09 / A11 100 / 56 57% / 57%

270 A07 / A09 100 / 34 56% / 56%

271 A07 / A10 100 / 28 53% / 53%




272 A05 / A07 100 / 48 53% / 53%

273 A06 / A10 100 / 22 53% / 53%

274 A08 / A12 100 / 40 50% / 50%

275 A08 / A11 100 / 40 50% / 50%

276 A07 / A12 100 / 24 42% / 42%

277 A07 / A11 100 / 24 42% / 42%

278 A05 / A08 100 / 25 40% / 40%

279 A06 / A12 100 / 19 37% / 37%

280 A06 / A11 100 / 19 37% / 37%

281 A04 / A08 100 / 20 37% / 37%

282 A05 / A09 100 / 18 33% / 33%

283 A04 / A09 100 / 15 33% / 33%

284 A04 / A05 100 / 33 31% / 31%

285 A05 / A10 100 / 14 30% / 30%

286 A03 / A05 100 / 25 27% / 27%

287 A03 / A04 100 / 40 27% / 27%

288 A05 / A12 100 / 13 27% / 27%

289 A05 / A11 100 / 13 27% / 27%

290 A04 / A10 100 / 11 27% / 27%

291 A04 / A12 100 / 11 25% / 25%

292 A04 / A11 100 / 11 25% / 25%

293 A04 / A06 100 / 22 24% / 24%

294 A03 / A06 100 / 18 22% / 22%

295 A04 / A07 100 / 25 21% / 21%

296 A03 / A07 100 / 17 21% / 21%

297 N04 / N04 100 / 100 33% / 33%

298 N05 / N05 100 / 100 70% / 70%

299 N06 / N06 100 / 100 70% / 70%

300 N07 / N07 100 / 100 68% / 68%

301 N08 / N08 100 / 100 70% / 70%

302 N09 / N09 100 / 100 70% / 70%

303 N10 / N10 100 / 100 70% / 70%

304 N11 / N11 100 / 100 70% / 70%

305 N12 / N12 100 / 100 70% / 70%

306 N11 / N12 100 / 76 70% / 70%

307 N10 / N12 100 / 55 70% / 70%

308 N09 / N12 100 / 44 70% / 70%

309 N10 / N11 100 / 55 70% / 70%

310 N09 / N11 100 / 44 70% / 70%




311 N09 / N10 100 / 47 70% / 70%

312 N08 / N10 100 / 44 70% / 70%

313 N08 / N09 100 / 49 70% / 70%

314 N08 / N12 100 / 33 69% / 69%

315 N08 / N11 100 / 33 69% / 69%

316 N06 / N07 100 / 66 69% / 69%

317 N05 / N06 100 / 49 68% / 68%

318 N07 / N08 100 / 56 67% / 67%

319 N07 / N09 100 / 36 66% / 66%

320 N06 / N08 100 / 44 66% / 66%

321 N05 / N07 100 / 37 64% / 64%

322 N06 / N09 100 / 29 62% / 62%

323 N07 / N10 100 / 26 61% / 61%

324 N07 / N12 100 / 20 55% / 55%

325 N07 / N11 100 / 20 55% / 55%

326 N06 / N10 100 / 20 55% / 55%

327 N05 / N08 100 / 25 52% / 52%

328 N06 / N12 100 / 15 49% / 49%

329 N06 / N11 100 / 15 49% / 49%

330 N05 / N09 100 / 17 38% / 38%

331 N05 / N10 100 / 12 33% / 33%

332 N04 / N09 100 / 13 33% / 33%

333 N04 / N08 100 / 19 30% / 30%

334 N04 / N05 100 / 37 29% / 29%

335 N05 / N12 100 / 9 26% / 26%

336 N05 / N11 100 / 9 26% / 26%

337 N04 / N10 100 / 9 26% / 26%

338 N03 / N04 100 / 40 24% / 24%

339 N04 / N07 100 / 15 23% / 23%

340 N04 / N06 100 / 22 23% / 23%

341 N03 / N05 100 / 25 22% / 22%

342 N04 / N12 100 / 6 21% / 21%

343 N04 / N11 100 / 6 21% / 21%

344 N03 / N06 100 / 15 19% / 19%

345 N03 / N07 100 / 12 16% / 16%

346 D10 / N10 100 / 110 70% / 70%

347 D11 / N11 100 / 87 70% / 70%

348 D12 / N12 100 / 87 70% / 70%

349 D11 / N12 100 / 87 70% / 70%




350 D10 / N12 100 / 84 70% / 70%

351 D10 / N11 100 / 84 70% / 70%

352 D07 / N08 100 / 60 65% / 65%

353 D06 / N07 100 / 71 62% / 62%

354 D07 / N07 100 / 97 61% / 61%

355 D09 / N09 100 / 119 61% / 61%

356 D09 / N10 100 / 80 61% / 61%

357 D08 / N10 100 / 56 61% / 61%

358 D08 / N09 100 / 79 61% / 61%

359 D08 / N08 100 / 110 60% / 60%

360 D09 / N12 100 / 59 60% / 60%

361 D08 / N12 100 / 41 60% / 60%

362 D09 / N11 100 / 59 60% / 60%

363 D08 / N11 100 / 41 60% / 60%

364 D07 / N09 100 / 39 59% / 59%

365 D06 / N06 100 / 97 59% / 59%

366 A06 / N08 100 / 45 56% / 56%

367 A06 / N06 100 / 81 55% / 55%

368 A06 / N07 100 / 69 55% / 55%

369 A10 / N12 100 / 65 54% / 54%

370 A10 / N11 100 / 65 54% / 54%

371 D05 / N07 100 / 40 54% / 54%

372 D07 / N10 100 / 28 54% / 54%

373 D06 / N08 100 / 48 54% / 54%

374 A08 / N08 100 / 97 54% / 54%

375 A07 / N07 100 / 87 54% / 54%

376 A09 / N09 100 / 92 53% / 53%

377 A10 / N10 100 / 85 53% / 53%

378 A08 / N09 100 / 67 53% / 53%

379 A07 / N08 100 / 55 53% / 53%

380 D05 / N06 100 / 51 53% / 53%

381 A09 / N12 100 / 50 53% / 53%

382 A08 / N12 100 / 35 53% / 53%

383 A09 / N11 100 / 50 53% / 53%

384 A08 / N11 100 / 35 53% / 53%

385 A09 / N10 100 / 67 53% / 53%

386 A08 / N10 100 / 48 53% / 53%

387 A07 / N09 100 / 34 51% / 51%

388 D07 / A07 100 / 95 50% / 50%




389 A06 / N09 100 / 28 50% / 50%

390 D05 / N05 100 / 78 49% / 49%

391 A11 / N11 100 / 76 48% / 48%

392 A11 / N11 100 / 76 48% / 48%

393 A12 / N12 100 / 76 48% / 48%

394 A11 / N12 100 / 76 48% / 48%

395 D07 / N12 100 / 21 47% / 47%

396 D07 / N11 100 / 21 47% / 47%

397 A07 / N10 100 / 25 47% / 47%

398 D07 / A08 100 / 48 47% / 47%

399 D06 / N09 100 / 36 46% / 46%

400 D04 / N05 100 / 44 46% / 46%

401 D10 / A10 100 / 116 45% / 45%

402 D06 / A07 100 / 72 45% / 45%

403 D06 / A06 100 / 85 45% / 45%

404 D06 / A08 100 / 41 44% / 44%

405 D09 / A09 100 / 100 44% / 44%

406 D09 / A10 100 / 78 44% / 44%

407 D08 / A09 100 / 69 44% / 44%

408 A05 / N05 100 / 84 44% / 44%

409 A07 / N12 100 / 19 43% / 43%

410 A07 / N11 100 / 19 43% / 43%

411 D07 / A09 100 / 36 43% / 43%

412 D08 / A08 100 / 97 42% / 42%

413 D08 / A10 100 / 54 42% / 42%

414 A05 / N07 100 / 44 42% / 42%

415 A05 / N06 100 / 55 42% / 42%

416 A06 / N10 100 / 20 41% / 41%

417 D06 / N10 100 / 23 41% / 41%

418 D06 / A09 100 / 30 40% / 40%

419 D05 / N08 100 / 27 40% / 40%

420 D11 / A11 100 / 104 40% / 40%

421 D12 / A12 100 / 104 40% / 40%

422 D11 / A12 100 / 104 40% / 40%

423 D10 / A12 100 / 100 39% / 39%

424 D10 / A11 100 / 100 39% / 39%

425 D05 / A05 100 / 68 39% / 39%

426 D05 / A06 100 / 51 39% / 39%

427 D07 / A10 100 / 29 38% / 38%




428 D04 / N06 100 / 25 38% / 38%

429 D09 / A12 100 / 63 37% / 37%

430 D09 / A11 100 / 63 37% / 37%

431 D06 / A10 100 / 23 36% / 36%

432 D08 / A12 100 / 44 35% / 35%

433 D08 / A11 100 / 44 35% / 35%

434 D04 / N07 100 / 17 35% / 35%

435 D05 / A07 100 / 41 35% / 35%

436 D05 / N09 100 / 18 34% / 34%

437 D03 / N06 100 / 17 33% / 33%

438 D03 / N07 100 / 14 32% / 32%

439 D07 / A12 100 / 25 32% / 32%

440 D07 / A11 100 / 25 32% / 32%

441 A05 / N08 100 / 30 31% / 31%

442 D05 / A08 100 / 22 31% / 31%

443 D04 / N04 100 / 79 31% / 31%

444 A05 / N09 100 / 23 31% / 31%

445 A05 / N10 100 / 17 30% / 30%

446 D05 / A09 100 / 16 29% / 29%

447 A04 / N07 100 / 32 29% / 29%

448 D05 / N10 100 / 13 29% / 29%

449 D04 / A05 100 / 35 28% / 28%

450 D05 / A10 100 / 13 25% / 25%

451 D03 / N03 100 / 97 25% / 25%

452 A04 / N04 100 / 63 25% / 25%

453 A04 / N05 100 / 39 25% / 25%

454 A03 / N04 100 / 48 25% / 25%

455 D04 / A08 100 / 12 24% / 24%

456 D04 / A09 100 / 11 23% / 23%

457 D03 / A03 100 / 83 23% / 23%

458 D04 / A04 100 / 58 23% / 23%

459 D04 / A07 100 / 18 23% / 23%

460 D04 / A06 100 / 21 23% / 23%

461 D03 / A05 100 / 24 23% / 23%

462 D03 / N05 100 / 24 23% / 23%

463 D03 / N04 100 / 32 23% / 23%

464 011 / P11 100 / 90 22% / 22%

465 012 / P12 100 / 90 22% / 22%

466 011 / P12 100 / 90 22% / 22%




467 010 / P12 100 / 75 22% / 22%

468 010 / P11 100 / 75 22% / 22%

469 F06 / A07 100 / 69 22% / 22%

470 010 / P10 100 / 91 22% / 22%

471 D04 / A10 100 / 9 22% / 22%

472 D04 / N10 100 / 10 22% / 22%

473 D03 / A06 100 / 17 22% / 22%

474 D03 / A04 100 / 42 21% / 21%

475 006 / P07 100 / 66 20% / 20%

476 A04 / N08 100 / 24 20% / 20%

477 D03 / A07 100 / 14 20% / 20%

478 F05 / A07 100 / 52 20% / 20%

479 006 / P06 100 / 78 20% / 20%

480 D04 / N08 100 / 15 20% / 20%

481 D03 / N08 100 / 11 20% / 20%

482 A03 / N05 100 / 28 20% / 20%

483 008 / P08 100 / 89 19% / 19%

484 008 / P09 100 / 67 19% / 19%

485 007 / P07 100 / 80 19% / 19%

486 009 / P09 100 / 83 19% / 19%

487 F07 / A07 100 / 94 19% / 19%

488 007 / P10 100 / 33 19% / 19%

489 009 / P10 100 / 68 19% / 19%

490 008 / P10 100 / 53 19% / 19%

491 009 / P12 100 / 56 18% / 18%

492 008 / P12 100 / 45 18% / 18%

493 009 / P11 100 / 56 18% / 18%

494 008 / P11 100 / 45 18% / 18%

495 007 / P09 100 / 41 18% / 18%

496 007 / P08 100 / 56 18% / 18%

497 I09 / P09 100 / 75 18% / 18%

498 I07 / P10 100 / 41 18% / 18%

499 I06 / P10 100 / 41 18% / 18%

500 I08 / P09 100 / 64 18% / 18%

501 006 / P09 100 / 33 18% / 18%

502 007 / I08 100 / 32 18% / 18%

503 D03 / A08 100 / 10 18% / 18%

504 I07 / P12 100 / 39 18% / 18%

505 I07 / P11 100 / 39 18% / 18%




506 I05 / P06 100 / 81 18% / 18%

507 006 / P10 100 / 27 17% / 17%

508 007 / P12 100 / 29 17% / 17%

509 007 / P11 100 / 29 17% / 17%

510 006 / I08 100 / 22 17% / 17%

511 D04 / N09 100 / 13 17% / 17%

512 I05 / P07 100 / 68 17% / 17%

513 006 / P08 100 / 46 17% / 17%

514 006 / I07 100 / 29 17% / 17%

515 005 / P07 100 / 40 17% / 17%

516 I06 / P06 100 / 95 17% / 17%

517 I10 / P10 100 / 77 17% / 17%

518 I11 / P11 100 / 82 17% / 17%

519 I12 / P12 100 / 82 17% / 17%

520 I11 / P12 100 / 82 17% / 17%

521 I09 / P10 100 / 66 17% / 17%

522 I05 / P08 100 / 59 17% / 17%

523 I06 / P07 100 / 82 17% / 17%

524 A04 / N09 100 / 23 17% / 17%

525 A04 / N06 100 / 28 17% / 17%

526 005 / I07 100 / 25 16% / 16%

527 I08 / P10 100 / 58 16% / 16%

528 005 / I06 100 / 24 16% / 16%

529 006 / I06 100 / 31 16% / 16%

530 F04 / A07 100 / 24 16% / 16%

531 I07 / P07 100 / 105 16% / 16%

532 I10 / P12 100 / 62 16% / 16%

533 I09 / P12 100 / 59 16% / 16%

534 I10 / P11 100 / 62 16% / 16%

535 I09 / P11 100 / 59 16% / 16%

536 I07 / P09 100 / 51 16% / 16%

537 I06 / P09 100 / 51 16% / 16%

538 I06 / P08 100 / 59 16% / 16%

539 007 / I07 100 / 39 15% / 15%

540 005 / I08 100 / 16 15% / 15%

541 I08 / P12 100 / 53 15% / 15%

542 I08 / P11 100 / 53 15% / 15%

543 006 / I09 100 / 20 15% / 15%

544 F10 / A10 100 / 106 15% / 15%




545 I07 / P08 100 / 70 15% / 15%

546 006 / I10 100 / 20 15% / 15%

547 005 / I09 100 / 15 15% / 15%

548 005 / P06 100 / 51 15% / 15%

549 F09 / A09 100 / 102 15% / 15%

550 F09 / A10 100 / 102 15% / 15%

551 A03 / N06 100 / 24 15% / 15%

3. Yield Curve Rate

The Yield Curve Rate is required to obtain the current Cash Value (cash value of the trade at calculation date) daily, which is used to calculate the Variation Margin of the Position.

The Yield Curve Rate will depend on the number of days between the calculation date and the value date of the trade. The following periods are established:

Name Description

TomNext 2 days interest rate

1WK 1 week interest rate

2WK 2 weeks interest rate

3WK 3 weeks interest rate

1MO 1 month interest rate

2MO 2 months interest rate














2Y 2 years interest rate




The Yield Curve Rate will be taken from the EuroSTR curve of the OTC Trades on Interest-Rate Derivatives segment according to the calculation methodology established in the Curve Building Circular. EuroSTR curve effective date will be communicated by notice.

Before the Yield Curve rate is used to calculate the current Cash Value, a spread of 100 basis points will be deducted from it for the buyer cash amount and for the seller cash amount, a spread of 100 basis points will be added to the Yield Curve rate.

4. Margin Percentage Adjustment for the different Government Debts, based on the differential in respect of the reference basket

If the return on any Government Debt (eligible as collateral but not included in the Reference Basket, according to the Reference Basket Circular or the one replacing it) in the secondary market, as based on information obtained from the Reuters or Bloomberg agencies is higher than the return of the Reference Basket over two consecutive days, and according to the levels set out below, the Margin Percentages of that particular Government Debt described in Section 1 of this Circular will be increased for bond buyer positions, and the standard two days valuation interval reaction period will be increased as follows:

• If the differential is greater than 350 points, the reaction period will be 3 days; the valuation interval will increase by 22% (e.g. if the standard interval is 2%, the new interval will be 2% * 1.22 = 2.44%).

• If the differential is greater than 400 points, the reaction period will be 4 days; the valuation interval will increase by 41% (e.g. if the standard interval is 2%, the new interval will be 2% * 1.41 = 2.82%).

• If the differential is greater than 425 points, the reaction period will be 5 days; the valuation interval will increase by 58%.



• If the differential is greater than 500 points, the reaction period will be 8 days; the valuation interval will double.



In addition, if the return differential compared to the reference basket remains below the level shown above at the close of two trading sessions the Margin Interval will be set at the corresponding level. In general, the valuation interval for a given tranche cannot be less than the valuation interval for a lesser time period.


5. Increase to the Margin Percentage based on the margin percentage required by other

Clearing Houses

In exceptional circumstances, BME CLEARING can decide to increase any of the Margin Intervals set out in Section 1, in order to align them with the lowest requirements of the Clearing Houses in the environment of trades on any Sovereign Debt in the same tranche or period.

6. Increase to the Margin Percentage based on the Back-Test results

According to Article 49 of Regulation (EU) 648/2012 regarding the Back Testing procedures developed in the BME CLEARING’s Back Testing Instruction and also according to Article 56.1 of Delegated Regulation (EU) 153/2013, if at any time the daily back tests demonstrate that the initial margin coverage does not meet the confidence level the CCP should reach, the margin percentages stated in this Circular can be increased immediately.

7. Consideration of any procyclical effect

For any of the above points mentioned in this Circular, prior to increase any current initial margin interval, BME CLEARING shall review that such measure does not entail any procyclical effect, according to Article 28.2 of Delegated Regulation (EU) 153/2013.

circular nº 06/02...circular c-vrf-xx/2020 5/21 2. margin credit (percentage value) to apply to the...

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