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ATTACHMENT A
LONDON SPAN PARAMETERS FOR LIFFE CONTRACTS
(per lot) (per lot) %
Contract Scanning Risk Intermonth Spread Charge Break Month Volatility Change Date Effective From
Short Sterling L GBP375.00 GBP1 1 7/26/2012
Euribor I EUR550.00 EUR1 1 7/26/2012
1 Month EONIA EON EUR350 * 1 8/5/2010
3 Month EONIA EO3 EUR500 EUR150 * 1 7/26/2012
Euroswiss S CHF450 35 CHF3 1 7/26/2012
10 yr EUR Swapnote P EUR2,700 EUR200 35 EUR1 1 7/26/2012
5 yr EUR Swapnote O EUR1,200 EUR210 35 EUR1 1 7/26/2012
2 yr EUR Swapnote TWS EUR365 EUR60 35 EUR1 1 7/26/2012
10 yr USD Swapnote USP USD4,500 USD700 * 1 7/26/2012
5 yr USD Swapnote USO USD2,000 USD400 * 1 7/26/2012
2 yr USD Swapnote USW USD1,100 USD270 * 1 2/2/2012
3 month Euroyen J JPY20,000 JPY4,000 * 1 7/26/2012
Short Gilt G GBP400 GBP400 * 1 7/26/2012
Medium Gilt H GBP1,000 GBP500 * 1 7/26/2012
Long Gilt R GBP3,000 GBP265 20 GBP1 1 12/21/2011
** JGB JGB JPY850,000 JPY500,000 * 1 7/26/2012
Note:
*** Top up on front month only
> Applies to positions from the close of last trading day until settlement / delivery is completed.
* Options are not available on these Contracts.
** Margins only levied in absence of TSE opening price (bank holiday).
Contract Code
Short Option
Minimum Charge
Spot Month Charge Method
Spot Margin Top Up Rate***
Spot Margin Levied From
* Please see Attachments B and C for details
* Please see Attachments B for details
* Please see Attachments B and C for details
* Please see Attachments B for details
* Please see Attachments B and C for details
* Please see Attachments B and C for details
ATTACHMENT B
LONDON SPAN PARAMETERS FOR INTER-MONTH SPREAD CHARGES
Euribor ( I )Inter-Month Spread Charges
Start EndTiers 1
Pri
ority
2
Pri
ority
3
Pri
ority
4
Pri
ority
5
Pri
ority
6
Pri
ority
1 0 4 1 300 12 265 11 350 15 390 18 455 20 465 21 45%2 5 8 2 65 1 205 9 300 13 365 17 415 19 25%3 9 12 3 165 6 165 8 305 14 365 16 25%4 13 16 4 125 5 165 7 230 10 15%5 17 20 5 115 3 115 4 15%6 21 99999999 6 90 2 15%
*Euro (Euribor) tier structure relates to available monthly expiries
Short Sterling ( L )
Inter-Month Spread Charges
Start EndTiers 1
Pri
ority
2
Pri
ority
3
Pri
ority
4
Pri
ority
5
Pri
ority
6
Pri
ority
1 0 2 1 80 5 55 3 130 11 200 16 230 20 265 21 50%2 3 4 2 30 1 90 9 180 14 215 17 215 18 50%3 5 8 3 80 6 90 10 150 13 190 15 30%4 9 12 4 75 4 80 7 80 8 20%5 13 16 5 55 2 130 12 20%6 17 99999999 6 215 19 20%
*Short Sterling tier structure relates to available monthly expiries
EuroSwiss ( S )
Inter-Month Spread Charges
Start EndTiers 1
Pri
ority
2
Pri
ority
3
Pri
ority
1 0 2 1 130 5 125 3 200 6
2 3 4 2 55 1 125 4
3 5 99999999 3 105 2
EONIA (EON)
Inter-Month Spread Charges
Start EndTiers 1
Pri
ority
2
Pri
ority
3
Pri
ority
1 0 1 1 805 5 255 4 280 5
2 2 6 2 215 3 190 2
3 7 99999999 3 50 1
*EONIA tier structure relates to available monthly expiries
Tier Number
Volatility Shift (+/-)
Tier Number
Volatility Shift (+/-)
Tier Number
Tier Number
ATTACHMENT C
LONDON SPAN PARAMETERS - STRATEGIES
I B M 1 310 L B M 1 80I B M 2 300 L B M 2 140I B M 3 300I B Q 1 115 L B Q 1 90I B Q 2 40 L B Q 2 25I B Q 3 30 L B Q 3 30I B Q 4 30 L B Q 4 30I B Q 5 30 L B Q 5 25I B Q 6 30 L B Q 6 25I B Q 7 30 L B Q 7 30I B Q 8 30 L B Q 8 25I B Q 9 25 L B Q 9 25I B Q 10 30 L B Q 10 25I B Q 11 30 L B Q 11 30I B Q 12 30 L B Q 12 25I B Q 13 25 L B Q 13 30I B Q 14 30 L B Q 14 30I B Q 15 40 L B Q 15 65I B Q 16 40 L B Q 16 40I B Q 17 40 L B Q 17 80I B Q 18 40 L B Q 18 80I B S 1 140 L B S 1 80I B S 2 65 L B S 2 55I B S 3 65 L B S 3 65I B S 4 65 L B S 4 40I B S 5 65 L B S 5 40I B S 6 65 L B S 6 50I B S 7 65 L B S 7 40I B S 8 65 L B S 8 50I B S 9 65 L B S 9 40I B S 10 65 L B S 10 50I B S 11 65 L B S 11 50I B S 12 65 L B S 12 40I B S 13 65 L B S 13 65I B S 14 65 L B S 14 115I B S 15 80 L B S 15 65I B S 16 80 L B S 16 155I B N 1 150 L B N 1 115I B N 2 125 L B N 2 90I B N 3 130 L B N 3 65I B N 4 115 L B N 4 65I B N 5 115 L B N 5 80I B N 6 140 L B N 6 65I B N 7 105 L B N 7 80I B N 8 125 L B N 8 65I B N 9 115 L B N 9 65I B N 10 100 L B N 10 80I B N 11 90 L B N 11 65I B N 12 100 L B N 12 130I B N 13 90 L B N 13 115I B N 14 100 L B N 14 155I B Y 1 205 L B Y 1 165I B Y 2 200 L B Y 2 90I B Y 3 175 L B Y 3 90I B Y 4 165 L B Y 4 90I B Y 5 190 L B Y 5 90I B Y 6 140 L B Y 6 105I B Y 7 175 L B Y 7 90I B Y 8 155 L B Y 8 90I B Y 9 140 L B Y 9 90I B Y 10 140 L B Y 10 90I B Y 11 155 L B Y 11 115I B Y 12 125 L B Y 12 165
Logical Commodity
Strategy Type
Period Type
First Month
Charge Rate
Logical Commodity
Strategy Type
Period Type
First Month
Charge Rate
ATTACHMENT C
I C Q 1 115 L C Q 1 90I C Q 2 40 L C Q 2 30I C Q 3 40 L C Q 3 40I C Q 4 40 L C Q 4 30I C Q 5 40 L C Q 5 25I C Q 6 30 L C Q 6 30I C Q 7 30 L C Q 7 30I C Q 8 40 L C Q 8 30I C Q 9 40 L C Q 9 30I C Q 10 40 L C Q 10 30I C Q 11 40 L C Q 11 30I C Q 12 40 L C Q 12 30I C Q 13 40 L C Q 13 30I C Q 14 40 L C Q 14 65I C Q 15 40 L C Q 15 50I C Q 16 55 L C Q 16 80I C Q 17 50 L C Q 17 80I C S 1 140 L C S 1 105I C S 2 115 L C S 2 65I C S 3 115 L C S 3 55I C S 4 105 L C S 4 55I C S 5 90 L C S 5 55I C S 6 115 L C S 6 65I C S 7 90 L C S 7 65I C S 8 105 L C S 8 55I C S 9 90 L C S 9 55I C S 10 90 L C S 10 55I C S 11 80 L C S 11 65I C S 12 80 L C S 12 115I C S 13 80 L C S 13 90I C S 14 80 L C S 14 130I C N 1 180 L C N 1 145I C N 2 175 L C N 2 90I C N 3 175 L C N 3 90I C N 4 165 L C N 4 80I C N 5 155 L C N 5 100I C N 6 165 L C N 6 100I C N 7 165 L C N 7 100I C N 8 165 L C N 8 90I C N 9 150 L C N 9 105I C N 10 155 L C N 10 90I C N 11 125 L C N 11 155I C Y 1 230 L C Y 1 165I C Y 2 250 L C Y 2 150I C Y 3 215 L C Y 3 130I C Y 4 200 L C Y 4 140I C Y 5 215 L C Y 5 115I C Y 6 250 L C Y 6 115I C Y 7 200 L C Y 7 90I C Y 8 190 L C Y 8 190
ATTACHMENT C
S B Q 1 105 EON B M 1 300S B Q 2 55 EON B M 2 265S B Q 3 55 EON B M 3 125S B Q 4 55 EON B M 4 30S B Q 5 55 EON B M 5 100S B Q 6 55 EON B M 6 115S B S 1 155 EON B M 7 100S B S 2 130 EON C M 1 240S B S 3 155 EON C M 2 175S B S 4 105 EON C M 3 165S B N 1 230 EON C M 4 115S B N 2 155 EON C M 5 55S C Q 1 105 EON C M 6 165S C Q 2 80S C Q 3 80S C Q 4 75S C Q 5 55S C S 1 200S C S 2 130
Strategy type B = Butterfly
Strategy type C = Condor
Period type M = Monthly
Period type Q = Quarterly
Period type S = Six Monthly
Period type N = Nine Monthly
Period type Y = Yearly
Priority order will be determined automatically (Ordered by Charge Rate, then by first Month, then by Strategy Type).
ATTACHMENT D
BOND AND SHORT TERM INTEREST RATEINTER COMMODITY SPREAD CREDITS
CONTRACT/SPREAD %CREDIT PER LEG DELTA RATIO EFFECTIVE DATE
10 YR EUR SWAPNOTE : 5 YR EUR SWAPNOTE P - O 80 9:16 - 7/26/2012
EURIBOR (TIER 2) : 5 YR EUR SWAPNOTE I 2 - O 80 9:5 - 8/8/2011
LONG GILT : 10 YR EUR SWAPNOTE R - P 80 2:3 - 7/26/2012
EURIBOR (TIER 2) : 10 YR EUR SWAPNOTE I 2 - P 75 3:1 - 7/26/2012
2 YR EUR SWAPNOTE : 5 YR EUR SWAPNOTE TWS - O 75 9:4 - 7/26/2012
5 YR USD SWAPNOTE : 10 YR USD SWAPNOTE USO - USP 75 5:3 - 2/24/2012
3 Month EONIA : 2 YR EUR SWAPNOTE EO3 - TWS 75 4:5 - 7/26/2012
SHORT STERLING (TIER 2) : LONG GILT L 2 - R 75 22:3 - 7/26/2012
EURIBOR (TIER 1) : 2 YR EUR SWAPNOTE I 1 - TWS 75 4:5 - 7/26/2012
3 Month EONIA : 5 YR EUR SWAPNOTE EO3 - O 75 9:5 - 7/26/2012
EURIBOR (TIER 2) : LONG GILT I 2 - R 75 6:1 - 7/26/2012
MEDIUM GILT : SHORT STERLING (TIER 2) H - L 2 75 3:11 - 7/26/2012
LONG GILT : 5 YR EUR SWAPNOTE R - O 75 3:8 - 7/26/2012
EURIBOR (TIER 2) : 2 YR EUR SWAPNOTE I 2 - TWS 70 4:5 - 7/26/2012
SHORT STERLING (TIER 1) : 3 Month EONIA L 1 - EO3 70 4:3 - 7/26/2012
EURIBOR (TIER 1) : 3 Month EONIA I 1 - EO3 70 1:1 - 7/26/2012
MEDIUM GILT : SHORT STERLING (TIER 1) H - L 1 70 3:11 - 7/26/2012
MEDIUM GILT : LONG GILT H - R 70 2:1 - 7/26/2012
10 YR EUR SWAPNOTE : 2 YR EUR SWAPNOTE P - TWS 65 1:4 - 7/26/2012
EURIBOR (TIER 1) : 5 YR EUR SWAPNOTE I 1 - O 65 9:5 - 7/26/2012
SHORT STERLING (TIER 2) : 5 YR EUR SWAPNOTE L 2 - O 65 12:5 - 7/26/2012
EURIBOR (TIER 2) : 3 Month EONIA I 2 - EO3 65 1:1 - 2/24/2012
SHORT STERLING (TIER 2) : 3 Month EONIA L 2 - EO3 65 4:3 - 2/24/2012
SHORT STERLING (TIER 1) : 5 YR EUR SWAPNOTE L 1 - O 65 12:5 - 7/26/2012
SHORT STERLING (TIER 1) : 2 YR EUR SWAPNOTE L 1 - TWS 65 16:15 - 7/26/2012
SHORT STERLING (TIER 2) : 2 YR EUR SWAPNOTE L 2 - TWS 65 16:15 - 7/26/2012
EURIBOR (TIER 1) : SHORT STERLING (TIER1) I 1 - L 1 65 3:4 - 7/26/2012
5 YR EUR SWAPNOTE : EUROSWISS O - S 65 10:27 - 7/26/2012
2 YR EUR SWAPNOTE : EUROSWISS TWS - S 65 5:6 - 7/26/2012
3 Month EONIA : EUROSWISS EO3 - S 65 2:3 - 7/26/2012
EURIBOR (TIER 1) : 10 YR EUR SWAPNOTE I 1 - P 60 3:1 - 7/26/2012
EONIA (TIER 2) : 3 Month EONIA EON 2 - EO3 60 1:1 - 2/24/2012
EONIA (TIER 1) : 3 Month EONIA EON 1 - EO3 60 1:1 - 2/24/2012
EURIBOR (TIER 2) : SHORT STERLING (TIER 2) I 2 - L 2 60 3:4 - 2/24/2012
5 YR USD SWAPNOTE : 10 YR EUR SWAPNOTE USO - P 60 5:3 - 2/24/2012
5 YR USD SWAPNOTE : 5 YR EUR SWAPNOTE USO - O 60 15:16 - 2/24/2012
EURIBOR (TIER 2) : 5 YR USD SWAPNOTE I 2 - USO 60 9:5 - 2/24/2012
SHORT STERLING (TIER 2) : EUROSWISS L 2 - S 60 8:9 - 7/26/2012
EURIBOR (TIER 2) : SHORT STERLING (TIER1) I 2 - L 1 60 3:4 - 7/26/2012
EURIBOR (TIER 1) : SHORT STERLING (TIER 2) I 1 - L 2 60 3:4 - 7/26/2012
SHORT STERLING (TIER 1) : LONG GILT L 1 - R 60 22:3 - 7/26/2012
LONG GILT : 2 YR EUR SWAPNOTE R - TWS 60 1:6 - 7/26/2012
EURIBOR (TIER 2) : EUROSWISS I 2 - S 60 2:3 - 7/26/2012
EURIBOR (TIER 1) : EUROSWISS I 1 - S 60 2:3 - 7/26/2012
SHORT STERLING (TIER 1) : EUROSWISS L 1 - S 60 8:9 - 7/26/2012
2 YR USD SWAPNOTE : 5 YR USD SWAPNOTE USW - USO 55 6:5 - 2/24/2012
SHORT GILT : SHORT STERLING (TIER 2) G - L 2 55 5:7 - 2/24/2012
EURIBOR (TIER 1) : LONG GILT I 1 - R 55 6:1 - 2/24/2012
10 YR USD SWAPNOTE : 5 YR EUR SWAPNOTE USP - O 55 9:16 - 8/8/2011
10 YR USD SWAPNOTE : 10 YR EUR SWAPNOTE USP - P 55 1:1 - 8/8/2011
EONIA (TIER 1) : SHORT STERLING (TIER 2) EON 1 - L 2 55 3:4 - 8/8/2011
EONIA (TIER 1) : SHORT STERLING (TIER 1) EON 1 - L 1 55 3:4 - 8/8/2011
2 YR USD SWAPNOTE : 10 YR EUR SWAPNOTE USW - P 55 2:1 - 2/24/2012
10 YR USD SWAPNOTE : LONG GILT USP - R 55 3:2 - 2/24/2012
EURIBOR (TIER 2) : 2 YR USD SWAPNOTE I 2 - USW 55 3:2 - 2/24/2012
2 YR USD SWAPNOTE : 2 YR EUR SWAPNOTE USW - TWS 55 1:2 - 2/24/2012
5 YR USD SWAPNOTE : 2 YR EUR SWAPNOTE USO - TWS 55 5:12 - 2/24/2012
2 YR USD SWAPNOTE : 5 YR EUR SWAPNOTE USW - O 55 9:8 - 2/24/2012
CONTRACT CODES
INTER-COMMODITY
CHARGE
ATTACHMENT D
SHORT STERLING (TIER 2) : 5 YR USD SWAPNOTE L 2 - USO 55 12:5 - 2/24/2012
SHORT GILT : LONG GILT G - R 50 21:4 - 7/26/2012
EURIBOR (TIER 1) : 5 YR USD SWAPNOTE I 1 - USO 50 9:5 - 2/24/2012
10 YR USD SWAPNOTE : 2 YR EUR SWAPNOTE USP - TWS 50 1:4 - 2/24/2012
EURIBOR (TIER 1) : 2 YR USD SWAPNOTE I 1 - USW 50 3:2 - 2/24/2012
SHORT STERLING (TIER 2) : 2 YR USD SWAPNOTE L 2 - USW 50 2:1 - 2/24/2012
SHORT STERLING (TIER 1) : 2 YR USD SWAPNOTE L 1 - USW 50 2:1 - 2/24/2012
SHORT GILT : SHORT STERLING (TIER 1) G - L 1 45 5:7 - 7/26/2012
EONIA (TIER2) : 5 YR EUR SWAPNOTE EON 2 - O 45 9:5 - 2/24/2012
EONIA (TIER 1): 5 YR EUR SWAPNOTE EON 1 - O 45 9:5 - 2/24/2012
EONIA (TIER 2) : EURIBOR (TIER 1) EON 2 - I 1 45 1:1 - 2/24/2012
EONIA (TIER 2) : EURIBOR (TIER 2) EON 2 - I 2 45 1:1 - 2/24/2012
EONIA (TIER 1) : EURIBOR (TIER 2) EON 1 - I 2 45 1:1 - 2/24/2012
EONIA (TIER 1) : EURIBOR (TIER 1) EON 1 - I 1 45 1:1 - 2/24/2012
EONIA (TIER 1): 2 YR EUR SWAPNOTE EON 1 - TWS 45 4:5 - 8/8/2011
EONIA (TIER2) : 2 YR EUR SWAPNOTE EON 2 - TWS 45 4:5 - 8/8/2011
EONIA (TIER 1) : EUROSWISS EON 1 - S 45 2:3 - 5/5/2011
EONIA (TIER 2) : EUROSWISS EON 2 - S 45 2:3 - 5/5/2011
5 YR USD SWAPNOTE : LONG GILT USO - R 45 5:2 - 2/24/2012
SHORT STERLING (TIER 1) : 5 YR USD SWAPNOTE L 1 - USO 45 12:5 - 2/24/2012
SHORT GILT : MEDIUM GILT G - H 40 13:5 - 7/26/2012
2 YR USD SWAPNOTE : 10 YR USD SWAPNOTE USW - USP 40 2:1 - 2/24/2012
EONIA (TIER 2) : SHORT STERLING (TIER 2) EON 2 - L 2 40 3:4 - 2/24/2012
2 YR USD SWAPNOTE : LONG GILT USW - R 40 3:1 - 2/24/2012
EONIA (TIER 2) : SHORT STERLING (TIER 1) EON 2 - L 1 35 3:4 - 2/24/2012
2 YR USD SWAPNOTE : EUROSWISS USW - S 35 4:9 - 2/24/2012
5 YR USD SWAPNOTE : EUROSWISS USO - S 30 10:27 - 2/24/2012
Note:
Spreads listed in order of priority.
For Euribor and Short Sterling, Tier 1 is up to and including 8th Quarterly expiry. Tier 2 is from 9th Quarterly expiry onwards.
For EONIA Tier 1 is 1st expiry. Tier 2 is all remaining expiries.
ATTACHMENT E
LONDON SPAN PARAMETERS FOR INDEX FUTURES AND OPTIONS(per lot) (per lot) %
Contract Scanning Risk
FTSE 100
Z GBP3,000 GBP35 * 1 5/28/2012
UKX GBP3,000 GBP35 25 GBP10 1 5/28/2012
FTSE100 Dividend Index Future RDSA Withholding XZ GBP100 GBP 80 * 1 7/5/2012
FTSE 100 Declared Dividend Index Future YZ GBP161 GBP 110 * 1 1/17/2012
FTSE 100 Total Return Declared Dividend Index ZTR GBP3,000 GBP 35 * 1 5/28/2012
FTSE Mid 250 Y GBP5,500 GBP135 25 GBP10 1 5/28/2012
Eurotop 100 Q EUR2,200 EUR40 * 1 5/28/2012
FTSEurofirst 80 EFE EUR2,600 EUR65 25 EUR10 1 4/10/2012
FTSEurofirst 100 EFP EUR2,200 EUR65 25 EUR10 1 4/10/2012
CAC 40 CCI EUR2,500 EUR500 25 EUR10 1 6/20/2012
AEX AXI EUR4,100 EUR220 25 EUR10 1 6/20/2012
BEL20 BLI EUR1,550 EUR160 25 EUR10 1 6/20/2012
PSI 20 PSX EUR550 EUR170 25 EUR10 1 4/23/2012
MSCI AC Far East ex Japan MCA USD2,000 USD35 * 1 7/5/2012
MSCI EM Asia MCB USD2,250 USD50 * 1 7/5/2012
MSCI BRIC Index Future MCC USD2,800 USD60 * 1 7/5/2012
MSCI EM EMEA MCZ USD2,700 USD40 * 1 7/5/2012
MSCI Emerging Markets (EM) MCQ USD2,200 USD45 * 1 5/28/2012
MSCI EM Lat Am MCF USD3,800 USD70 * 1 5/28/2012
MSCI Brazil MCG USD4,200 USD75 * 1 5/28/2012
MSCI Mexico MCH USD4,050 USD70 * 1 7/5/2012
MSCI EAFE MCI USD2,000 USD45 * 1 5/28/2012
MSCI Europe MCJ USD2,800 USD55 * 1 5/28/2012
MSCI KOKUSAI I MCK USD2,000 USD45 * 1 7/5/2012
MSCI World MCN USD1,400 USD45 * 1 7/5/2012
MSCI Hong Kong MCM USD2,000 USD45 * 1 7/5/2012
MSCI Japan MCO USD2,000 USD50 * 1 7/5/2012
MSCI All Countries Asia Ex Japan MCR USD1,600 USD40 * 1 7/5/2012
MSCI Europe Ex Switzerland Index Futures MSW USD3,240 USD50 * 1 7/5/2012
MSCI Europe Ex UK Index Futures MKE USD2,800 USD45 * 1 7/5/2012
MSCI Canada Index Futures MDA USD2,700 USD55 * 1 7/5/2012
Contract Code
Intermonth Spread Charge**
Volatility Change
Short Option Minimum Charge
Spot Month Charge Method
Date Effective From
ATTACHMENT E
MSCI Pacific ex Japan Index Futures MPJ USD2,500 USD50 * 1 5/28/2012
MSCI USA Index Futures MCV USD1,700 USD40 * 1 4/23/2012
MSCI India Index Futures MII USD2,700 USD55 * 1 7/5/2012
MSCI AC Asia Pacific Ex Japan Futures MAK USD1,500 USD40 * 1 5/28/2012
MSCI Emerging Markets Net TR EUR Index Future MSM EUR2,430 EUR70 * 1 7/5/2012
MSCI Europe Net Total Return EUR Index Future MPE EUR540 EUR25 * 1 7/5/2012
MSCI World Net Total Return EUR Index Future MLW EUR600 EUR25 * 1 4/23/2012
MSCI KOKUSAI Gross TR USD Index Futures MKO USD2,835 USD60 * 1 7/5/2012
MSCI World Consumer Disc NTR USD Index Futures MWG USD586 USD15 * 1 7/5/2012
MSCI World Consumer Stap NTR USD Index Futures MWB USD600 USD25 * 1 7/5/2012
MSCI World Energy Net TR USD Index Futures MWE USD1,800 USD30 * 1 5/28/2012
MSCI World Financials Net TR USD Index Futures MWN USD550 USD10 * 1 5/28/2012
MSCI World Health Care Net TR USD Index Futures MWO USD500 USD15 * 1 5/28/2012
MSCI World Industrials Net TR USD Index Futures MWI USD900 USD15 * 1 5/28/2012
MSCI World IT Net TR USD Index Futures MWV USD432 USD10 * 1 7/5/2012
MSCI World Materials Net TR USD Index Futures MWM USD1,900 USD25 * 1 5/28/2012
MSCI World Telecom Net TR USD Index Futures MWT USD300 USD10 * 1 5/28/2012
MSCI World Utilities Net TR USD Index Futures MWW USD550 USD20 * 1 7/5/2012
MSCI Canada Net TR EUR Index Futures MDB EUR1,450 EUR34 * 1 5/11/2012
MSCI India Net TR EUR Index Futures MIN EUR4,200 EUR98 * 1 5/11/2012
MSCI South Africa Net TR EUR Index Futures MSE EUR2,300 EUR54 * 1 5/11/2012
MSCI USA Net TR EUR Index Futures MCU EUR370 EUR9 * 1 5/23/2012
MSCI South Africa Net TR USD Index Futures MSA USD2,300 USD54 * 1 5/11/2012
Topix Index Futures TPI JPY500,000 JPY5,000 * 1 12/21/2011
Note:* Options are not available on these Contracts
ATTACHMENT F
INTER-CONTRACT SPREAD CREDITS/CHARGES FOR INDEX FUTURES AND OPTIONS
Priority Contract/Spread Delta Ratio Date Effective
1 FTSE 100 Options : FTSE 100 Futures UKX - Z 1:1 2 - GBP100 3/30/1998
2 FTSEurofirst 80 Options : FTSEurofirst 80 Futures EFE - EFE 1:1 2 - EUR100 6/23/2003
3 FTSEurofirst 100 Options : FTSEurofirst 100 Futures EFP - EFP 1:1 2 - EUR100 6/23/2003
4 CAC 40 Options : CAC 40 Futures CCI - CCI 1:1 2 - EUR100 10/24/2005
5 AEX Options : AEX Futures AXI - AXI 1:1 2 - EUR100 10/24/2005
6 BEL 20 Options : BEL20 Futures BLI - BLI 1:1 2 - EUR100 10/24/2005
7 FTSE 250 Options : FTSE 250 Futures Y - Y 1:1 2 - EUR100 7/7/2008
8 PSI 20 Options : PSI 20 Futures PSX - PSX 1:1 2 - EUR100 7/7/2008
9 MSCI Europe Index Future (MCJ) : MSCI Europe Ex UK Index Futures (MKE) MCJ - MKE 1:1 1 95 - 7/5/2012
10 MSCI AC Far East ex Japan Index Future (MCA) : MSCI All Countries Asia Ex Japan (MCR) MCA - MCR 1:1 1 85 - 2/24/2012
11 MSCI EM Asia Index Future (MCB) : MSCI Emerging Markets (EM) Index Future (MCQ) MCB - MCQ 1:1 1 85 - 7/5/2012
12 FTSEurofirst 100 Portfolio (EFP) : FTSEurofirst 80 Portfolio (EFE) EFP - EFE 1:1 1 85 - 7/5/2012
13 MSCI Emerging Markets (EM) Index Future (MCQ) : MSCI Emerging Markets Net TR EUR Index Future (MSM) MCQ - MSM 1:1 1 85 - 7/5/2012
14 MSCI AC Asia Pacific Ex Japan Futures (MAK) : MSCI Pacific ex Japan Index Futures (MPJ) MAK - MPJ 1:1 1 80 - 2/24/2012
15 MSCI World Index Future (MCN) : MSCI World Net Total Return EUR Index Future (MLW) MCN - MLW 1:2 1 80 - 7/5/2012
16 MSCI BRIC Index Future (MCC) : MSCI Europe Index Future (MCJ) MCC - MCJ 1:1 1 75 - 4/23/2012
17 CAC 40 Portfolio (CCI) : BEL 20 Portfolio (BLI) CCI - BLI 1:1 1 75 - 7/13/2011
18 MSCI World Index Future (MCN) : MSCI Europe Index Future (MCJ) MCN - MCJ 1:1 1 75 - 7/5/2012
19 FTSEurofirst 80 Portfolio (EFE) : CAC 40 Portfolio (CCI) EFE - CCI 1:1 1 70 - 1/17/2012
20 MSCI BRIC Index Future (MCC) : MSCI World Index Future (MCN) MCC - MCN 1:1 1 70 - 4/23/2012
21 FTSE 100 Portfolio (Z, UKX) : BEL 20 Portfolio (BLI) Z - BLI 1:1 1 70 - 7/5/2012
22 FTSEurofirst 100 Portfolio (EFP) : FTSE 100 Portfolio (Z, UKX) EFP - Z 1:1 1 70 - 7/5/2012
23 FTSEurofirst 100 Portfolio (EFP) : CAC 40 Portfolio (CCI) EFP - CCI 1:1 1 65 - 7/5/2012
24 MSCI Emerging Markets (EM) Index Future (MCQ) : MSCI India Index Futures (MII) MCQ - MII 1:1 1 65 - 7/5/2012
25 FTSE 100 Portfolio (Z, UKX) : FTSE Mid 250 (Y) Z - Y 1:1 1 65 - 4/23/2012
26 FTSEurofirst 80 Portfolio (EFE) : FTSE 100 Portfolio (Z, UKX) EFE - Z 1:1 1 65 - 7/5/2012
27 CAC 40 Portfolio (CCI) : AEX Portfolio (AXI) CCI - AXI 20:1 1 65 - 7/5/2012
28 FTSEurofirst 80 Portfolio (EFE) : FTSE Eurotop 100 (Q) EFE - Q 2:1 1 60 - 7/5/2012
29 FTSE 100 Portfolio (Z, UKX) : FTSE Eurotop 100 (Q) Z - Q 2:1 1 60 - 7/5/2012
30 FTSEurofirst 100 Portfolio (EFP) : FTSE Eurotop 100 (Q) EFP - Q 2:1 1 50 - 7/5/2012
31 FTSE100 Dividend Index Future RDSA Withholding : FTSE 100 Declared Dividend Index Future XZ - YZ 1:1 1 50 - 10/25/2011
32 FTSE 100 Portfolio (Z, UKX) : AEX Portfolio (AXI) Z - AXI 20:1 1 50 - 7/5/2012
33 FTSE 100 Portfolio (Z, UKX) : CAC 40 Portfolio (CCI) Z - CCI 20:1 1 45 - 7/5/2012
34 AEX Portfolio (AXI) : BEL 20 Portfolio (BLI) AXI - BLI 1:20 1 40 - 1/17/2012
35 FTSEurofirst 100 Portfolio (EFP) : AEX Portfolio (AXI) EFP - AXI 20:1 1 40 - 7/5/2012
36 FTSEurofirst 80 Portfolio (EFE) : AEX Portfolio (AXI) EFE - AXI 20:1 1 40 - 7/13/2011
Contract Codes
Credit Method
% Credit (per leg)
Inter-Commodity
Charge
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyHome Retail Group plc AA n/a AAO AAB AAV AAF AAK n/a n/a USD 1.42 0.02 40 2/24/2012
Aberdeen Asset Management PLC AAM n/a n/a n/a n/a n/a ZZG n/a n/a GBP 0.14 0.01 40 2/24/2012
Apple Inc AAP n/a LYQ LYJ LYX LYY LYZ n/a n/a USD 23.63 0.19 40 2/24/2012
ASOS PLC AAZ n/a n/a n/a n/a AAG n/a n/a n/a GBP 1.88 0.02 n/a 2/24/2012
Air Berlin AB0 n/a n/a n/a n/a AB5 AB6 n/a n/a EUR 0.35 0.01 n/a 3/23/2012
ABB Ltd ABB ABU ABQ ABJ ABX ABY ABZ n/a n/a CHF 1.60 0.05 40 2/24/2012
Abertis Infraestructuras SA ABE CYU CYQ CYJ CYX CYY CYZ n/a n/a EUR 0.98 0.01 40 2/24/2012
Associated British Foods ABF ZBW ZBO ZBB ZBV ZBY n/a n/a ABR GBP 0.48 0.01 40 2/24/2012
Abengoa SA ABG n/a n/a n/a n/a n/a WLD WLH n/a EUR 1.52 0.02 n/a 2/24/2012
Abbott Laboratories ABT n/a OUT OUC OUN OUY OUZ n/a n/a USD 1.53 0.02 40 2/24/2012
Credit Agricole SA ACA ACU ACQ ACJ ACX ACY ACZ n/a n/a EUR 0.80 0.03 40 4/16/2012
Acciona SA ACC LJW LJO LJB LJV LJY LJZ n/a n/a EUR 5.37 0.05 40 2/24/2012
ACEA SpA ACE n/a n/a LJB n/a CUD CUH n/a n/a EUR 0.51 0.01 40 2/24/2012
ACE Ltd ACL n/a OGT OGC OGN OGF OGK n/a n/a USD 4.07 0.04 40 2/24/2012
Acanthe Developpement SA ACN n/a n/a n/a n/a UIF UIK n/a n/a EUR 0.18 0.01 n/a 2/24/2012
Acerinox SA ACR QFU QFQ QFJ QFX QFY QFZ n/a n/a EUR 0.84 0.01 40 2/24/2012
American Capital Ltd AD n/a ADO ADB ADV ADF ADK n/a n/a USD 0.70 0.01 40 2/24/2012
Adecco SA ADC QVU QVQ QVJ QVX QVY QVZ n/a n/a CHF 5.60 0.05 40 2/24/2012
Astaldi SpA ADI n/a n/a n/a n/a ZWF ZWK n/a n/a EUR 0.66 0.01 n/a 2/24/2012
Admiral Group PLC ADM n/a n/a n/a n/a ADD n/a n/a ADG GBP 1.84 0.02 30 2/24/2012
Aeroports de Paris ADP n/a n/a n/a n/a AID AIH n/a n/a EUR 3.51 0.03 n/a 2/24/2012
Adidas-Salomon AG ADS FKU FKQ FKJ FKX FKY FKZ n/a n/a EUR 3.11 0.03 40 2/24/2012
Aker ASA AE n/a n/a n/a n/a AED AEH n/a n/a NOK 23.50 0.19 n/a 2/24/2012
A2A SpA AEM n/a ASO ASB ASV ASD ASH n/a n/a EUR 0.08 0.01 40 2/24/2012
American Electric Power Co Inc AEP n/a n/a n/a n/a AQG AQP n/a n/a USD 1.62 0.02 n/a 2/24/2012
BAE Systems plc AER BAU BAQ BAJ BAX BAD n/a n/a AER GBP 0.21 0.01 30 2/24/2012
AGFA-Gevaert NV AGE QJU QJQ QJJ QJX QJY QJZ n/a n/a EUR 0.41 0.01 40 2/24/2012
Altria Group Inc AGI n/a JLQ JLJ JLX JLY JLZ n/a n/a USD 1.37 0.02 40 2/24/2012
Aggreko AGK n/a n/a n/a n/a AGU n/a AGK n/a GBP 1.65 0.02 n/a 6/26/2012
Agnico-Eagle Mines Ltd AGM n/a n/a n/a n/a AG8 AG9 n/a n/a USD 3.70 0.04 n/a 4/12/2012
Aggreko AGN AFU AFQ AFJ AFX AFY AFZ n/a n/a EUR 0.52 0.01 40 2/24/2012
Agrium Inc AGR n/a n/a n/a n/a AG6 AG7 n/a n/a USD 5.50 0.06 n/a 4/12/2012
Aegis Group AGS n/a n/a n/a n/a AGV n/a n/a n/a GBP 0.10 0.01 n/a 6/26/2012
Anglo American plc AHA AHW AHO AHB AHV AHD n/a n/a AHA GBP 2.40 0.07 30 2/24/2012
Koninklijke Ahold NV AHL AHU AHQ AHJ AHX AHY AHZ AHL n/a EUR 0.76 0.01 40 5/28/2012
Air Liquide AI AIU AIQ AIJ AIX AIY AIZ n/a n/a EUR 4.34 0.12 40 6/25/2012
Air France-KLM AIF AQW AQO AQB AQV AQD AQH n/a n/a EUR 0.59 0.02 40 4/16/2012
American Internation Group Inc AIG n/a JGQ JGJ JGX JGY JGZ n/a n/a USD 3.01 0.03 40 2/24/2012
Huntington Bancshares Inc AJ n/a AJT AJC AJN AJF AJK n/a n/a USD 0.51 0.01 40 2/24/2012
Arkema AKE AKW AKO AKR AKI AUD AUH n/a n/a EUR 9.36 0.08 40 2/24/2012
Akzo Nobel NV AKZ AKU AKQ AKJ AKX AKY AKH AKZ n/a EUR 3.12 0.03 40 2/24/2012
Allergan INC AL n/a DGT DGC DGN DGF DGK n/a n/a USD 4.85 0.04 40 2/24/2012
Corp Financiera Alba ALB n/a n/a n/a n/a DHD DHH n/a n/a EUR 2.93 0.03 n/a 2/24/2012
Alten ALE n/a n/a n/a n/a ALA ALR n/a n/a EUR 2.00 0.05 n/a 5/28/2012
Alfa Laval AB ALF AJW AJO AJB AJV AJD AJH n/a n/a SEK 10.67 0.09 40 10/17/2011
Alliance Oil Company Ltd ALI n/a n/a n/a n/a AOY AOZ n/a n/a SEK 8.47 0.07 n/a 2/24/2012
Laboratorios Almirall SA ALM n/a n/a n/a n/a n/a ALD ALH n/a EUR 0.58 0.02 n/a 4/16/2012
Alstom ALS ZWU ZWQ ZWJ ZWX ZWY ZWZ n/a n/a EUR 3.84 0.04 40 2/24/2012
Allianz AG ALV ALU ALQ ALJ ALX ALY ALZ n/a n/a EUR 6.50 0.07 40 5/28/2012
AMG NV AM XBM XBT XBC XBN XBF XBK n/a n/a EUR 1.29 0.02 40 2/24/2012
Anadarko Petroleum Corp AMA n/a n/a n/a n/a AMD AMH n/a n/a USD 7.08 0.06 n/a 2/24/2012
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Amec AME n/a n/a n/a n/a AMT n/a n/a n/a GBP 0.82 0.01 n/a 6/26/2012
Ameriprise Financial Inc AMF n/a n/a n/a n/a RUG RUP n/a n/a USD 6.66 0.06 n/a 2/24/2012
Amgen AMG n/a JVT JVC JVN JVY JVZ n/a n/a USD 3.22 0.03 40 2/24/2012
Amlin AML n/a n/a n/a n/a AMU n/a n/a n/a GBP 0.29 0.01 n/a 6/26/2012
Ameren Corp AMM n/a n/a n/a n/a MGF MGK n/a n/a USD 2.11 0.02 n/a 2/24/2012
Amplifon SpA AMP n/a n/a n/a n/a MVF MVK n/a n/a EUR 0.36 0.01 n/a 2/24/2012
Amadeus IT Holding SA AMS n/a n/a n/a n/a AM5 AM6 n/a n/a EUR 0.82 0.03 n/a 4/16/2012
Amazon.Com Inc AMZ n/a TTO TTB TTV TTD TTH n/a n/a USD 23.12 0.19 40 2/24/2012
Gannett Co Inc AN n/a ANO ANC ANN ANF ANK n/a n/a USD 2.01 0.02 40 2/24/2012
Andritz AG AND n/a n/a n/a n/a LQY LQZ n/a n/a EUR 2.18 0.06 n/a 4/23/2012
AON Corp ANP n/a n/a n/a n/a ZAF ZAK n/a n/a USD 3.16 0.03 n/a 2/24/2012
Ansaldo STS SpA ANS n/a n/a n/a n/a STY STZ n/a n/a EUR 0.70 0.01 n/a 2/24/2012
Antofagasta ANT KFU KFQ KFJ KFX KFY n/a n/a ATT GBP 1.56 0.05 40 2/24/2012
Time Warner AOL n/a n/a n/a n/a ZTY ZTZ n/a n/a USD 2.33 0.02 n/a 2/24/2012
Accor SA AOO AAW AAT AAC AAN ACF ACK n/a n/a EUR 3.22 0.03 40 2/24/2012
Atlas Copco AB-B AP n/a n/a n/a n/a APD APH n/a n/a SEK 12.10 0.10 n/a 2/24/2012
Air Products & Chemicals Inc APM n/a n/a n/a n/a ASG ADH n/a n/a USD 7.76 0.07 n/a 2/24/2012
Aperam APZ APE APA APR API AHG AHP n/a n/a EUR 1.88 0.02 n/a 2/24/2012
Leggett & Platt Inc AQ n/a AQT AQC AQN AQF AQK n/a n/a USD 2.21 0.02 40 2/24/2012
Aareal Bank AG AR AR1 AR2 AR3 AR4 ARD ARH n/a n/a EUR 3.30 0.08 40 3/23/2012
Aurubis AG ARB n/a n/a n/a n/a ARV ART n/a n/a EUR 2.91 0.03 n/a 2/24/2012
Arcadis N.V ARC WEW WEO WEB WEV WEF WEK n/a n/a EUR 1.70 0.02 40 2/24/2012
ARM Holdings ARM MWU MWQ MWJ MWX MWY n/a n/a ARM GBP 0.50 0.02 40 4/16/2012
M&T Bank Corp AS n/a AST ASC ASN ASF ASK n/a n/a USD 5.72 0.05 40 2/24/2012
ASML Holding NV ASL FDU FDQ FDJ FDX FDY FDZ ASL n/a EUR 1.89 0.06 40 2/24/2012
Aspen Insurance Holdings Ltd ASP n/a n/a n/a n/a OHF OHK n/a n/a USD 1.68 0.02 n/a 2/24/2012
Assa Abloy AB ASS LRU LRQ LRJ LRX LRY LRZ n/a n/a SEK 11.88 0.10 40 2/24/2012
Altri SGPS AT n/a n/a n/a n/a ATD ATH n/a n/a EUR 0.12 0.01 n/a 10/17/2011
Atos AT0 ACW ACO ACB ACV ACD ACH n/a n/a EUR 3.33 0.03 40 2/24/2012
Atlas Copco AB A shares ATA ATU ATQ ATJ ATX ATY ATZ n/a n/a SEK 14.41 0.12 40 2/24/2012
American Tower Corp ATC n/a n/a n/a n/a ACG ACP n/a n/a USD 5.13 0.05 n/a 8/26/2011
Autogrill SPA ATG n/a n/a n/a n/a QID QIH n/a n/a EUR 0.68 0.01 n/a 2/24/2012
Actelion Ltd ATL YKU YKQ YKJ YKX YKY YKZ n/a n/a CHF 3.00 0.03 40 2/24/2012
AO Tatneft ATO TFM TFT TFC TFN AAD AAH n/a n/a USD 6.00 0.05 n/a 2/24/2012
Atlantic SpA ATS n/a AUQ AUJ AUX AUY AUZ AUT n/a EUR 1.12 0.01 40 2/24/2012
Aurico Gold Inc AUL n/a n/a n/a n/a AUP AUU n/a n/a USD 1.10 0.01 n/a 5/11/2012
Ackermans & Van Haaren AVH n/a n/a n/a n/a AGY AGZ n/a n/a EUR 5.79 0.05 n/a 2/24/2012
Eastman Chemical Co AW n/a AWT AWC AWN AWF AWK n/a n/a USD 5.28 0.05 40 2/24/2012
International Consolidated Airlines G AWS BYU BYQ BYJ BYX BYY n/a n/a AWS GBP 0.22 0.01 40 2/24/2012
Aker Solutions ASA AX n/a n/a n/a n/a AXD AXH n/a n/a NOK 9.00 0.08 n/a 2/24/2012
AXA SA AXA CJU CJQ CJJ CJX CJY CJZ n/a n/a EUR 1.50 0.02 40 5/28/2012
Axel Springer AG AXE n/a n/a n/a n/a OMD OMH n/a n/a EUR 3.95 0.04 n/a 2/24/2012
Aixtron SE AXT n/a n/a n/a n/a ANY ANZ n/a n/a EUR 2.36 0.02 n/a 2/24/2012
Subsea 7 SA AY n/a n/a n/a n/a GYD GYH n/a n/a NOK 17.00 0.14 n/a 2/24/2012
Azimut Holding SpA AZ n/a n/a n/a n/a AZD AZH n/a n/a EUR 0.88 0.01 n/a 2/24/2012
AstraZeneca plc AZA AZU AZQ AZJ AZX AZY n/a n/a AZA GBP 1.68 0.05 30 2/24/2012
Julius Baer Gruppe BAB BA1 BA2 BA3 BA4 BA5 BA6 n/a n/a CHF 2.40 0.02 n/a 2/20/2012
Bauer AG BAE n/a n/a n/a n/a WLF WLK n/a n/a EUR 4.78 0.04 n/a 2/24/2012
Bank of Ireland BAN n/a n/a n/a n/a BRD n/a n/a n/a EUR 0.05 0.01 n/a 7/21/2011
BASF AG BAS BJU BJQ BJJ BJX BJY BJZ n/a n/a EUR 4.00 0.11 40 4/16/2012
Banco de Valencia SA BAV n/a n/a n/a n/a BVD BVH n/a n/a EUR 0.17 0.01 n/a 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Societe BIC SA BB n/a n/a n/a n/a NDF NDK n/a n/a EUR 4.15 0.04 n/a 2/24/2012
Barry Callebaut AG BBB n/a n/a n/a n/a BA7 BA8 n/a n/a CHF 40.20 0.93 n/a 3/23/2012
Barclays plc BBL BBU BBQ BBJ BBX BBD n/a n/a BBL GBP 0.25 0.01 30 5/28/2012
Banco BPI SA BBP n/a n/a n/a n/a YXY YXZ n/a n/a EUR 0.11 0.01 40 8/16/2011
Baywa-Bayerische Warenvermit BBW n/a n/a n/a n/a BAF BAK n/a n/a EUR 1.74 0.02 n/a 2/24/2012
Balfour Beatty BBY n/a n/a n/a n/a BBE n/a n/a n/a GBP 0.24 0.01 n/a 6/26/2012
BRE Bank SA BC n/a n/a n/a n/a BCD n/a n/a n/a PLN 36.00 0.29 n/a 2/24/2012
Broadcom Corp BCC n/a n/a n/a n/a BOG BOP n/a n/a USD 2.78 0.03 n/a 2/24/2012
BCE Inc BCE n/a n/a n/a n/a BCH BCW n/a n/a USD 1.19 0.01 n/a 2/24/2012
Barratt Developments BDE n/a n/a n/a n/a BDW n/a n/a n/a GBP 0.14 0.01 40 6/26/2012
Beiersdorf AG BDF DLU DLQ DLJ DLX DLY DLZ n/a n/a EUR 2.18 0.02 40 2/24/2012
Befimmo S.C.A. BEF n/a n/a n/a n/a BMF BMK n/a n/a EUR 3.47 0.03 n/a 2/24/2012
Bekaert SA NV BEK VWM VWT VWC VWM VWY VWZ n/a n/a EUR 5.20 0.05 n/a 2/24/2012
Beni Stabili SpA BEN n/a n/a n/a n/a AYD AYH n/a n/a EUR 0.07 0.01 n/a 2/24/2012
Banco Espirito Santo SA BES n/a n/a n/a n/a YBY YBZ n/a n/a EUR 0.21 0.01 40 4/16/2012
BG Group plc BGG BGU BGQ BGJ BGX GEY n/a n/a BGG GBP 0.88 0.03 30 4/16/2012
Booker Group BGP n/a n/a n/a n/a BKG n/a n/a n/a GBP 0.06 0.01 n/a 10/17/2011
Bank BPH BH n/a n/a n/a n/a BHD n/a n/a n/a PLN 10.00 0.08 n/a 2/24/2012
Brunel International NV BI BUW BUO BUB BUV BUG BUP n/a n/a EUR 3.50 0.03 40 2/24/2012
Babcock International Group BIG n/a n/a n/a n/a BDG n/a n/a n/a GBP 0.44 0.01 n/a 2/24/2012
Biogen Idec Inc BII n/a JIT JIC JIN JIY JIZ n/a n/a USD 9.43 0.08 40 2/24/2012
Intesa Sanpaolo SpA BIN n/a BIQ BIJ BIX BIY BIZ n/a n/a EUR 0.21 0.01 40 4/16/2012
Biomerieux BIO n/a n/a n/a n/a IOF IOK n/a n/a EUR 4.79 0.04 40 2/24/2012
Boston Properties Inc BJ n/a BJT BJC BJN BJF BJK n/a n/a USD 5.64 0.05 40 2/24/2012
Bankia SA BKI n/a n/a n/a n/a BNG BKP n/a n/a EUR 0.49 0.01 n/a 2/24/2012
Berkeley Group Holdings BKL n/a n/a n/a n/a BKE n/a n/a n/a GBP 1.03 0.01 n/a 6/26/2012
Bankinter SA BKT UZU UZQ UZJ UZX UZY UZZ n/a n/a EUR 0.37 0.01 40 2/24/2012
Boliden AB BL BLW BLO BLB BLV BLD BLH n/a n/a SEK 15.02 0.12 40 2/24/2012
Balda AG BLA n/a n/a n/a n/a n/a BLL n/a n/a EUR 1.30 0.03 n/a 5/28/2012
Belgacom SA BLG BEU BEQ BEJ BEX BEY BEZ n/a n/a EUR 1.29 0.04 40 2/24/2012
British Land Co BLN XBW XBO XBB XBV XBY n/a n/a BLC GBP 0.35 0.01 40 2/24/2012
BHP Billiton plc BLT BHU BHQ BHJ BHX BHY n/a n/a BLT GBP 1.80 0.05 30 4/16/2012
Bolsas y Mercados Espanoles BME BXW BXG BXB BXV BXD BXH n/a n/a EUR 1.50 0.02 40 2/24/2012
Koninklijke BAM Groep NV BMG KPW KPC KPB KPV KPD KPH n/a n/a EUR 0.41 0.01 40 2/24/2012
BMW AG - PFD BMM n/a n/a n/a n/a EWD EWH n/a n/a EUR 3.38 0.03 n/a 2/24/2012
Bayerische Motoren Werke AG BMW BMU BMQ BMJ BMX BMD BMZ n/a n/a EUR 5.76 0.05 40 2/24/2012
Danone BN BKU BKQ BKJ BKX BKY BKZ n/a n/a EUR 3.04 0.04 40 5/28/2012
BNP Paribas BNP BNU BNQ BNJ BNX BNY BNH n/a n/a EUR 6.00 0.17 40 4/16/2012
Bank of Nova Scotia BNS n/a n/a n/a n/a BN8 BN9 n/a n/a USD 3.70 0.04 n/a 4/12/2012
Beneteau BNT n/a n/a n/a n/a BLF BLK n/a n/a EUR 1.04 0.01 n/a 2/24/2012
Brenntag AG BNW n/a n/a n/a n/a BNB BNV n/a n/a EUR 6.10 0.14 n/a 7/11/2012
Bunzl BNZ n/a n/a n/a n/a BNM n/a n/a n/a GBP 0.68 0.01 n/a 6/26/2012
Bank of Ireland BO n/a n/a n/a n/a BKD n/a n/a n/a EUR 0.05 0.01 n/a 7/21/2011
Bank of America Corp BOA n/a KDQ KDJ KDX KDY KDZ n/a n/a USD 0.97 0.01 40 2/24/2012
Boeing Co BOE n/a n/a n/a n/a LVY LVZ n/a n/a USD 5.77 0.05 n/a 2/24/2012
Bank of Montreal BOM n/a n/a n/a n/a BO8 BO9 n/a n/a USD 2.40 0.03 n/a 4/12/2012
Boskalis Wesminster BOS UBW UBO UBB UBV UBD UBH n/a n/a EUR 1.98 0.02 40 2/24/2012
BP plc BP BPU BPQ BPJ BPX BPY n/a n/a BP GBP 0.26 0.01 30 5/28/2012
Banca Popolare dell Emilia Romagna BPE n/a n/a n/a n/a BWG BWP n/a n/a EUR 1.02 0.01 n/a 2/24/2012
Unione Di Banche Italiane Scrl BPL n/a FRQ FRJ FRX FRY FRZ n/a n/a EUR 0.42 0.01 40 2/24/2012
BPM - Banca Popolare di Milano SCaRL BPM n/a UWQ UWJ UWX UWY UWZ n/a n/a EUR 0.26 0.01 40 5/28/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Banca Monte dei Paschi Siena BPS n/a EVQ EVJ EVX EVY EVZ n/a n/a EUR 0.07 0.01 40 2/24/2012
Banco Popolare Scrl BPV n/a FHQ FHJ FHX FHY FHZ BPV n/a EUR 0.23 0.01 40 10/17/2011
Windstream Corp BQ n/a BQT BQC BQN BQF BQK n/a n/a USD 0.59 0.01 40 2/24/2012
Host Hotels & Resorts Inc BR n/a BRO BRC BRN BRF BRK n/a n/a USD 1.20 0.01 40 2/24/2012
Burberry Group BRB BRU BRA BRR BRH BDK n/a BRB BRW GBP 1.48 0.02 30 6/26/2012
Barrick Gold Corp BRG n/a WKO WKB WKV WKD WKH n/a n/a USD 3.48 0.03 40 2/24/2012
Brembo SpA BRM n/a n/a n/a n/a BOF BOK n/a n/a EUR 1.40 0.02 n/a 2/24/2012
Brookfield Asset Management BRP n/a n/a n/a n/a BR8 BR9 n/a n/a USD 2.00 0.02 n/a 4/12/2012
Brisa SA BRS n/a n/a n/a n/a YZY YZZ n/a n/a EUR 0.29 0.01 40 2/24/2012
Invensys BRT IQU IQQ IQJ IVX IQY n/a n/a BRT GBP 0.28 0.01 30 2/24/2012
Britvic Plc BRV n/a n/a n/a n/a BAG n/a n/a n/a GBP 0.28 0.01 n/a 2/24/2012
Best Buy Co Inc BSB n/a n/a n/a n/a BYG BYP n/a n/a USD 3.21 0.03 n/a 2/24/2012
Berkshire Hathaway Inc BSH n/a n/a n/a n/a BHG BHH n/a n/a USD 3.70 0.03 n/a 2/24/2012
British Sky Broadcasting plc BSK BSU BSQ BSJ BSX BSD n/a n/a BSK GBP 0.48 0.02 30 4/16/2012
BB&T Corp BTA n/a ZWT ZWC ZWN BTD BTH n/a n/a USD 2.04 0.02 40 2/24/2012
BT Group plc BTG BTU BTQ BTJ BTX BTY n/a n/a BTG GBP 0.16 0.01 30 4/16/2012
Banco Espanol de Credito SA BTO n/a n/a n/a n/a UKY UKZ n/a n/a EUR 0.34 0.01 n/a 2/24/2012
Masco Corp BV n/a BVT BVC BVN BVF BVK n/a n/a USD 1.13 0.01 40 2/24/2012
Banco Bilbao Vizcaya Argent BVA BDU BDQ BDJ BDX BDY BDZ n/a n/a EUR 0.65 0.01 40 5/28/2012
Bureau Veritas SA BVI n/a n/a n/a n/a UGF UGK n/a n/a EUR 3.01 0.03 n/a 2/24/2012
Bovis Homes Group BVS n/a n/a n/a n/a BVO n/a n/a n/a GBP 0.36 0.01 n/a 6/26/2012
Bellway BWY n/a n/a n/a n/a BWA n/a n/a n/a GBP 0.53 0.01 n/a 6/26/2012
Bayer AG BYR BQU BQQ BQJ BQX BQY BQZ n/a n/a EUR 4.00 0.11 40 4/16/2012
Buzzi Unicem SPA RSP BZU n/a n/a n/a n/a BZD BZH n/a n/a EUR 0.44 0.01 40 2/24/2012
Bellzone BZM n/a n/a n/a n/a BZW n/a n/a n/a GBP 0.08 0.01 n/a 2/24/2012
Buzzi Unicem SPA BZZ n/a n/a n/a n/a n/a QKH n/a n/a EUR 0.92 0.01 n/a 2/24/2012
Carrefour SA CA CMU CMQ CMJ CMX CMY CMZ n/a n/a EUR 2.03 0.06 40 2/24/2012
Coach Inc CAI n/a n/a n/a n/a CQG CQP n/a n/a USD 6.00 0.05 n/a 2/24/2012
Société d’Edition de Canal Plus CAN n/a n/a n/a n/a CBF n/a n/a n/a EUR 0.26 0.01 n/a 2/24/2012
Castellum AB CAS n/a n/a n/a n/a CND CNH n/a n/a SEK 10.00 0.08 n/a 2/24/2012
Close Brothers Group CBG n/a n/a n/a n/a CBW n/a CBG n/a GBP 0.50 0.01 n/a 7/11/2012
Canadian Imperial Bank of Commerce CBI n/a n/a n/a n/a CI8 CI9 n/a n/a USD 4.20 0.05 n/a 4/12/2012
Commerzbank AG CBK CBU CBQ CBJ CBX CBY CBZ n/a n/a EUR 0.39 0.02 40 4/16/2012
Coca Cola Enterprises CCE n/a n/a n/a n/a CTY CCZ n/a n/a USD 1.49 0.02 n/a 2/24/2012
Cable & Wireless Communications CCT CCW CCQ CCB CCV CCF n/a CCT n/a GBP 0.04 0.01 30 2/24/2012
Citigroup Inc CCX n/a KNQ KNJ KNX KNY KNZ n/a n/a USD 4.95 0.04 40 2/24/2012
Progressive Corp / The CD n/a CDT CDC CDN CDF CDK n/a n/a USD 1.12 0.01 40 2/24/2012
Cofide SpA CDE n/a n/a n/a n/a MWF MWK n/a n/a EUR 0.07 0.01 n/a 2/24/2012
Christian Dior SA CDI CDU CDQ CDJ CDX CDY CDZ n/a n/a EUR 8.82 0.08 40 2/24/2012
OJSC Cherkizovo Group CE n/a n/a n/a n/a CED CEH n/a n/a USD 3.85 0.04 n/a 10/17/2011
Cementir Holding SpA CEM n/a n/a n/a n/a UAF UAK n/a n/a EUR 0.21 0.01 n/a 2/24/2012
Cenovus Energy Inc CEN n/a n/a n/a n/a CE8 CE9 n/a n/a USD 3.40 0.04 n/a 4/12/2012
Cofina SGPS CF n/a n/a n/a n/a COD COH n/a n/a EUR 0.15 0.01 n/a 5/28/2012
CFAO CFA n/a n/a n/a n/a COY COZ n/a n/a EUR 1.93 0.02 n/a 2/24/2012
ConAgra Foods Inc CG n/a CGO CGB CAV CGF CGK n/a n/a USD 1.17 0.01 40 2/24/2012
Cargotec Corporation CGC n/a n/a n/a n/a CJD CJH n/a n/a EUR 4.02 0.04 n/a 2/24/2012
Alcatel SA CGE CGU CGQ CGJ CGX CGY CGZ n/a n/a EUR 0.37 0.01 40 4/16/2012
Catlin Group Ltd CGL n/a n/a n/a n/a CAF n/a n/a n/a GBP 0.29 0.01 n/a 2/24/2012
Cie Generale de Geophysique-Veritas CGV n/a n/a n/a n/a DBD DBH n/a n/a EUR 2.35 0.02 n/a 2/24/2012
Clorox Co CH n/a CHO CHC CHN CHF CLK n/a n/a USD 5.00 0.04 40 2/24/2012
Chesapeake Energy Corp CHK n/a RUO RUB RUV RUD RUH n/a n/a USD 2.41 0.02 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Cintra Concesiones de Infraestructuras de CIN JCW JCO JCB JCV JCY JCZ n/a n/a EUR 0.64 0.01 40 2/24/2012
Corio NV CIO CDW CDO CDV CDB CDD CDH n/a n/a EUR 4.50 0.04 40 2/24/2012
CIR SpA CIR n/a n/a n/a n/a GMD GMH n/a n/a EUR 0.13 0.01 n/a 2/24/2012
Cineworld CIW n/a n/a n/a n/a DDG n/a n/a n/a GBP 0.12 0.01 n/a 2/24/2012
Rovese SA CK n/a n/a n/a n/a CKD n/a n/a n/a PLN 1.20 0.01 n/a 2/24/2012
Cookson Group CKG n/a n/a n/a n/a CKI n/a CKG n/a GBP 0.61 0.01 n/a 7/11/2012
Carlsberg A/S CLB n/a n/a n/a n/a CLD CLH n/a n/a DKK 42.00 1.14 n/a 4/16/2012
Carillion CLL n/a n/a n/a n/a n/a n/a CLL n/a GBP 0.31 0.01 n/a 2/24/2012
Coloplast A/S CLP n/a n/a n/a n/a DFD DFH n/a n/a DKK 45.00 0.36 n/a 2/24/2012
Celesio AG CLS CLU CLQ CLJ CLX CLY CLZ n/a n/a EUR 1.05 0.01 40 2/24/2012
Ciments Francais SA CMA n/a n/a n/a n/a NEF NEK n/a n/a EUR 7.50 0.06 n/a 2/24/2012
Comcast Corp CMC n/a n/a n/a n/a CDG CDP n/a n/a USD 1.67 0.02 n/a 2/24/2012
Cummins Inc CMS n/a n/a n/a n/a CUG CUP n/a n/a USD 8.94 0.08 n/a 2/24/2012
Cairn Energy CNE KEU KEQ KEJ KEX KEY n/a n/a CNG GBP 0.30 0.01 40 2/24/2012
Cincinnati Financial Corp CNN n/a BHT BHC BHN BHF BHK n/a n/a USD 1.36 0.02 40 2/24/2012
CNP Assurances CNP CNU CNQ CNJ CNX CNY CNZ n/a n/a EUR 1.12 0.01 40 2/24/2012
Canadian Natural Resources CNR n/a n/a n/a n/a CNW CNO n/a n/a USD 3.80 0.04 n/a 4/12/2012
Carnival Corp CNV n/a n/a n/a n/a CVG CVP n/a n/a USD 3.67 0.03 n/a 2/24/2012
Casino Guichard Perrachon SA CO FBU FBQ FBJ FBX FBY FBZ n/a n/a EUR 4.43 0.04 40 2/24/2012
Cobham COB n/a n/a n/a n/a COV n/a COB n/a GBP 0.10 0.01 n/a 7/11/2012
Cofinimmo SA COF n/a n/a n/a n/a JEY JEZ n/a n/a EUR 6.50 0.06 n/a 2/24/2012
Comerica Inc COM n/a AOT AOC AON AOF AOK n/a n/a USD 3.12 0.03 40 10/17/2011
Continental AG CON DVU DVQ DVJ DVX DVY DVZ n/a n/a EUR 6.41 0.06 40 2/24/2012
ConocoPhillips COP n/a n/a n/a n/a NQY NQZ n/a n/a USD 3.56 0.03 n/a 5/1/2012
C&C Group PLC CP n/a n/a n/a n/a CPD n/a n/a n/a EUR 0.26 0.01 n/a 2/24/2012
Canadian Pacific Railway Ltd CPA n/a n/a n/a n/a CP8 CP9 n/a n/a USD 4.60 0.05 n/a 4/12/2012
Compass Group plc CPG CPU CPQ CPJ CPX CPY n/a n/a CPG GBP 0.32 0.01 40 2/24/2012
Capita Group plc CPI n/a n/a n/a n/a QKY n/a CPT n/a GBP 0.43 0.01 40 2/24/2012
Cape PLC CPP n/a n/a n/a n/a CGG n/a n/a n/a GBP 0.84 0.01 n/a 2/24/2012
Carpetright CPR n/a n/a n/a n/a n/a n/a CPR n/a GBP 0.88 0.01 n/a 2/24/2012
CRH PLC CR CRW CRT CRB CRV CCD n/a n/a n/a EUR 1.76 0.02 40 2/24/2012
CRH PLC (UK) CR0 CR6 CR2 CR3 CR4 CR5 n/a n/a CRM GBP 1.10 0.01 n/a 1/20/2012
Croda International CRD n/a n/a n/a n/a CRZ n/a CRD n/a GBP 1.50 0.02 n/a 7/11/2012
Credito Emiliano SpA CRE n/a n/a n/a n/a EJD EJH n/a n/a EUR 0.60 0.01 n/a 10/17/2011
Banca Carige SpA CRG n/a n/a n/a n/a CBD CBH n/a n/a EUR 0.17 0.01 n/a 2/24/2012
Criteria Caixacorp SA CRI CIE CIA CIG CII n/a ERD ERH n/a EUR 0.37 0.01 n/a 2/24/2012
Mersen CRL n/a n/a n/a n/a UFF UFK n/a n/a EUR 3.78 0.04 n/a 2/24/2012
CROCS Inc CRO n/a WXO WXB WXV WXD WXH n/a n/a USD 3.98 0.04 40 10/17/2011
Charles Schwab Corp CSB n/a n/a n/a n/a CWC CWP n/a n/a USD 1.33 0.02 n/a 2/24/2012
Cisco Systems CSC n/a ZLQ ZLJ ZLX ZLY ZLZ n/a n/a USD 1.36 0.02 40 2/24/2012
Consolidated Edison Inc CSE n/a n/a n/a n/a CYG CYP n/a n/a USD 2.67 0.03 n/a 2/24/2012
Credit Suisse Group CSG CHU CHQ CHJ CHX CHY CHZ n/a n/a CHF 2.90 0.08 40 2/24/2012
CSM CSM DKW DKO DKB DKV DKD DKH n/a n/a EUR 2.00 0.03 40 5/28/2012
Societa Cattolica di Assicurazioni SC CSS n/a n/a n/a n/a ZHD ZHH n/a n/a EUR 1.53 0.02 n/a 2/24/2012
Collins Stewart Tullett CST n/a n/a n/a n/a n/a n/a CST n/a GBP 0.33 0.01 n/a 2/24/2012
CSX Corp CSX n/a n/a n/a n/a CXG CXP n/a n/a USD 1.82 0.02 n/a 2/24/2012
Central European Media CT n/a n/a n/a n/a CTD n/a n/a n/a CZK 32.01 0.87 n/a 4/16/2012
Colt Group SA CTM n/a n/a n/a n/a TTY n/a n/a CTM GBP 0.12 0.01 30 2/24/2012
Centrotherm Photovoltaics AG CTN n/a n/a n/a n/a CT5 CT6 n/a n/a EUR 1.62 0.02 n/a 1/30/2012
Caterpillar Inc CTP n/a XDO XDB XDV ZKY ZKZ n/a n/a USD 7.10 0.06 40 2/24/2012
Centrica plc CTR CRU CRQ CRJ CRX CRY n/a n/a CTR GBP 0.13 0.01 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Cognizant Technology Solutions CTS n/a n/a n/a n/a CZP CZG n/a n/a USD 5.00 0.06 n/a 5/28/2012
Aviva plc CUA AVU AVQ AVJ AVX AVY n/a n/a CUA GBP 0.39 0.02 40 4/16/2012
Chevron Corp CVX n/a n/a n/a n/a LDY LDZ n/a n/a USD 7.89 0.07 n/a 2/24/2012
Costco Wholesale Corp CWA n/a n/a n/a n/a CWD CWH n/a n/a USD 4.11 0.04 n/a 2/24/2012
Conwert Immobilien Invest SE CWI n/a n/a n/a n/a CW5 CW6 n/a n/a EUR 0.70 0.02 n/a 5/11/2012
Cable & Wireless Worldwide CWT CWW CWO CWB CWV CTH n/a CWT n/a GBP 0.05 0.01 30 7/21/2011
CBS Corp CXA n/a NNO NNB NNV CXD CXH n/a n/a USD 1.93 0.02 40 2/24/2012
JSC Chelyabinsk Zinc Plant CZ n/a n/a n/a n/a CZD CZH n/a n/a USD 0.80 0.01 n/a 2/24/2012
Carl Zeiss Meditec CZM n/a n/a n/a n/a ZEG ZEP n/a n/a EUR 0.87 0.01 n/a 2/24/2012
Davide Campari - Milano DA n/a n/a n/a n/a DAD DAH n/a n/a EUR 0.41 0.01 n/a 2/24/2012
Daimler AG DAI n/a n/a n/a n/a VYF VYK n/a n/a USD 7.07 0.06 n/a 2/24/2012
Danske Bank A/S DAN OGU OGQ OGJ OGX OGY OGZ n/a n/a DKK 10.00 0.08 40 2/24/2012
Deutsche Bank DB VZF VZK n/a n/a n/a n/a n/a n/a USD 7.31 0.06 n/a 2/24/2012
Deutsche Bank AG DBK DBU DBQ DBJ DBX DBY DBZ n/a n/a EUR 5.29 0.15 40 2/24/2012
Deutsche Boerse AG DBO FVU FVQ FVJ FVX FVY FVZ n/a n/a EUR 3.64 0.03 40 2/24/2012
DCC PLC DC DCW DCA DCB DCV DPD n/a n/a n/a EUR 1.18 0.01 40 2/24/2012
Dairy Crest Group DCG n/a n/a n/a n/a DCH n/a DCG n/a GBP 0.16 0.01 n/a 7/11/2012
Discovery Communications Inc DCM n/a n/a n/a n/a DBG DBP n/a n/a USD 3.75 0.03 n/a 2/24/2012
Daimler AG DCY DCU DCQ DCJ DCX DCD DCZ n/a n/a EUR 4.37 0.12 40 4/16/2012
Du Pont DD n/a n/a n/a n/a DOY DOZ n/a n/a USD 3.90 0.04 n/a 2/24/2012
Deutsche Euroshop AG DE n/a n/a n/a n/a DED DEH n/a n/a EUR 1.65 0.02 n/a 2/24/2012
Debenhams PLC DEB n/a n/a n/a n/a DQD n/a n/a n/a GBP 0.07 0.01 n/a 2/24/2012
JC Decaux SA DEC n/a n/a n/a n/a JAD JAH n/a n/a EUR 1.66 0.02 n/a 2/24/2012
Delhaize Group DEL FQU FQQ FQJ FQX FQY FQZ n/a n/a EUR 3.96 0.04 40 2/24/2012
Dexia DEX DEU FQQ DEJ DEX n/a n/a n/a n/a EUR 0.15 0.01 40 5/28/2012
D.E Master Blenders 1753 N.V. DE0 n/a DEA n/a DEM n/a DET n/a n/a EUR 1.20 0.03 40 7/11/2012
Vinci SA DG DFU DFQ DFJ DFX DFY DFZ n/a n/a EUR 3.73 0.03 40 2/24/2012
Dragon Oil Plc DGO n/a n/a n/a n/a DGD n/a n/a n/a EUR 0.64 0.01 n/a 2/24/2012
Americansourcebergen Corp DH n/a DHT DHC DHN DHF DHK n/a n/a USD 2.22 0.02 40 2/24/2012
Douglas Holding AG DHO n/a n/a n/a n/a DIY DIZ n/a n/a EUR 7.29 0.06 n/a 2/24/2012
Danaher Corp DHR n/a n/a n/a n/a DNA DNZ n/a n/a USD 3.80 0.04 n/a 2/24/2012
Amylin Pharmaceuticlas Inc DI n/a DIT DIC DIN DIF DIK n/a n/a USD 1.71 0.02 40 2/24/2012
D'ieteren SA/NV DIE n/a n/a n/a n/a DIG DIP n/a n/a EUR 4.90 0.11 n/a 5/28/2012
DIRECTV DIR n/a n/a n/a n/a DAG DAP n/a n/a USD 2.60 0.03 n/a 2/24/2012
DSG International plc DIX DXU DXQ DXJ DXX DXY n/a n/a DIX GBP 0.02 0.01 30 10/17/2011
CR Bard Inc DJ n/a DJT DJC DJN DJF DJK n/a n/a USD 6.20 0.05 40 2/24/2012
Becton Dickinson & Co DL n/a DLT DLC DLN DLF DLK n/a n/a USD 5.14 0.05 40 2/24/2012
De'Longhi SpA DLI n/a n/a n/a n/a DNY DCP n/a n/a EUR 0.87 0.01 n/a 2/24/2012
Dell Inc DLL n/a WSO WSB WSV WSD WSH n/a n/a USD 1.05 0.01 40 2/24/2012
Delta Lloyd NV DLO XDM XDT XDC XDN XDF XDK n/a n/a EUR 1.83 0.02 40 2/24/2012
Celgene Corp DM n/a DMT DMC DMN DMF DMK n/a n/a USD 3.54 0.03 40 2/24/2012
Daily Mail & General Trust (A Shs) DMG n/a n/a n/a n/a DMM n/a DMG n/a GBP 0.40 0.01 n/a 7/11/2012
Dominos Pizza DMP n/a n/a n/a n/a DGG n/a n/a n/a GBP 0.49 0.01 n/a 2/24/2012
Det Norske Oljeselskap (DNO) ASA DN n/a n/a n/a n/a DND DNH n/a n/a NOK 1.50 0.02 n/a 10/17/2011
DNB NOR ASA DNB DDU DDQ DDJ n/a DDY DDZ n/a n/a NOK 7.00 0.06 40 2/24/2012
D/S Norden A/S DNO n/a n/a n/a n/a NYF NYK n/a n/a DKK 11.00 0.09 n/a 2/24/2012
Cigna Corp DO n/a DOT DOC DON DOF DOK n/a n/a USD 3.46 0.03 40 2/24/2012
Deutsche Postbank AG DPB FJU FJQ FJJ FJX FJY FJZ n/a n/a EUR 1.24 0.01 40 2/24/2012
Diploma PLC DPM n/a n/a n/a n/a DEG n/a n/a n/a GBP 0.36 0.01 n/a 2/24/2012
Deutsche Post AG DPW DPU DPQ DPJ DPX DPY DPZ n/a n/a EUR 0.82 0.03 40 10/17/2011
Coventry Health Care Inc DQ n/a DQT DQC DQN DQF DQK n/a n/a USD 2.45 0.02 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Drax Group plc DRX n/a n/a n/a n/a DQY n/a n/a n/a GBP 0.46 0.01 n/a 2/24/2012
Davita Inc DS n/a DST DSC DSN DSF DSK n/a n/a USD 4.25 0.04 40 2/24/2012
Koninklijke DSM NV DSM DSU DSQ DSJ DSX DSD DSZ n/a n/a EUR 2.45 0.07 40 4/16/2012
DSV A/S DSV n/a n/a n/a n/a DRD DRH n/a n/a DKK 8.50 0.07 n/a 2/24/2012
Quest Diagnostics DT n/a DTT DTG DTN DTF DTK n/a n/a USD 4.97 0.04 40 2/24/2012
Dow Chemical Co/The DTA n/a n/a n/a n/a DTD DTH n/a n/a USD 2.84 0.03 n/a 2/24/2012
DTE Energy Co DTC n/a APO APC APN APF APK n/a n/a USD 2.08 0.02 40 2/24/2012
Deutsche Telekom AG DTE DTU DTQ DTJ DTX DTY DTZ n/a n/a EUR 0.65 0.02 40 4/16/2012
Edwards Lifesciences Corp DU n/a DUT DUC DUN DUF DUK n/a n/a USD 5.57 0.05 40 2/24/2012
Gilead Sciences Inc DV n/a DVT DVC DVN DVF DVK n/a n/a USD 4.33 0.04 40 2/24/2012
Devon Energy Corp DVA n/a n/a n/a n/a DVD DVH n/a n/a USD 5.78 0.05 n/a 2/24/2012
Deutsche Wohnen AG DWN n/a n/a n/a n/a DW5 DW6 n/a n/a EUR 1.10 0.03 n/a 3/23/2012
Derwent London plc DWV n/a n/a n/a n/a DWU n/a DWV n/a GBP 1.08 0.01 n/a 7/11/2012
Hologic Inc DX n/a DXV DXC DXM DXF DXK n/a n/a USD 2.03 0.02 40 2/24/2012
Duke Energy Corp DXA n/a n/a n/a n/a DXD DXH n/a n/a USD 1.86 0.03 n/a 7/3/2012
Dexia DXB JKU JKQ JKJ JKX JKY JKZ n/a n/a EUR 0.15 0.01 40 5/28/2012
Hospira Inc DY n/a DYT DYC DYN DYF DYK n/a n/a USD 3.02 0.03 40 2/24/2012
Halliburton Co DYA n/a DYO DYB DYV DYD DYH n/a n/a USD 4.46 0.04 40 2/24/2012
Intuitive Surgical Inc DZ n/a DZT DZC DZN DZF DZK n/a n/a USD 42.00 0.34 40 2/24/2012
Archer-Daniels-Midland Co DZA n/a n/a n/a n/a DZD DZH n/a n/a USD 2.16 0.02 n/a 2/24/2012
DEUTZ AG DZZ n/a n/a n/a n/a DE5 DE6 n/a n/a EUR 0.70 0.02 n/a 3/23/2012
Elan Corp PLC EA ELP ELA ELC ELN EAD n/a n/a n/a EUR 0.69 0.01 40 2/24/2012
East Asiatic Company Ltd A/S EAA n/a n/a n/a n/a ODF ODK n/a n/a DKK 9.50 0.08 n/a 2/24/2012
Laboratory Crp of Amer hldings EB n/a EBT EBC EBN EBF EBK n/a n/a USD 4.90 0.04 40 2/24/2012
eBay Inc EBA n/a n/a n/a n/a EAG EAP n/a n/a USD 2.24 0.02 n/a 2/24/2012
Erste Bank der Oesterreichischen Spa EBO EBU EBQ EBJ EBX EBY EBZ n/a n/a EUR 3.65 0.03 40 10/17/2011
Mckesson Corp EC n/a ECT ECC ECN ECF ECK n/a n/a USD 6.10 0.05 40 2/24/2012
Electrocomponents ECM n/a n/a n/a n/a ECW n/a ECM n/a GBP 0.24 0.01 n/a 7/11/2012
European Aeronautic Defense and Sp EDA EAU EAQ EAJ EAX EAY EAZ n/a n/a EUR 2.21 0.02 40 2/24/2012
Électricité de France EDF DAU DAQ DAJ DAX DAY DAZ n/a n/a EUR 2.08 0.02 40 2/24/2012
Edison SpA EDN n/a n/a n/a n/a NCF NCK n/a n/a EUR 0.07 0.01 n/a 2/24/2012
Energias de Portugal SA EDP EDU EDQ EDJ EDX EDY EDZ n/a n/a EUR 0.14 0.01 40 2/24/2012
EDP Renováveis SA EDR n/a n/a n/a n/a VID VIH n/a n/a EUR 0.32 0.01 40 2/24/2012
Essilor International SA EF EFU EFQ EFJ EFX EFY EFZ n/a n/a EUR 2.45 0.02 40 2/24/2012
Ste DeLaTour Eiffel EFA n/a n/a n/a n/a EFR EFL n/a n/a EUR 4.30 0.10 n/a 5/28/2012
Mota Engil SGPS EG n/a n/a n/a n/a EGD EGH n/a n/a EUR 0.09 0.01 n/a 2/24/2012
Enel Green Power SpA EGR n/a n/a n/a n/a EGB EGP n/a n/a EUR 0.09 0.01 n/a 2/24/2012
Mednax Inc EH n/a EHT EHB EHN EHF EHK n/a n/a USD 3.44 0.03 40 2/24/2012
Egis PLC EI n/a n/a n/a n/a EID n/a n/a n/a HUF 1561.85 12.43 n/a 2/24/2012
Thermo Fisher Scientific Inc EK n/a EKT EKC EKN EKF EKK n/a n/a USD 4.57 0.04 40 2/24/2012
Elisa Oyj EL ELW ELO ELB ELV ELD ELH n/a n/a EUR 0.65 0.01 40 2/24/2012
Endesa SA ELE n/a n/a n/a n/a n/a END ENH n/a EUR 1.03 0.01 n/a 2/24/2012
Eldorado Gold Corp ELG n/a n/a n/a n/a EL8 EL9 n/a n/a USD 1.80 0.02 n/a 4/12/2012
Elia System Operator SA/NV ELI n/a n/a n/a n/a EL1 EL0 n/a n/a EUR 1.70 0.04 n/a 6/26/2012
Elementis PLC ELM n/a n/a n/a n/a EYG n/a n/a n/a GBP 0.16 0.01 n/a 2/24/2012
Elringklinger AG ELR n/a n/a n/a n/a ELF ELK n/a n/a EUR 2.06 0.02 n/a 2/24/2012
Electrolux AB ser. B ELT FYU FYQ FYJ FYX FYY FYZ n/a n/a SEK 14.63 0.40 40 2/24/2012
EMC Corp/Massachusetts EMC n/a QNO QNB QNV QND QNH n/a n/a USD 2.20 0.02 40 2/24/2012
Man Group plc EMG EWU EWQ EWJ EWX EWY n/a n/a EMG GBP 0.24 0.01 30 4/16/2012
Bouygues EN EHU EHQ EHJ EHX EHY EHZ n/a n/a EUR 3.50 0.03 40 2/24/2012
Encana Corp ENA n/a n/a n/a n/a EN6 EN7 n/a n/a USD 2.50 0.03 n/a 4/12/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Enerplus Corp ENE n/a n/a n/a n/a EN5 EM1 n/a n/a USD 1.80 0.02 n/a 4/12/2012
Enagas SA ENG JQW JQO JQB JQV JQY JQZ n/a n/a EUR 0.91 0.01 40 2/24/2012
ENI SpA ENI n/a ENQ ENJ ENX ENY ENZ ENI n/a EUR 0.84 0.03 40 4/16/2012
Enel SpA ENL n/a ECQ ECJ ECX ECY ECZ ENL n/a EUR 0.30 0.01 40 2/24/2012
Enbridge Inc ENP n/a n/a n/a n/a EN0 EN8 n/a n/a USD 1.90 0.02 n/a 4/12/2012
Eniro AB ENR EEW EEO EEB EEV EED EEH n/a n/a SEK 3.50 0.03 40 2/24/2012
Dentsply Intl Inc EO n/a EOT EOC EOV EOF EOK n/a n/a USD 3.51 0.03 40 2/24/2012
E.ON AG EOA EOU EOQ EOJ EOX EOY EOZ n/a n/a EUR 1.35 0.02 40 5/28/2012
EOG Resources Inc EOG n/a n/a n/a n/a EHG EHP n/a n/a USD 11.52 0.10 n/a 2/24/2012
CME Group Inc EPA n/a n/a n/a n/a EPD EPH n/a n/a USD 22.83 0.19 n/a 2/24/2012
Enterprise Porducts Partners LP EPP n/a n/a n/a n/a MNF MNK n/a n/a USD 3.00 0.03 n/a 2/24/2012
Express Scripts Inc EPS n/a n/a n/a n/a EEG EEP n/a n/a USD 6.20 0.05 n/a 2/24/2012
Wellpoint Inc EQ n/a EQT EQC EQN EQF EQK n/a n/a USD 4.07 0.04 40 2/24/2012
Edenred ER n/a n/a n/a n/a EZY EZZ n/a n/a EUR 1.48 0.02 n/a 2/24/2012
Eramet ERA n/a n/a n/a n/a NGF NGK n/a n/a EUR 16.01 0.13 n/a 2/24/2012
Ericsson Telefona L M ser. B ERC ERU ERQ ERJ ERX ERY ERZ n/a n/a SEK 8.50 0.23 40 10/17/2011
ERG SpA ERG n/a n/a n/a n/a EQD EQH n/a n/a EUR 0.42 0.01 n/a 2/24/2012
Zimmer Holdings Inc ES n/a EST ESC ESN ESF ESK n/a n/a USD 4.58 0.04 40 2/24/2012
Estee Lauder Cos Inc ESL n/a n/a n/a n/a EVG EVP n/a n/a USD 10.43 0.09 n/a 1/23/2012
Essar Energy Plc ESR ESW ESO ESB ESV ESY n/a n/a ESR GBP 0.30 0.01 30 2/24/2012
Etablissements Maurel et Prom ETA n/a n/a n/a n/a PRF PRK n/a n/a EUR 1.68 0.02 n/a 2/24/2012
Eaton Corp ETC n/a n/a n/a n/a EUG EUP n/a n/a USD 4.14 0.04 n/a 2/24/2012
E*Trade Financial Corp ETF n/a QVO QVB QVV QVD QVH n/a n/a USD 1.80 0.02 40 2/24/2012
Enterprise Inns ETI n/a n/a n/a n/a OEY n/a n/a n/a GBP 0.06 0.01 40 2/24/2012
Eutelsat Communications ETL n/a n/a n/a n/a UKF UKK n/a n/a EUR 1.51 0.02 n/a 2/24/2012
European Aeronautic Defence and Space EUA ZMU ZMQ ZMJ ZMX ZMY ZMZ n/a n/a EUR 2.29 0.02 40 2/24/2012
Euler Hermes SA EUL n/a n/a n/a n/a NFF NFK n/a n/a EUR 4.42 0.04 n/a 2/24/2012
Eurasian Natural Resources EUN ERW ERT ERB ZLV ZLD n/a n/a EUN GBP 0.70 0.02 40 4/16/2012
Groupe Eurotunnel SA EUU n/a n/a n/a n/a EUQ EUJ n/a n/a EUR 0.60 0.01 n/a 5/28/2012
Ebro Foods SA EVA n/a n/a n/a n/a ECD ECH n/a n/a EUR 0.84 0.01 n/a 2/24/2012
EVN AG EVN JRU JRQ JRJ JRX JRY JRZ n/a n/a EUR 0.91 0.01 40 10/17/2011
Exor SpA PRF EX n/a n/a n/a n/a WHF WHK n/a n/a EUR 1.90 0.02 n/a 2/24/2012
Experian Plc EXP XPU XPQ XPJ XPX XPY n/a n/a EXP GBP 0.51 0.01 40 2/24/2012
Exor SpA EXS n/a n/a n/a n/a WFF WFK n/a n/a EUR 2.13 0.02 n/a 2/24/2012
Entergy Corp EYA n/a n/a n/a n/a EYD EYH n/a n/a USD 2.90 0.03 n/a 2/24/2012
CEZ AS EZ n/a n/a n/a n/a EZD n/a n/a n/a CZK 43.01 0.35 n/a 2/24/2012
Easyjet EZJ n/a n/a n/a n/a EZX n/a EZJ n/a GBP 0.44 0.01 n/a 7/11/2012
Faurecia FA n/a n/a n/a n/a FLY FLZ n/a n/a EUR 3.37 0.03 n/a 2/24/2012
Aetna Inc FAA n/a FAT FAC FAN FAD FAH n/a n/a USD 3.82 0.04 40 10/17/2011
FAES FARMA SA FAE n/a n/a n/a n/a FBD FBH n/a n/a EUR 0.13 0.01 n/a 2/24/2012
Fiat Industrial FAI n/a FAG FAF FAK FAL FAM n/a n/a EUR 1.01 0.01 40 2/24/2012
Facebook Inc FB n/a n/a n/a n/a FBW FBK n/a n/a USD 5.00 0.06 n/a 6/26/2012
Frontier Communications Corp FCC n/a AFO AFB AFV AFF AFK n/a n/a USD 0.50 0.01 40 2/24/2012
First Choice Holidays FCD n/a n/a n/a n/a n/a n/a FCD n/a GBP 0.20 0.01 n/a 2/24/2012
Fonciere Des Regions FDR n/a n/a n/a n/a FGD FGH n/a n/a EUR 5.59 0.05 n/a 2/24/2012
Fidessa Group Plc FDS n/a n/a n/a n/a FD5 n/a n/a n/a GBP 1.05 0.01 n/a 2/20/2012
Fred. Olsen Energy ASA FE n/a n/a n/a n/a FED FEH n/a n/a NOK 22.50 0.18 n/a 2/24/2012
Fraport AG Frankfurt Airport Services FF n/a n/a n/a n/a FFD FFH n/a n/a EUR 5.00 0.04 n/a 2/24/2012
FirstGroup FGP n/a n/a n/a n/a FGU n/a FGP n/a GBP 0.17 0.01 n/a 7/11/2012
Eiffage SA FGR n/a n/a n/a n/a EDD EDH n/a n/a EUR 4.03 0.11 n/a 2/24/2012
FHB Mortgage Bank PLC FH n/a n/a n/a n/a FHD n/a n/a n/a HUF 67.11 0.54 n/a 10/17/2011
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
First Horizon National Corp FHN n/a AHT AHC AHN AHF AHK n/a n/a USD 0.68 0.01 40 2/24/2012
X5 Retail Group FI FIW FIO FIB FIV FID FIH n/a n/a USD 5.00 0.04 40 2/24/2012
Fielmann AG FIE n/a n/a n/a n/a WMF WMK n/a n/a EUR 3.85 0.04 n/a 2/24/2012
Fifth Third Bancorp FIF n/a BNO BNC BNN BNF BNK n/a n/a USD 1.19 0.01 40 2/24/2012
Georg Fischer AG FIN n/a n/a n/a n/a GHD GHH n/a n/a CHF 54.00 0.43 n/a 2/24/2012
Fiat FIT n/a FIQ FIJ FIX FIY FIZ FIT n/a EUR 0.90 0.01 40 8/16/2011
Frontline Limited FL n/a n/a n/a n/a FLD FLH n/a n/a NOK 11.00 0.30 n/a 4/16/2012
FLSmidth & Co A/S FLS n/a n/a n/a n/a FDD FDH n/a n/a DKK 43.50 0.35 n/a 2/24/2012
Flughafen Wien AG FLU JXU JXQ JXJ JXX JXY JXZ n/a n/a EUR 2.56 0.03 40 2/24/2012
Gen-probe Inc FM n/a FMT FMM FMN FMF FMK n/a n/a USD 4.81 0.04 40 2/24/2012
Fresenius Medical Care AG St FMC FMU FMQ FMJ FMX FMY FMZ n/a n/a EUR 3.18 0.03 40 2/24/2012
Freenet AG FN n/a n/a n/a n/a FND FNH n/a n/a EUR 0.80 0.03 40 2/24/2012
Finmeccanica SpA FNM n/a FNQ FNJ FNX FNY FNZ n/a n/a EUR 0.84 0.01 40 10/17/2011
Kraft Foods Inc FOA n/a n/a n/a n/a FOD FOH n/a n/a USD 1.35 0.02 n/a 2/24/2012
Fortis NV FOR FOU FOQ FOJ FOX n/a n/a n/a n/a EUR 0.20 0.01 40 2/24/2012
Prudential Financial Inc FPA n/a XUO XUB XUV FPD FPH n/a n/a USD 5.47 0.05 40 2/24/2012
Valeo SA FR VAW VAO VAB VAV VAD VAH n/a n/a EUR 4.91 0.04 40 2/24/2012
Fortis FRB JZU JZQ JZJ JZX JZY JZZ n/a n/a EUR 0.20 0.01 40 2/24/2012
Forest Laboratories Inc FRL n/a n/a n/a n/a FRD FRH n/a n/a USD 1.66 0.02 n/a 2/24/2012
Ford Motor Co FRM n/a n/a n/a n/a FRG FRP n/a n/a USD 0.92 0.01 n/a 2/24/2012
Fresnillo Plc FRS n/a n/a n/a n/a FSF n/a n/a n/a GBP 2.47 0.02 n/a 2/24/2012
Fortum Oyj FRT FUU FUQ FUJ FUX FUY FUZ n/a n/a EUR 1.70 0.02 40 2/24/2012
Swedbank AB FSB FSU FSQ FSJ FSX FSY FSZ n/a n/a SEK 10.73 0.09 40 2/24/2012
PNC Financial Services Group Inc FSC n/a XZT XZC XZN FSD FSH n/a n/a USD 3.68 0.03 40 2/24/2012
France Telecom SA FTE FTU FTQ FTJ FTX FTY FTZ n/a n/a EUR 0.85 0.03 40 4/16/2012
Franklin Resources Inc FUA n/a n/a n/a n/a FUD FUH n/a n/a USD 9.92 0.08 n/a 2/24/2012
Fuchs Petrolub AG - PFD FUC n/a n/a n/a n/a FUF FUK n/a n/a EUR 5.65 0.05 n/a 7/21/2011
Fugro NV FUR FJW FJO FJB FJV FJD FJH n/a n/a EUR 4.96 0.04 40 2/24/2012
FedEx Corp FXA n/a n/a n/a n/a FXD FXH n/a n/a USD 8.02 0.07 n/a 2/24/2012
GEA Group AG G1A GCW GCO GCB GCV GCD GCH n/a n/a EUR 2.65 0.03 40 2/24/2012
GAP Inc GAP n/a n/a n/a n/a GBG GBP n/a n/a USD 2.29 0.07 n/a 4/16/2012
Gas Natural SDG SA GAS GAU GAQ GAJ GAX GAD GAZ n/a n/a EUR 1.06 0.01 40 2/24/2012
Bilfinger Berger AG GB n/a n/a n/a n/a GBD GBH n/a n/a EUR 5.72 0.05 n/a 2/24/2012
Bourbon SA GBB n/a n/a n/a n/a GOD GOH n/a n/a EUR 3.23 0.03 n/a 2/24/2012
Groupe Bruxelles Lambert SA GBL GBU GBQ GBJ GBX GBY GBZ n/a n/a EUR 3.65 0.03 40 2/24/2012
Gecina SA GCS n/a n/a n/a n/a GEF GEK n/a n/a EUR 9.72 0.08 n/a 2/24/2012
GDF Suez GD GDU GDQ GDJ GDX GDY GDZ n/a n/a EUR 1.95 0.03 40 5/28/2012
GEM Diamonds Ltd GDD n/a n/a n/a n/a OKF n/a n/a n/a GBP 0.23 0.01 n/a 10/17/2011
General Electric Company GE n/a OVQ OVJ OVX OVY OVZ n/a n/a USD 1.35 0.02 40 2/24/2012
Geberit AG GEB YMU YMQ YMJ YMX YMY YMZ n/a n/a CHF 10.10 0.09 40 2/24/2012
Cap Gemini SA GEM QIU QIQ QIJ QIX QIY QIZ n/a n/a EUR 3.40 0.10 40 4/16/2012
Assicurazioni Generali SpA GEN n/a GXQ GXJ GXX GXY GXZ GEN n/a EUR 1.13 0.01 40 2/24/2012
Geox SpA GEO n/a MXT MXC MXN MXF MXK n/a n/a EUR 0.35 0.01 40 2/24/2012
GAGFAH SA GF n/a n/a n/a n/a GFD GFH n/a n/a EUR 0.83 0.03 n/a 4/16/2012
Surgutneftegaz GG GGW GGO GGB GGV GGD GGH n/a n/a USD 1.57 0.02 40 2/24/2012
GSW Immobilien GIB n/a n/a n/a n/a GI5 GI6 n/a n/a EUR 1.70 0.04 n/a 3/23/2012
Gildemeister AG GIL n/a n/a n/a n/a GAF GAK n/a n/a EUR 1.34 0.02 n/a 2/24/2012
Givaudan GIV GIU GIQ GIJ GIX GIY GIZ n/a n/a CHF 77.00 0.62 40 2/24/2012
GKN GKN n/a n/a n/a n/a n/a n/a GKN n/a GBP 0.20 0.01 n/a 2/24/2012
Glencore International GL GLW GLO GLB GLV GCG n/a n/a GL GBP 0.50 0.02 30 2/24/2012
Gildan Activewear Inc GLD n/a n/a n/a n/a GL8 GL9 n/a n/a USD 3.20 0.04 n/a 4/12/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Societe Generale GLE GLU GLQ GLJ GLX GLY GLZ n/a n/a EUR 5.29 0.15 40 2/24/2012
Galp Energia SGPS SA GLP LWU LWQ LWJ LWX LWY LWZ n/a n/a EUR 1.44 0.02 40 2/24/2012
Globaltrans Investment PLC GDR GLT n/a n/a n/a n/a GIF GIK n/a n/a USD 2.50 0.02 n/a 2/24/2012
ITV plc GME ITU ITQ ITJ ITX ITY n/a n/a GME GBP 0.07 0.01 30 8/16/2011
General Mills Inc GML n/a n/a n/a n/a GEG GEP n/a n/a USD 1.63 0.02 n/a 2/24/2012
Gemina SpA GMS n/a n/a n/a n/a GED GEH n/a n/a EUR 0.07 0.01 n/a 2/24/2012
GN Store Nord GN n/a n/a n/a n/a GJD GJH n/a n/a DKK 7.00 0.06 n/a 2/24/2012
Greene King GNK n/a n/a n/a n/a n/a n/a GNK n/a GBP 0.26 0.01 n/a 2/24/2012
Diageo plc GNS DGU DGQ DGJ DGX DGY n/a n/a GNS GBP 0.54 0.02 30 2/24/2012
Grupo Catalana Occidente SA GOC n/a n/a n/a n/a n/a TSD TSH n/a EUR 1.14 0.01 n/a 2/24/2012
Goldcorp Inc GOL n/a n/a n/a n/a GO8 GO9 n/a n/a USD 4.70 0.06 n/a 4/12/2012
Google Inc GOO n/a OHQ OHJ OHX OHY OHZ n/a n/a USD 39.09 0.32 40 2/24/2012
Grafton Group PLC GP n/a n/a n/a n/a GPD n/a n/a n/a EUR 0.28 0.01 n/a 2/24/2012
Great Portland Estates GPO n/a n/a n/a n/a n/a n/a GPO n/a GBP 0.22 0.01 n/a 2/24/2012
Mediaset Espana Communicacion SA GQ GQU GQQ GQJ GQX GQY GQZ n/a n/a EUR 0.66 0.01 40 2/24/2012
Grifols SA GRF n/a n/a n/a n/a GKD GKH n/a n/a EUR 1.08 0.01 n/a 10/17/2011
Gruppo Editoriale L Espresso SpA GRU n/a n/a n/a n/a NSF NSK n/a n/a EUR 0.13 0.01 n/a 2/24/2012
Goldman Sachs Group Inc/The GSA n/a GSO GSB GSV GSD GSH n/a n/a USD 12.56 0.10 40 2/24/2012
Globe Trade Centre SA GT n/a n/a n/a n/a GTD n/a n/a n/a PLN 2.00 0.02 n/a 2/24/2012
Getinge AB GTG n/a n/a n/a n/a GID GIH n/a n/a SEK 11.37 0.10 n/a 2/24/2012
Gerry Weber International AG GWI GW1 GW2 GW3 GW4 GW5 GW6 n/a n/a EUR 2.30 0.05 40 3/23/2012
GlaxoSmithKline plc GXO GZU GSQ GSJ GSX GSY n/a n/a GXO GBP 0.73 0.02 40 2/24/2012
Gazprom Neft GZ GAM GAT GAC GAN GZD GZH n/a n/a USD 3.23 0.03 n/a 2/24/2012
Hexagon AB HAB n/a n/a n/a n/a HQD HQH n/a n/a SEK 14.58 0.12 n/a 2/24/2012
Hamburger Hafen und Logistik HAM n/a n/a n/a n/a HAY HAZ n/a n/a EUR 2.05 0.02 n/a 2/24/2012
Hays HAS n/a n/a n/a n/a n/a n/a HAS n/a GBP 0.08 0.01 n/a 2/24/2012
Havas SA HAV HHM HHT HHC HHN HHF HHK n/a n/a EUR 0.34 0.01 40 2/24/2012
Hochschild Mining HCM n/a n/a n/a n/a HGG n/a n/a n/a GBP 0.63 0.01 n/a 10/17/2011
Heineken Holding NV HD n/a n/a n/a n/a HDY HDZ n/a n/a EUR 1.83 0.02 n/a 2/24/2012
Heidelberger Druckmaschinen AG HDD n/a n/a n/a n/a HDD HDH n/a n/a EUR 0.28 0.01 n/a 2/24/2012
Home Depot Inc HDI n/a HYO HYB HYV HYY HYZ n/a n/a USD 2.03 0.02 40 2/24/2012
Heineken NV HEI HEU HEQ HEJ HEX HEY HEZ HEI n/a EUR 1.95 0.06 40 4/16/2012
HeidelbergCement AG HEL HEM HET HEC HGN HCD HCH n/a n/a EUR 3.82 0.04 n/a 10/17/2011
Henkel AG & CO KGAA HEN n/a n/a n/a n/a HEF HEK n/a n/a EUR 2.16 0.02 n/a 2/24/2012
Hera SpA HER n/a n/a n/a n/a HOD HOH n/a n/a EUR 0.08 0.01 n/a 2/24/2012
Hartford Financial Services Group Inc HFA n/a n/a n/a n/a HFD HFH n/a n/a USD 2.54 0.03 n/a 2/24/2012
Henderson Group PLC HGI n/a n/a n/a n/a HGD n/a n/a n/a GBP 0.13 0.01 n/a 2/24/2012
HJ Heinz Co HJH n/a n/a n/a n/a HNF HNK n/a n/a USD 2.73 0.03 n/a 2/24/2012
Henkel AG & CO KGaA HKL HHU HHQ HHJ HHX HHY HHZ n/a n/a EUR 2.85 0.03 40 2/24/2012
Hikma Pharmaceuticals HKP n/a n/a n/a n/a HFG n/a n/a n/a GBP 0.58 0.01 n/a 2/24/2012
Halfords Group HLF n/a n/a n/a n/a HBG n/a n/a n/a GBP 0.23 0.01 n/a 2/24/2012
Halma HLM n/a n/a n/a n/a n/a n/a HLM n/a GBP 0.22 0.01 n/a 2/24/2012
Hammerson HMS n/a n/a n/a n/a HQY n/a n/a n/a GBP 0.48 0.01 40 2/24/2012
Hennes & Mauritz AB Ser. B HNM HMU HMQ HMJ HMX HMY HMZ n/a n/a SEK 15.46 0.13 40 2/24/2012
Hannover Ruckversicherungs AG HNR ZPU ZPQ ZPJ ZPX ZPY ZPZ n/a n/a EUR 3.08 0.03 40 2/24/2012
Thales SA HO HCU HCQ HCJ HCX HCY HCZ n/a n/a EUR 1.54 0.02 40 2/24/2012
Holmen AB HOB HPW HPO HPB HPV HPD HPH n/a n/a SEK 11.33 0.10 40 2/24/2012
Holcim Ltd HOL HOU HOQ HOJ HOX HOY HOZ n/a n/a CHF 5.00 0.04 40 2/24/2012
HOCHTIEF AG HOT ZQU ZQQ ZQJ ZQX ZQY ZQZ n/a n/a EUR 6.55 0.06 40 2/24/2012
Hewlett-Packard Co HPC n/a ZVQ ZVJ ZVX ZVY ZVZ n/a n/a USD 2.78 0.03 40 2/24/2012
Home Retail Group plc HRG n/a n/a n/a n/a VSY n/a n/a n/a GBP 0.22 0.01 40 7/21/2011
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Hargreaves Lansdown HRL n/a n/a n/a n/a HDG n/a n/a n/a GBP 0.90 0.01 n/a 2/24/2012
HSBC Holdings plc HSB HSU HSQ HSJ HSX HSY n/a n/a HSB GBP 0.43 0.02 30 2/24/2012
Hess Corp HSC n/a n/a n/a n/a HSG HSP n/a n/a USD 6.47 0.06 n/a 2/24/2012
Cardinal Health Inc HTA n/a HTT HTC HTN HTD HTH n/a n/a USD 2.71 0.03 40 2/24/2012
Hunting HTG n/a n/a n/a n/a HIG n/a n/a n/a GBP 1.00 0.01 n/a 2/24/2012
Hugo Boss AG HUG n/a n/a n/a n/a HUF HUK n/a n/a EUR 7.11 0.06 n/a 2/24/2012
Husqvarna AB HUS HUW HUO HUB HUV HUD HUH n/a n/a SEK 3.40 0.03 40 2/24/2012
Honeywell International Inc HYA n/a n/a n/a n/a HYD HYH n/a n/a USD 3.17 0.03 n/a 2/24/2012
Iaws Group Plc IA n/a n/a n/a n/a IAD n/a n/a n/a EUR 2.63 0.03 n/a 2/24/2012
ICAP IAP IWW IWO IWB IWV IWY n/a n/a ICA GBP 0.47 0.01 40 2/24/2012
Iberdrola SA IBE IEU IEQ IEJ IEX IEY IEZ n/a n/a EUR 0.38 0.02 40 4/16/2012
IBM Corporation IBM n/a IUQ IUJ IUX IUY IUZ n/a n/a USD 8.10 0.07 40 2/24/2012
Intercell AG ICL n/a n/a n/a n/a UCF UCK n/a n/a EUR 0.20 0.01 n/a 2/24/2012
Intermediate Capital Group ICP n/a n/a n/a n/a n/a n/a ICP n/a GBP 0.31 0.01 n/a 2/24/2012
Imerys SA ID n/a n/a n/a n/a IDD IDH n/a n/a EUR 3.76 0.03 n/a 2/24/2012
Icade IDE n/a n/a n/a n/a NHF NHK n/a n/a EUR 5.20 0.05 n/a 2/24/2012
Indra Sistemas IDR IZU IZQ IZJ IZX IZY IZZ n/a n/a EUR 0.95 0.01 40 2/24/2012
Industrivarden AB IDS n/a n/a n/a n/a IID IIH n/a n/a SEK 10.29 0.09 n/a 2/24/2012
Infineon Technologies AG IF IFU IFQ IFJ IFX IFY IFZ n/a n/a EUR 0.60 0.02 40 2/24/2012
Immobiliare Grande Distribuzione IGD n/a n/a n/a n/a IDF IDK n/a n/a EUR 0.15 0.01 n/a 2/24/2012
IG Group Holdings IGG n/a n/a n/a n/a IAG n/a n/a n/a GBP 0.44 0.01 n/a 2/24/2012
Ingenico SA IGN n/a n/a n/a n/a IOG IOP n/a n/a EUR 3.14 0.09 n/a 4/16/2012
Interpump Group SpA IGS n/a n/a n/a n/a NQF NQK n/a n/a EUR 0.76 0.01 n/a 2/24/2012
SBM Offshore NV IHC ILU ILQ ILJ ILX ILY ILZ n/a n/a EUR 2.30 0.07 40 2/24/2012
Intercontinental Hotels Group IHG IHU IHQ IHJ IHX IHY n/a ICH IHG GBP 1.17 0.01 30 2/24/2012
IMMOFINANZ AG IIA n/a n/a n/a n/a IHD IHH n/a n/a EUR 0.17 0.01 n/a 2/24/2012
3i Group plc III IIU IIQ IIJ IIX IIY n/a n/a III GBP 0.18 0.01 30 2/24/2012
Investor AB B shares IKA IKU IKQ IKJ IKX IKY IKZ n/a n/a SEK 10.82 0.09 40 2/24/2012
Iliad SA ILA n/a n/a n/a n/a UEF UEK n/a n/a EUR 4.87 0.04 n/a 2/24/2012
Industria Macchine Automatiche SpA IMA n/a n/a n/a n/a WIF WIK n/a n/a EUR 1.12 0.01 n/a 10/17/2011
IMI IMI n/a n/a n/a n/a n/a n/a IMI n/a GBP 1.30 0.02 n/a 10/17/2011
Imperial Tobacco Group plc IMP IMU IMQ IMJ IMX IMY n/a n/a IMP GBP 1.36 0.04 30 4/16/2012
Independent News & Media PLC IN n/a n/a n/a n/a IND n/a n/a n/a EUR 0.04 0.01 n/a 12/21/2011
Anheuser - Busch Cos Inc INB IGU IGQ IGJ IGX IGY IGZ n/a n/a EUR 2.17 0.06 40 2/24/2012
Inchcape INC n/a n/a n/a n/a n/a n/a INC n/a GBP 0.33 0.01 n/a 2/24/2012
Indesit Company SpA INE n/a n/a n/a n/a DID DIH n/a n/a EUR 0.72 0.01 n/a 2/24/2012
Informa Group INF n/a n/a n/a n/a n/a n/a INF n/a GBP 0.26 0.01 n/a 2/24/2012
ING Groep NV ING IAU IAQ IAJ IAX IAY IAZ ING n/a EUR 0.98 0.03 40 4/16/2012
Life Technologies Corp INI n/a EAT EAC EAN EAF EAK n/a n/a USD 4.53 0.04 40 2/24/2012
Intel Corporation INT n/a IYQ IYJ IYX IYY IYZ n/a n/a USD 1.64 0.02 40 2/24/2012
Investec INV INU INQ INJ INN IVY n/a INV INS GBP 0.37 0.01 40 2/24/2012
Bioton SA IO n/a n/a n/a n/a IOD n/a n/a n/a PLN 0.03 0.01 n/a 10/17/2011
Impresa SGPS IP n/a n/a n/a n/a IPD IPH n/a n/a EUR 0.12 0.01 n/a 5/28/2012
IPSEN IPE n/a n/a n/a n/a IPY IPZ n/a n/a EUR 2.10 0.06 n/a 4/16/2012
Impregilo IPG n/a n/a n/a n/a IZF IZH n/a n/a EUR 0.25 0.01 n/a 2/24/2012
International Power IPR n/a n/a n/a n/a n/a n/a n/a IPR GBP 0.21 0.01 30 4/16/2012
IPSOS IPS n/a n/a n/a n/a UHF UHK n/a n/a EUR 2.08 0.02 n/a 2/24/2012
IREN Spa IRI n/a n/a n/a n/a MYF MYK n/a n/a EUR 0.08 0.01 n/a 2/24/2012
Inmarsat PLC ISA n/a n/a n/a n/a IJD n/a n/a n/a GBP 0.62 0.01 n/a 2/24/2012
Inditex SA IT IJU IJQ IJJ IJX IJY IJZ n/a n/a EUR 3.24 0.09 40 4/16/2012
Italcementi - Fabbriche Riunite Cemento SpA ITA n/a YWQ YWJ YWX YWY YWZ n/a n/a EUR 0.49 0.01 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Imagination Technologies ITG n/a n/a n/a n/a IMG n/a n/a n/a GBP 0.68 0.01 n/a 2/24/2012
Intertek Group ITR n/a n/a n/a n/a n/a n/a ITR n/a GBP 1.25 0.01 n/a 2/24/2012
Italcementi SPA - (savings) ITS n/a n/a n/a n/a QLD QLH n/a n/a EUR 0.26 0.01 n/a 2/24/2012
Intesa Sanpaolo SpA IU n/a n/a n/a n/a IUD IUH n/a n/a EUR 0.23 0.01 n/a 10/17/2011
IVG Immobilien AG IV n/a n/a n/a n/a IVD IVH n/a n/a EUR 0.60 0.01 n/a 5/28/2012
Colruyt SA JF JFU JFQ JFJ JFX JFY JFZ n/a n/a EUR 2.24 0.02 40 2/24/2012
JKX Oil & Gas Plc JKK n/a n/a n/a n/a JXF n/a n/a n/a GBP 0.27 0.01 n/a 4/16/2012
Jardine Lloyd Thompson Group JLT n/a n/a n/a n/a n/a n/a JLT n/a GBP 0.54 0.01 n/a 2/24/2012
Jeronimo Martins SGPS JM n/a n/a n/a n/a JMD JMH n/a n/a EUR 1.06 0.01 40 2/24/2012
Johnson Matthey JMA n/a n/a n/a n/a JOY n/a n/a n/a GBP 1.51 0.02 40 2/24/2012
JM AB JMB n/a n/a n/a n/a JBD JBH n/a n/a SEK 18.98 0.16 n/a 2/24/2012
Johnson & Johnson JNX n/a JJQ JJJ JJX JJY JJZ n/a n/a USD 2.28 0.02 40 2/24/2012
JPMorgan Chase & Co JPM n/a JPQ JPJ JPX JPY JPZ n/a n/a USD 4.29 0.04 40 2/24/2012
Johnson Controls Inc JSA n/a n/a n/a n/a JSD JSH n/a n/a USD 2.63 0.03 n/a 2/24/2012
St Jude Medical Inc JUD n/a EIT EIC EIN EIF EIK n/a n/a USD 3.32 0.03 40 2/24/2012
Juniper Networks Inc JUN n/a n/a n/a n/a JUG JUP n/a n/a USD 2.68 0.03 n/a 2/24/2012
Jyske Bank A/S JYS n/a n/a n/a n/a JFD JFH n/a n/a DKK 15.00 0.12 n/a 2/24/2012
Kazakhmys plc KA KAU KAQ KAJ KAX KAY n/a n/a KZK GBP 1.72 0.02 40 10/17/2011
KBC Bancassurance Holding KBB KBU KBQ KBJ KBX KBY KBZ n/a n/a EUR 3.35 0.10 40 2/24/2012
KB Financial Group Inc ADR KBF n/a n/a n/a n/a KB0 KB1 n/a n/a USD 4.33 0.04 n/a 2/20/2012
Gamesa Corp Tecnologica SA KC KCU KCQ KCJ KCX KCY KCZ n/a n/a EUR 0.47 0.01 40 2/24/2012
Kloeckner & Co AG KCO n/a n/a n/a n/a KCD KCH n/a n/a EUR 1.51 0.02 n/a 2/24/2012
Kabel Deutschland Holding AG KD8 n/a n/a n/a n/a KD5 KD6 n/a n/a EUR 3.03 0.07 n/a 1/30/2012
Kesko OYJ KEB n/a n/a n/a n/a KFD KFH n/a n/a EUR 2.53 0.03 n/a 2/24/2012
Kellogg Co KEL n/a n/a n/a n/a KEG KLP n/a n/a USD 3.44 0.03 n/a 2/24/2012
Korea Electrical Power Corp ADR KEP n/a n/a n/a n/a KE0 KE1 n/a n/a USD 1.54 0.02 n/a 2/20/2012
Kesa Electricals KES n/a n/a n/a n/a n/a n/a KES n/a GBP 0.14 0.01 n/a 2/24/2012
Kerry Group PLC KG KYW KYO KYB KYV KGD n/a n/a n/a EUR 1.78 0.02 40 2/24/2012
Kingfisher plc KGF KGU KGQ KGJ KGX KGY n/a n/a KGF GBP 0.16 0.01 30 2/24/2012
Kudelski SA KH KHU KHQ KHJ KHX KHY KHZ n/a n/a CHF 1.70 0.02 40 10/17/2011
KGHM Polska Miedz SA KHH n/a n/a n/a n/a KHD n/a n/a n/a PLN 23.88 0.19 n/a 2/24/2012
Kohl's Corp KHL n/a n/a n/a n/a KAG KAP n/a n/a USD 3.81 0.04 n/a 2/24/2012
Kinnevik Investment AB KIN KIW KIO KIB KIV KID KIH n/a n/a SEK 8.92 0.08 40 2/24/2012
Kinross Gold KI0 n/a n/a n/a n/a KI8 KI9 n/a n/a USD 1.60 0.02 n/a 4/12/2012
Klepierre KLI n/a n/a n/a n/a KKD KKH n/a n/a EUR 2.31 0.02 n/a 2/24/2012
Komercni Banka AS KM n/a n/a n/a n/a KMD n/a n/a n/a CZK 550.00 4.38 n/a 2/24/2012
Kinder Morgan Energy Partners LP KME n/a n/a n/a n/a MLF MLK n/a n/a USD 2.96 0.03 n/a 2/24/2012
Natixis KN KNW KNO KNB KNV SEY SEZ n/a n/a EUR 0.39 0.01 n/a 2/24/2012
Kone OYJ KNE n/a n/a n/a n/a KND KNH n/a n/a EUR 3.41 0.03 n/a 10/17/2011
Kuehne & Nagel International AG KNI YQU YQQ YQJ YQX YQY YQZ n/a n/a CHF 7.70 0.07 40 2/24/2012
Coca-Cola Company KO n/a n/a n/a n/a NPY NPZ n/a n/a USD 2.26 0.02 n/a 2/24/2012
Royal KPN NV KPN KPU KPQ KPJ KPX KPY KPZ KPN n/a EUR 0.59 0.01 40 5/28/2012
Krones AG KR KR1 KR2 KR3 KR4 KRD KRH n/a n/a EUR 3.90 0.09 40 3/23/2012
Merck KGaA KS KSU KSQ KSJ KSX KSY KSZ n/a n/a EUR 6.82 0.06 40 2/24/2012
KT Corporation ADR KTR n/a n/a n/a n/a KT0 KT1 n/a n/a USD 1.35 0.02 n/a 2/20/2012
Kingspan Group Plc KSP n/a n/a n/a n/a KSD n/a n/a n/a EUR 0.55 0.01 n/a 2/24/2012
Fomento de Construcciones SA KW KWU KWQ KWJ KWX KWY KWZ n/a n/a EUR 2.03 0.06 40 2/24/2012
Corning Inc KWA n/a n/a n/a n/a KWD KWH n/a n/a USD 1.84 0.02 n/a 2/24/2012
Kimberly-Clark Corp KYA n/a n/a n/a n/a KYD KYH n/a n/a USD 2.98 0.03 n/a 2/24/2012
Landi Renzo SpA LAD n/a n/a n/a n/a LRF LRK n/a n/a EUR 0.32 0.01 n/a 10/17/2011
Ladbrokes LDB HIU HIQ HIJ HIX HIY n/a n/a LDB GBP 0.09 0.01 30 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Morgan Stanley LEA n/a XNT XNC XNN LED LEH n/a n/a USD 2.97 0.03 40 2/24/2012
Leoni AG LEO n/a n/a n/a n/a LE5 LE6 n/a n/a EUR 4.16 0.05 n/a 1/30/2012
Lenzing AG LEZ n/a n/a n/a n/a n/a LEV n/a n/a EUR 6.40 0.15 n/a 5/28/2012
Deutsche Lufthansa AG LFT LHU LHQ LHJ LHX LHY LHZ n/a n/a EUR 1.20 0.01 40 2/24/2012
Lafarge SA LG LAU LAQ LAJ LAX LAY LAZ n/a n/a EUR 3.73 0.03 40 2/24/2012
NextEra Energy Inc LGA n/a n/a n/a n/a LGD LGH n/a n/a USD 2.40 0.02 n/a 2/24/2012
Legal & General Group plc LGE LGU LGQ LGJ LGX LGY n/a n/a LGE GBP 0.10 0.01 30 4/16/2012
Lockheed Martin Corp LHA n/a n/a n/a n/a LHD LHH n/a n/a USD 4.54 0.04 n/a 2/24/2012
Linde AG LI LIU LIQ LIJ LIX LIY LIZ n/a n/a EUR 6.71 0.06 40 2/24/2012
Logitech International S A LIS YTU YTQ YTJ YTX YTY YTZ n/a n/a CHF 1.10 0.01 40 2/24/2012
Lukoil OAO LK LYW LYO LYB LYV LYD LYH n/a n/a USD 4.07 0.04 40 2/24/2012
Lowe's Cos Inc LKA n/a n/a n/a n/a LKD LKH n/a n/a USD 1.60 0.02 n/a 2/24/2012
Eli Lilly & Co LLA n/a MQT MQC MQN LLD LLH n/a n/a USD 2.13 0.02 40 2/24/2012
Lonmin LMI LMW LMM LMB LMV LMY n/a n/a LNM GBP 1.10 0.01 40 2/24/2012
Loews Corp LOA n/a n/a n/a n/a LOD LOH n/a n/a USD 2.61 0.03 n/a 2/24/2012
Logica Plc LOG LCU LCQ LCJ LCX LCY n/a n/a LOG GBP 0.14 0.01 30 2/24/2012
LG Display Company Ltd ADR LPL n/a n/a n/a n/a LP0 LP1 n/a n/a USD 1.34 0.02 n/a 2/20/2012
Legrand SA LR LRM LRT LRC LRN LRD LRH n/a n/a EUR 2.20 0.02 n/a 2/24/2012
Land Securities Group plc LS LSU LSQ LSJ LSX LSY n/a n/a LS GBP 0.55 0.02 40 2/24/2012
London Stock Exchange LSE LEU LEQ LEJ LEX LEY n/a n/a LSE GBP 0.71 0.01 30 2/24/2012
LSR Group OJSC GDR LSR n/a n/a n/a n/a LTF LTK n/a n/a USD 0.71 0.01 n/a 2/24/2012
Grupa Lotos SA LT n/a n/a n/a n/a LTD n/a n/a n/a PLN 3.50 0.03 n/a 2/24/2012
Lottomatica SpA LTO n/a KKQ KKJ KKX KKY KKZ n/a n/a EUR 1.46 0.02 40 2/24/2012
H. Lundbeck A/S LUN n/a n/a n/a n/a LUF LUK n/a n/a DKK 11.00 0.09 n/a 2/24/2012
Lundin Petroleum AB LUP LUW LUO LUB LUV LUD LUH n/a n/a SEK 20.68 0.17 40 2/24/2012
Polish Oil & Gas Co LW n/a n/a n/a n/a LWD n/a n/a n/a PLN 0.40 0.01 n/a 2/24/2012
Illinois Tool Works Inc LXA n/a n/a n/a n/a LXD LXH n/a n/a USD 3.58 0.03 n/a 2/24/2012
Luxottica Group SpA LXG n/a LUQ LUJ LUX LUY LUZ n/a n/a EUR 1.75 0.05 40 4/16/2012
LANXESS AG LXS ZYU ZYQ ZYJ ZYX ZYY ZYZ n/a n/a EUR 4.74 0.04 40 2/24/2012
LyondellBasell LYM n/a n/a n/a n/a LYF LYK n/a n/a USD 6.31 0.06 40 2/24/2012
Marks & Spencer Group plc M+S MSU MSQ MSJ MSX MSD n/a n/a M+S GBP 0.19 0.01 30 2/24/2012
Manulife Financial Corp MA0 n/a n/a n/a n/a MA6 MA7 n/a n/a USD 1.40 0.02 n/a 4/12/2012
Motorola Solutions Inc MAA n/a MAO MAF MAV MAD MAH n/a n/a USD 2.41 0.02 40 2/24/2012
Mitchells & Butlers MAB n/a n/a n/a n/a MVY n/a n/a n/a GBP 0.21 0.01 40 10/17/2011
AP Moller - Maersk B MAE MAU MAQ MAJ MAX MAY MAZ n/a n/a DKK 3762.00 29.93 40 10/17/2011
Magna International Inc MAG n/a n/a n/a n/a MA8 MA9 n/a n/a USD 4.10 0.05 n/a 4/12/2012
Maire Tecnimont SpA MAI n/a n/a n/a n/a OFF OFK n/a n/a EUR 0.26 0.01 n/a 2/24/2012
AP Moeller - Maersk A MAS n/a n/a n/a n/a LLF LLK n/a n/a DKK 3718.00 29.58 n/a 2/24/2012
Mediobanca SpA MB n/a MBQ MBJ MCX MBY MBZ MB n/a EUR 0.67 0.01 40 2/24/2012
Mcbride MBD n/a n/a n/a n/a MIG n/a n/a n/a GBP 0.11 0.01 n/a 2/24/2012
MBIA Inc MBI n/a QGO QGB QGV QGD QGH n/a n/a USD 2.12 0.02 40 2/24/2012
Mulberry MBR n/a n/a n/a n/a MBG n/a n/a n/a GBP 1.80 0.05 n/a 4/16/2012
LVMH Moet Hennessy Louis Vuitton MC MDU MDQ MDJ MDX MDY MDZ n/a n/a EUR 8.75 0.07 40 2/24/2012
McDonald's Corp MCD n/a XEO XEB XEV LNY LNZ n/a n/a USD 2.73 0.03 40 2/24/2012
Mondi PLC MDI n/a n/a n/a n/a MJD n/a n/a n/a GBP 0.45 0.01 n/a 2/24/2012
Mediolanum SpA MDL n/a MKQ MKJ MKX MKY MKZ n/a n/a EUR 0.36 0.01 40 2/24/2012
Modern Times Group AB MDT MIW MIO MIB MIV MID MIH n/a n/a SEK 39.27 0.32 40 2/24/2012
Garmin Ltd ME n/a n/a n/a n/a MEF MEK n/a n/a USD 1.75 0.02 n/a 2/24/2012
Meda AB MED n/a n/a n/a n/a MDD MDH n/a n/a SEK 6.89 0.06 n/a 2/24/2012
Atrium European Real Estate Ltd MEL n/a n/a n/a n/a MFD MFH n/a n/a EUR 0.32 0.01 n/a 2/24/2012
Metro AG MEO MEU MEQ MEJ MEX MEY MEZ n/a n/a EUR 3.82 0.04 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Mercialys SA MER n/a n/a n/a n/a ULF ULK n/a n/a EUR 0.82 0.02 n/a 4/17/2012
M6 MET n/a n/a n/a n/a NIF NIK n/a n/a EUR 0.95 0.01 n/a 2/24/2012
Wendel MF n/a n/a n/a n/a WCD WCH n/a n/a EUR 8.75 0.07 n/a 2/24/2012
Magyar Telekom MG n/a n/a n/a n/a MGD n/a n/a n/a HUF 37.40 0.30 n/a 2/24/2012
Meggitt MGG n/a n/a n/a n/a n/a n/a MGG n/a GBP 0.27 0.01 n/a 2/24/2012
Marine Harvest MH MHW MHO MHB MHV MHD MHH n/a n/a NOK 0.50 0.01 40 4/20/2011
MHP SA GDR MHP n/a n/a n/a n/a HQF HQK n/a n/a USD 2.50 0.07 n/a 4/16/2012
Energy Transfer Partners LP MI n/a n/a n/a n/a MIF MIK n/a n/a USD 2.52 0.03 n/a 2/24/2012
Arcelor Mittal (ex-event package) MIT n/a RRO n/a n/a n/a n/a n/a n/a EUR 1.76 0.05 40 4/16/2012
Weyerhaeuser Co MJ n/a n/a n/a n/a MJF MJK n/a n/a USD 1.27 0.02 n/a 2/24/2012
Michelin ML MLU MLQ MLJ MLX MLY MLZ n/a n/a EUR 5.86 0.05 40 2/24/2012
MOL Hungarian Oil & Gas MLL n/a n/a n/a n/a MLD n/a n/a n/a HUF 1650.00 13.13 n/a 2/24/2012
MLP AG MLP ZZU ZZQ ZZJ ZZX ZZY ZZZ n/a n/a EUR 0.61 0.01 n/a 2/24/2012
Marsh & McLennan Cos Inc MM n/a CIT CIC CIV CIF CIK n/a n/a USD 1.84 0.02 40 2/24/2012
Freeport-McMoRan Copper & Gold Inc MMA n/a MMO MMF MMV MMD MMH n/a n/a USD 4.45 0.04 40 2/24/2012
Lagardere S.C.A. MMB MMU MMQ MMJ MMX MMY MMZ n/a n/a EUR 2.44 0.07 40 2/24/2012
Mayr-Melnhof Karton AG MMK KRU KRQ KRJ KRX KRY KRZ n/a n/a EUR 3.63 0.03 40 2/24/2012
MAN SE MN MJU MJQ MJJ MJX MJY MJZ n/a n/a EUR 8.08 0.07 40 2/24/2012
Monsanto Co MNA n/a n/a n/a n/a MND MNH n/a n/a USD 6.87 0.06 n/a 2/24/2012
MMC Norilsk Nickel MNN MOW MOO MNJ MOV MOD MOH n/a n/a USD 2.29 0.07 40 2/24/2012
Mondadori (Arnoldo) Editore SpA MNO n/a KOQ KOJ KOV KOY KOZ MNO n/a EUR 0.17 0.01 40 7/21/2011
Mediq NV MNV XCW XCO XCB XCV XCF XCK n/a n/a EUR 0.58 0.01 40 2/24/2012
Metso MO MOU MOQ MOJ MOX MOY MOZ n/a n/a EUR 3.70 0.03 40 2/24/2012
Mobistar SA MOB KUU KUQ KUJ KUX KUY KUZ n/a n/a EUR 2.17 0.02 40 2/24/2012
Southern Copper Corp MP n/a n/a n/a n/a MPF MPK n/a n/a USD 3.29 0.03 n/a 2/24/2012
Michael Page International MPI n/a n/a n/a n/a n/a n/a MPI n/a GBP 0.41 0.01 n/a 2/24/2012
Baker Hughes Inc MQA n/a n/a n/a n/a MQD MQH n/a n/a USD 6.43 0.06 n/a 2/24/2012
MARR SpA MR n/a n/a n/a n/a WGF WGK n/a n/a EUR 0.44 0.01 n/a 2/24/2012
Montpelier Re Holdings Ltd MRH n/a n/a n/a n/a MRY MRZ n/a n/a USD 1.16 0.01 n/a 2/24/2012
Marriott International Inc/DE MRI n/a n/a n/a n/a MRG MRP n/a n/a USD 2.59 0.03 n/a 2/24/2012
Merck & Co Inc MRK n/a KSO KSB KSV KYY KYZ n/a n/a USD 1.89 0.02 40 2/24/2012
Marvell Technology Group Ltd MRV n/a WZO WZB WZV WZD WZH n/a n/a USD 1.60 0.02 40 2/24/2012
Morrison WM Supermarkets plc MRW MIU MIQ MIJ MIX MIY n/a n/a MWR GBP 0.17 0.01 30 2/24/2012
Mastercard Inc MSC n/a n/a n/a n/a MSG MSP n/a n/a USD 26.15 0.21 n/a 2/24/2012
Microsoft Corporation MSF n/a MZQ MZJ MZX MZY MZZ n/a n/a USD 1.32 0.02 40 2/24/2012
Mediaset SpA MSI n/a MHQ MHJ MHX MHY MHZ MSI n/a EUR 0.37 0.01 40 2/24/2012
Medtronic Inc MTA n/a MTT MTC MTV MTD MTH n/a n/a USD 2.35 0.02 40 2/24/2012
Montebalito SA MTB n/a n/a n/a n/a JDD JDH n/a n/a EUR 0.14 0.01 n/a 2/24/2012
Arcelor Mittal MTE AMW AMO AMB AMI AUF AUK n/a n/a EUR 1.44 0.02 n/a 5/28/2012
MITIE Group MTO n/a n/a n/a n/a n/a n/a MTO n/a GBP 0.18 0.01 n/a 10/17/2011
MTU Aero Engines Holding AG MTX n/a n/a n/a n/a MKD MKH n/a n/a EUR 3.08 0.03 n/a 2/24/2012
Lorillard Inc MU n/a n/a n/a n/a MUF MUK n/a n/a USD 7.40 0.06 n/a 2/24/2012
Muenchener Rueckversicherungs AG MUV MUU MUQ MUJ MUX MUY MUZ n/a n/a EUR 7.74 0.07 40 2/24/2012
Colgate-Palmolive Co MWA n/a XHO XHB XHV MWD MWH n/a n/a USD 3.71 0.03 40 2/24/2012
Public Service Enterprise Group Inc MXA n/a n/a n/a n/a MXD MXH n/a n/a USD 1.58 0.02 n/a 2/24/2012
Bristol-Myers Squibb Co MYA n/a BTT BTC BTN MYD MYH n/a n/a USD 1.53 0.02 40 2/24/2012
Nationale PortefeuilleMaatschappij NAT n/a n/a n/a n/a KVY KVZ n/a n/a EUR 1.40 0.02 n/a 7/21/2011
Novabase SGPS NB n/a n/a n/a n/a NBD NBH n/a n/a EUR 0.18 0.01 n/a 2/24/2012
Nordea Bank AB NDA NDU NDQ NDJ NDX NDY NDZ n/a n/a SEK 6.21 0.05 40 2/24/2012
National Express Group NE n/a n/a n/a n/a n/a n/a NE n/a GBP 0.20 0.01 n/a 2/24/2012
NetApp Inc NEA n/a n/a n/a n/a NAG NAP n/a n/a USD 5.87 0.05 n/a 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Neopost SA NEP n/a n/a n/a n/a NCD NCH n/a n/a EUR 5.00 0.04 n/a 2/24/2012
Nestle SA NES NEU NEQ NEJ NEX NEY NEZ n/a n/a CHF 2.24 0.07 40 4/16/2012
National Grid plc NGG NGU NGQ NGJ NGX NGY n/a n/a NGG GBP 0.25 0.01 30 2/24/2012
NH Hoteles SA NJ NJU NJQ NJJ NJX NJY NJZ n/a n/a EUR 0.92 0.01 40 2/24/2012
Nokian Reenkat NK NKU NKQ NKJ NKX n/a n/a n/a n/a EUR 2.59 0.03 40 2/24/2012
Nike Inc NKA n/a n/a n/a n/a NKD NKH n/a n/a USD 5.20 0.05 n/a 2/24/2012
NKT Holding A/S NKT n/a n/a n/a n/a NGD NGH n/a n/a DKK 26.00 0.21 n/a 2/24/2012
OJSC Novo Lipetsk Steel NLM n/a n/a n/a n/a NLD NLH n/a n/a USD 5.98 0.05 n/a 2/24/2012
Nomos Bank GDR NMO n/a n/a n/a n/a NMG NMP n/a n/a USD 1.60 0.02 n/a 2/24/2012
Nokia OYJ NOK NBU NBQ NBJ NBX NBY NBZ n/a n/a EUR 0.56 0.02 40 2/24/2012
Novo-Nordisk A/S NOO NFU NFQ NFJ NFX NFY NFZ n/a n/a DKK 45.00 1.22 40 2/24/2012
Novartis AG NOV NAU NAQ NAJ NAX NAY NAZ n/a n/a CHF 2.50 0.03 40 5/28/2012
National Oilwell Varco Inc NOW n/a n/a n/a n/a NOY NOZ n/a n/a USD 8.28 0.07 n/a 2/24/2012
Norwegian Property ASA NPR n/a n/a n/a n/a NPF NPK n/a n/a NOK 1.50 0.02 n/a 2/24/2012
Norske Skogindustrier ASA NR NRW NRO NRB NRV NRD NRH n/a n/a NOK 2.00 0.03 40 5/28/2012
Norfolk Southern Corp NSC n/a n/a n/a n/a NFG NFP n/a n/a USD 5.63 0.05 n/a 2/24/2012
Neste Oil OYJ NT NTW NTO NTB NTV NTD NTH n/a n/a EUR 1.33 0.02 40 2/24/2012
Northgate NTG n/a n/a n/a n/a NEG n/a n/a n/a GBP 0.25 0.01 n/a 2/24/2012
Nucor Corp NUE n/a n/a n/a n/a NMY NMZ n/a n/a USD 2.57 0.03 n/a 2/24/2012
OAO Novatek NV n/a n/a n/a n/a NVD NVH n/a n/a USD 20.02 0.16 n/a 2/24/2012
Novozymes A/S NVO n/a n/a n/a n/a NJD NJH n/a n/a DKK 10.50 0.29 n/a 4/16/2012
Novorossiysk Sea Trade Port GDR NVR n/a n/a n/a n/a OVF OVK n/a n/a USD 1.04 0.01 n/a 2/24/2012
News Corp NWA n/a n/a n/a n/a NWD NWH n/a n/a USD 1.87 0.02 n/a 2/24/2012
Nexity NXE n/a n/a n/a n/a NNY NNZ n/a n/a EUR 2.39 0.02 n/a 2/24/2012
Nexen Inc NXN n/a n/a n/a n/a NXK NXM n/a n/a USD 2.00 0.02 n/a 4/12/2012
Nexans SA NXS n/a n/a n/a n/a NDD NDH n/a n/a EUR 5.64 0.05 n/a 2/24/2012
Next plc NXT NXU NXQ NXJ NXX NXY n/a n/a NXT GBP 1.74 0.05 30 2/24/2012
NYSE Euronext (Paris) NY1 NYW NYO NYB NYV NYH NYD n/a n/a EUR 1.41 0.02 40 2/24/2012
New York Times Co/The NYT n/a VUO VUB VUV VUD VUH n/a n/a USD 0.82 0.01 40 2/24/2012
NYSE Euronext NYX n/a n/a n/a n/a NSD NSH n/a n/a USD 2.75 0.03 n/a 2/24/2012
Newmont Mining Corp NZA n/a n/a n/a n/a NZD NZH n/a n/a USD 4.84 0.04 n/a 2/24/2012
ABB Ltd OBB OBU OBQ OBJ OBX OBY OBZ n/a n/a SEK 10.12 0.09 40 2/24/2012
Mapfre SA OC OCU OCQ OCJ OCX OCY OCZ n/a n/a EUR 0.26 0.01 40 2/24/2012
Ocado Group Plc OCA n/a n/a n/a n/a OOF n/a n/a n/a GBP 0.18 0.01 n/a 2/24/2012
OAO Gazprom OG OGW OGO OGB OGV OGD OGH n/a n/a USD 1.46 0.02 40 2/24/2012
Obrascon Huarte Lain SA OHL n/a n/a n/a n/a n/a YOD YOH n/a EUR 1.98 0.02 n/a 2/24/2012
Baloise Holding AG OIB OIU OIQ OIJ OIX OIY OIZ n/a n/a CHF 6.00 0.05 40 2/24/2012
O'Key Group GDR OKA n/a n/a n/a n/a n/a OKL n/a n/a USD 1.20 0.01 n/a 6/26/2012
OKO Bank plc OKE n/a n/a n/a n/a OKD OKH n/a n/a EUR 0.98 0.01 n/a 2/24/2012
Omega Pharma OME KZU KZQ KZJ KZX KZY KZZ n/a n/a EUR 2.50 0.02 40 2/24/2012
Old Mutual OML ODW ODO ODB ODV ODY n/a n/a OMT GBP 0.17 0.01 40 2/24/2012
OMV AG OMV OAU OAQ OAJ OAX OAY OAZ n/a n/a EUR 2.06 0.02 40 2/24/2012
ACS Actividades Cons y Serv ON ONU ONQ ONJ ONX ONY ONZ n/a n/a EUR 2.33 0.02 40 2/24/2012
OTP Bank Nyrt OO n/a n/a n/a n/a OOD n/a n/a n/a HUF 675.40 5.38 n/a 10/17/2011
Osterreichische Post AG OPO KXU KXQ KXJ KXX KXY KXZ n/a n/a EUR 1.15 0.01 40 2/24/2012
L'Oreal SA OR ORU ORQ ORJ ORX ORY ORZ n/a n/a EUR 3.35 0.03 40 2/24/2012
Oracle Corp ORC n/a n/a n/a n/a OXY OXZ n/a n/a USD 3.12 0.03 n/a 2/24/2012
Orkla ASA ORK OKU OKQ OKJ OKX OKY OKZ n/a n/a NOK 4.50 0.04 40 10/17/2011
Orpea ORP n/a n/a n/a n/a OBF OBK n/a n/a EUR 2.74 0.03 n/a 2/24/2012
Antena 3 de Television SA OS OSU OSQ OSJ OSX OSY OSZ n/a n/a EUR 0.59 0.01 40 2/24/2012
Outotec OYJ OTE n/a n/a n/a n/a UHD UHH n/a n/a EUR 4.39 0.04 n/a 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Outokumpu Oyj OU OUW OUO OUB OUV OUD OUH n/a n/a EUR 0.96 0.01 40 5/28/2012
Onyx Pharmaceuticals Inc OX n/a n/a n/a n/a EFF EFK n/a n/a USD 5.73 0.05 n/a 2/24/2012
Occidental Petroleum Corp OXA n/a EFT EFC EFN OXD OXH n/a n/a USD 11.35 0.10 40 2/24/2012
Pargesa Holding SA PAR n/a n/a n/a n/a PXD PXH n/a n/a CHF 6.00 0.05 n/a 2/24/2012
Praktiker AG PB n/a n/a n/a n/a PBD PBH n/a n/a EUR 0.47 0.01 n/a 5/28/2012
Publicis Groupe PBG PUU PUQ PUJ PUX PUY PUZ n/a n/a EUR 2.00 0.06 40 4/16/2012
Portucel PC n/a n/a n/a n/a PCD PCH n/a n/a EUR 0.11 0.01 n/a 2/24/2012
Precision Castparts Corp PCC n/a n/a n/a n/a PEG PEH n/a n/a USD 13.71 0.11 n/a 2/24/2012
POSCO ADR PCO n/a n/a n/a n/a PC0 PC1 n/a n/a USD 9.36 0.08 n/a 2/20/2012
Pic. Credito Valtellinese PCV n/a n/a n/a n/a PID PIH n/a n/a EUR 0.25 0.01 n/a 2/24/2012
Pfleiderer AG PD n/a n/a n/a n/a PDD PDH n/a n/a EUR 0.16 0.01 n/a 5/28/2012
PDL Biopharma Inc PDL n/a EGO EGC EGN EGF EGK n/a n/a USD 0.31 0.01 40 2/24/2012
Bank Pekao SA PE n/a n/a n/a n/a PED n/a n/a n/a PLN 12.76 0.11 n/a 2/24/2012
Peabody Energy Corp PEC n/a n/a n/a n/a PFY PFZ n/a n/a USD 7.37 0.06 n/a 2/24/2012
Pepsico Inc PEP n/a n/a n/a n/a PXY PXZ n/a n/a USD 2.63 0.03 n/a 2/24/2012
Pescanova PES n/a n/a n/a n/a VPD VPH n/a n/a EUR 2.20 0.02 n/a 2/24/2012
Petrofac PET PEW PEO PEB PEV PTF n/a n/a PET GBP 1.08 0.01 n/a 2/24/2012
Total SA PF TZU TZQ TZJ TZX TZY TZZ n/a n/a EUR 2.01 0.06 40 4/16/2012
Pfizer PFE n/a PYQ PYJ PYX PYY PYZ n/a n/a USD 1.01 0.01 40 2/24/2012
Provident Financial PFG n/a n/a n/a n/a n/a n/a PFG n/a GBP 0.74 0.02 n/a 4/16/2012
Premier Farnell PFL n/a n/a n/a n/a n/a n/a PFL n/a GBP 0.20 0.01 n/a 2/24/2012
Procter & Gamble Co PG n/a PJQ PJJ PJX PJY PJZ n/a n/a USD 2.39 0.02 40 2/24/2012
PG&E Corp PGE n/a n/a n/a n/a PGG PGP n/a n/a USD 2.28 0.02 n/a 2/24/2012
Polska Grupa Energetyczna PGN n/a n/a n/a n/a PGW n/a n/a n/a PLN 1.39 0.04 n/a 4/16/2012
Petroleum Geo-Services ASA PGS n/a n/a n/a n/a PGD PGH n/a n/a NOK 11.50 0.10 n/a 10/17/2011
Phonak AG PHB YUU YUQ YUJ YUX YUY YUZ n/a n/a CHF 5.10 0.05 40 2/24/2012
Koninklijke Philips Electronics NV PHI PHU PHQ PHJ PHX PHD PHZ PHI n/a EUR 1.16 0.04 40 2/24/2012
Philip Morris Intl Inc PHP n/a n/a n/a n/a MHF MHK n/a n/a USD 4.05 0.04 n/a 2/24/2012
Prysmian SpA PHS n/a MZT MZC MZN MZF MZK n/a n/a EUR 1.24 0.01 40 2/24/2012
Piaggio & C. SpA PIA n/a n/a n/a n/a PIU PIQ n/a n/a EUR 0.30 0.01 n/a 5/28/2012
Pirelli & C SpA PIR n/a PCQ PCJ PCX PCY PCZ n/a n/a EUR 0.76 0.01 40 2/24/2012
PBG SA PJ n/a n/a n/a n/a PJD n/a n/a n/a PLN 12.50 0.13 n/a 5/28/2012
PagesJaunes Groupe SA PJG n/a n/a n/a n/a PFC PFH n/a n/a EUR 0.38 0.01 n/a 2/24/2012
Julius Baer Holding AG PK PKU PKQ PKJ PKX PKY PKZ n/a n/a CHF 1.30 0.02 40 2/24/2012
PKO Bank Polski SA PKK n/a n/a n/a n/a PKD n/a n/a n/a PLN 2.81 0.03 n/a 2/24/2012
Banco Comercial Portugues PM PMU PMQ PMJ PMX PMY PMZ n/a n/a EUR 0.04 0.01 40 5/28/2012
3M Co PMA n/a n/a n/a n/a PMD PMH n/a n/a USD 5.08 0.05 n/a 2/24/2012
Premier Oil PMO n/a n/a n/a n/a n/a n/a PMO n/a GBP 0.43 0.01 n/a 10/17/2011
Polski Koncern Naftowy PN n/a n/a n/a n/a PND n/a n/a n/a PLN 3.00 0.03 n/a 2/24/2012
Pennon Group PNN n/a n/a n/a n/a n/a n/a PNN n/a GBP 0.38 0.01 n/a 2/24/2012
Carnival plc POC DJU DJQ DJJ DJX DJY n/a n/a POC GBP 1.98 0.02 30 2/24/2012
Petropavlovsk Plc POG n/a n/a n/a n/a POF n/a n/a n/a GBP 0.88 0.01 n/a 7/18/2011
Banco Popular Espanol SA POP PAU PAQ PAJ PAX PAY PAZ n/a n/a EUR 0.39 0.01 40 2/24/2012
Porsche Automobil Holding SE POR PDU PDQ PDJ PDX PDY PDZ n/a n/a EUR 5.38 0.05 40 2/24/2012
Potash Corp of Saskatchewan POT n/a WIO WIB WIV WID OBH n/a n/a USD 4.66 0.04 40 2/24/2012
Pinault-Printemps-Redoute PP PPU PPQ PPJ PPX PPY PPZ n/a n/a EUR 7.53 0.21 40 4/16/2012
PPG Industries Inc PPG n/a n/a n/a n/a PMG PMP n/a n/a USD 6.54 0.06 n/a 2/24/2012
priceline.com Inc PRC n/a n/a n/a n/a PIG PIP n/a n/a USD 50.84 0.41 n/a 2/24/2012
Perrigo Co PRG n/a n/a n/a n/a n/a PR6 n/a n/a USD 7.40 0.09 n/a 5/11/2012
Promotora de Informaciones, S.A. PRS n/a n/a n/a n/a WQY WQZ n/a n/a EUR 0.11 0.01 n/a 5/28/2012
Prudential plc PRU PSU PRQ PRJ PRX PRY n/a n/a PRU GBP 0.44 0.02 30 4/16/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Paccar Inc PSA n/a AKT AKC AKN PSD PSH n/a n/a USD 3.38 0.03 40 2/24/2012
Prosegur Cia de Segurided SA PSG n/a n/a n/a n/a PSF PSK n/a n/a EUR 0.26 0.01 n/a 7/6/2012
Prosiebensat 1 Media AG PSM n/a n/a n/a n/a WRY WRZ n/a n/a EUR 2.45 0.02 n/a 2/24/2012
Pearson plc PSO POU POQ POJ POX POY n/a n/a PSO GBP 0.62 0.02 40 4/16/2012
PSP Swiss Property AG PSP n/a n/a n/a n/a QBD QBH n/a n/a CHF 3.70 0.03 n/a 2/24/2012
Portugal Telecom SGPS SA PTC PTU PTQ PTJ PTX PTY PTZ n/a n/a EUR 0.35 0.01 40 2/24/2012
Bwin.party Digital Entertainment PLC PTG n/a n/a n/a n/a PEY n/a n/a n/a GBP 0.29 0.01 30 2/24/2012
PT Multimedia PTM n/a n/a n/a n/a PTD PTH n/a n/a EUR 0.33 0.01 n/a 2/24/2012
PostNL NV PTN POM POO POB POV PSY PSZ PTN n/a EUR 0.44 0.01 40 2/24/2012
Prosafe ASA PU n/a n/a n/a n/a PUD PUH n/a n/a NOK 4.50 0.04 n/a 2/24/2012
Puma SE PUM QXW QXO QXB QXV QXD QXH n/a n/a EUR 22.06 0.18 40 10/17/2011
Lonza Group AG PV PVU PVQ PVJ PVX PVY PVZ n/a n/a CHF 5.50 0.05 40 2/24/2012
Penn West Petroleum Ltd PWE n/a n/a n/a n/a PWA PWR n/a n/a USD 1.50 0.02 n/a 5/11/2012
Paddy Power PLC PWL n/a n/a n/a n/a PPD n/a n/a n/a EUR 3.01 0.03 n/a 2/24/2012
Panalpina Welttransport Holding AG PWT n/a n/a n/a n/a PVD PVH n/a n/a CHF 7.60 0.07 n/a 2/24/2012
Polimex Mostostal SA PWW n/a n/a n/a n/a PWD n/a n/a n/a PLN 0.29 0.01 n/a 5/28/2012
Patrizia Immobilien AG PZ n/a n/a n/a n/a PZD PZH n/a n/a EUR 0.45 0.01 n/a 2/24/2012
PZ Cussons Plc PZC n/a n/a n/a n/a PZN n/a n/a n/a GBP 0.42 0.01 n/a 5/11/2012
Q-Cells AG QCE QDW QDO QDB QDV QDD QDH n/a n/a EUR 0.16 0.01 40 5/28/2012
Qualcomm Inc QCO n/a QQQ QQJ QQX QQY QQZ n/a n/a USD 4.40 0.04 40 2/24/2012
Qiagen NV QIA QFW QFO QFB QFV QFD QFH n/a n/a EUR 0.69 0.01 40 2/24/2012
MetLife Inc QMA n/a n/a n/a n/a QMD QMH n/a n/a USD 4.74 0.04 n/a 2/24/2012
Dassault Systemes SA QO QOU QOQ QOJ QOX QOY QOZ n/a n/a EUR 4.56 0.04 40 2/24/2012
Northrop Grumman Corp QOB n/a n/a n/a n/a QOD QOH n/a n/a USD 3.78 0.04 n/a 2/24/2012
CVS Caremark Corp QYA n/a n/a n/a n/a QYD QYH n/a n/a USD 2.87 0.03 n/a 2/24/2012
Agora SA RA n/a n/a n/a n/a RAD n/a n/a n/a PLN 2.68 0.03 n/a 2/24/2012
RATIONAL AG RAA RA1 RA2 RA3 RA4 RA5 RA6 n/a n/a EUR 10.20 0.24 40 3/23/2012
Rallye SA RAL n/a n/a n/a n/a UJF UJK n/a n/a EUR 1.83 0.02 n/a 2/24/2012
Ratos AB RAT n/a n/a n/a n/a RGD RGH n/a n/a SEK 10.18 0.09 n/a 2/24/2012
Reckitt Benckiser Group plc RB RGU RGQ RGJ RGX RGY n/a n/a RB GBP 1.73 0.05 30 4/16/2012
Royal Bank of Canada RBC n/a n/a n/a n/a RB8 RB9 n/a n/a USD 3.40 0.04 n/a 4/12/2012
Royal Bank of Scotland Group RBS RBU RBQ RBJ RBX RBY n/a n/a RBS GBP 0.40 0.01 30 6/6/2012
Richter Gedeon Nyrt RC n/a n/a n/a n/a RCD n/a n/a n/a HUF 2055.06 16.35 n/a 2/24/2012
RCS MediaGroup SpA RCS n/a n/a n/a n/a RXD RXH n/a n/a EUR 0.10 0.01 n/a 2/24/2012
Royal Dutch Shell plc A Euro RD RDU RDQ RDJ RDX RDY RDZ RD n/a EUR 1.59 0.05 30 2/24/2012
RR Donnelley & Sons Co RDD n/a CFT CFC CFN CFF CFK n/a n/a USD 1.34 0.02 40 2/24/2012
Recordati SpA RDT n/a n/a n/a n/a CYD CYH n/a n/a EUR 0.42 0.01 n/a 2/24/2012
Rexam RE n/a n/a n/a n/a XMY n/a n/a n/a GBP 0.22 0.01 n/a 2/24/2012
Rexel S.A REE n/a n/a n/a n/a REF REK n/a n/a EUR 1.69 0.02 n/a 2/24/2012
Reed Elsevier plc REI REU REQ REJ REX REY n/a n/a REI GBP 0.30 0.01 30 2/24/2012
Remy Cointreau REM n/a n/a n/a n/a RMF RMK n/a n/a EUR 3.55 0.03 n/a 2/24/2012
Reed Elsevier NV REN RKU RKQ RKJ RKX RKY RKZ REN n/a EUR 0.49 0.01 40 5/28/2012
Repsol SA REP RAU RAQ RAJ RAX RAY RAZ n/a n/a EUR 1.73 0.02 40 5/28/2012
Red Electrica Corporacion SA RES WVW WVO WVB WVV WVY WVZ n/a n/a EUR 2.71 0.03 40 2/24/2012
Restaurant Plc RET n/a n/a n/a n/a REB n/a n/a n/a GBP 0.19 0.01 n/a 2/24/2012
REW n/a n/a n/a n/a REO n/a n/a n/a GBP 0.20 0.01 n/a 2/24/2012
Eurazeo RF n/a n/a n/a n/a EHD EHH n/a n/a EUR 4.26 0.04 n/a 2/24/2012
Rhoen Klinikum AG RH n/a n/a n/a n/a RHD RHH n/a n/a EUR 0.90 0.01 n/a 2/24/2012
RHI AG RHI WXU WXQ WXJ WXX WXY WXZ n/a n/a EUR 1.56 0.02 40 2/24/2012
Rhodia SA RHO n/a n/a n/a n/a RAF RAK n/a n/a EUR 1.02 0.01 n/a 10/17/2011
RHJ International RHX n/a n/a n/a n/a n/a RHY n/a n/a EUR 0.60 0.01 n/a 7/11/2012
Resolution Ltd
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Pernod-Ricard RI RJU RJQ RJJ RJX RJY RJZ n/a n/a EUR 3.94 0.11 40 4/16/2012
Applied Materials Inc RIA n/a PPO PPB PPV RID RIH n/a n/a USD 1.26 0.02 40 2/24/2012
Raiffeisen International Bank-Holding AG RIB WUU WUQ WUJ WUX WUY WUZ n/a n/a EUR 3.46 0.03 40 2/24/2012
Rieter Holding AG RIE n/a n/a n/a n/a RQD RQH n/a n/a CHF 20.50 0.17 n/a 2/24/2012
Transocean Inc RIG n/a n/a n/a n/a XCY XCZ n/a n/a USD 5.09 0.05 n/a 2/24/2012
Research In Motion Ltd RIM n/a WJO WJB WJV WJD WJH n/a n/a USD 4.00 0.11 40 4/16/2012
Rostelekom RK RTM RTT RTC RTN RKD RKH n/a n/a USD 4.00 0.05 n/a 5/28/2012
Realia Business SA RLA n/a n/a n/a n/a n/a UOD UOH n/a EUR 0.14 0.01 n/a 2/24/2012
Rheinmetall AG RM n/a n/a n/a n/a RLD RLH n/a n/a EUR 4.66 0.04 n/a 2/24/2012
Hermes International RMS n/a n/a n/a n/a HED HEH n/a n/a EUR 13.86 0.12 40 2/24/2012
Rightmove Plc RMV n/a n/a n/a n/a RMO n/a n/a n/a GBP 1.20 0.01 n/a 6/26/2012
Randstad Holding RND RFW RFO RFB RFV RFD RFH n/a n/a EUR 2.42 0.02 40 2/24/2012
Redes Energéticas Nacionais S.A RNE n/a n/a n/a n/a NVY NVZ n/a n/a EUR 0.17 0.01 40 4/16/2012
Renault SA RNO RNU RNQ RNJ RNX RNY RNZ n/a n/a EUR 4.37 0.12 40 2/24/2012
ReynoldsAmerican Inc RNS n/a n/a n/a n/a MFF MFK n/a n/a USD 1.75 0.02 n/a 2/24/2012
OJSC OC Rosneft RO ROW ROO ROB ROV ROD ROH n/a n/a USD 0.84 0.01 40 2/24/2012
Rockwool International AS ROC n/a n/a n/a n/a UFD UFH n/a n/a DKK 47.00 0.38 n/a 2/24/2012
Roche GS ROG ROU ROQ ROJ ROX ROY ROZ n/a n/a CHF 6.80 0.19 40 2/24/2012
Rogers Communications Inc ROM n/a n/a n/a n/a RO8 RO9 n/a n/a USD 2.10 0.02 n/a 4/12/2012
Rotork ROR n/a n/a n/a n/a n/a n/a ROR n/a GBP 1.46 0.02 n/a 2/24/2012
Rolls-Royce Group plc RR RRU RRQ RRJ RRX RRY n/a n/a RR GBP 0.42 0.02 30 2/24/2012
Randgold Resources LTD RRS WJM WJT WJC WJN n/a n/a RRS RAR GBP 6.82 0.06 30 2/24/2012
Regions Financial Corp RSB n/a BFT BFC BFN RSD RSH n/a n/a USD 0.61 0.01 40 2/24/2012
Rentokil Initial plc RTO RLU RLQ RLJ RLX RLY n/a n/a RTO GBP 0.07 0.01 30 10/17/2011
Rio Tinto plc RTZ RIU RIQ RIJ RIX RIY n/a RIO RTZ GBP 4.05 0.04 30 2/24/2012
Regus Plc RUA n/a n/a n/a n/a RUF n/a n/a n/a GBP 0.14 0.01 30 10/17/2011
Rubis RUI n/a n/a n/a n/a XXG XXP n/a n/a EUR 4.36 0.04 n/a 10/17/2011
Swiss Reinsurance RUK RFU RFQ RFJ RFX RFY RFZ n/a n/a CHF 3.70 0.10 40 4/16/2012
RusHydro RUS RSM RST RSC RSN HCF HCK n/a n/a USD 0.52 0.01 n/a 2/24/2012
Rautaruukki RV RVU RVQ RVJ RVX RVY RVZ n/a n/a EUR 1.56 0.02 40 2/24/2012
Dominion Resources Inc/VA RVA n/a n/a n/a n/a RVD RVH n/a n/a USD 2.18 0.02 n/a 2/24/2012
Automatic Data Processing Inc RWA n/a AYT AYC AYN RWD RWH n/a n/a USD 3.30 0.03 40 2/24/2012
RWE AG RWE RWU RWQ RWJ RWX RWY RWZ n/a n/a EUR 3.35 0.10 40 4/16/2012
RWE AG - PFD RWG n/a n/a n/a n/a FTD FTH n/a n/a EUR 2.60 0.03 n/a 2/24/2012
Ryanair Holdings plc RY RYW RYO RYB RYV RYD n/a n/a n/a EUR 0.28 0.01 40 2/24/2012
Ryanair Holdings plc RYA n/a n/a n/a n/a RPD n/a n/a n/a EUR 0.30 0.01 n/a 2/24/2012
RSA Insurance Group RYL RSU RSQ RSJ RSX RSY n/a n/a RYL GBP 0.08 0.01 30 4/16/2012
Raytheon Co RZA n/a n/a n/a n/a RZD RZH n/a n/a USD 2.01 0.02 n/a 2/24/2012
SABMiller plc SAB APU APQ APJ APX APY n/a n/a SAB GBP 1.31 0.04 30 4/16/2012
Safran SA SAF ZAW ZAO ZAB ZAV ZAD ZAH n/a n/a EUR 2.70 0.03 40 2/24/2012
Savills Plc SAI n/a n/a n/a n/a SVI n/a n/a n/a GBP 0.26 0.01 n/a 5/11/2012
Salamander Energy Plc SAL n/a n/a n/a n/a LDF n/a n/a n/a GBP 0.16 0.01 n/a 5/1/2012
Sainsbury (J) SAN SAU SAQ SAJ SAX SAY n/a n/a SAN GBP 0.19 0.01 30 4/16/2012
SAP AG SAP SKU SKQ SKJ SKX SKY SKZ n/a n/a EUR 2.72 0.08 40 2/24/2012
Saras SpA SAR n/a n/a n/a n/a EOD EOH n/a n/a EUR 0.21 0.01 n/a 2/24/2012
Sun Life Financial Inc SAV n/a n/a n/a n/a SU8 SU9 n/a n/a USD 1.90 0.02 n/a 4/12/2012
Banco de Sabadell SA SBA TVW TVO TVB TVX TVY TVZ n/a n/a EUR 0.27 0.01 40 2/24/2012
Sberbank Rossii OAO SBB SEW SPO SPB SPV SEF SPH n/a n/a USD 1.64 0.02 40 2/24/2012
Starbucks Corp SBC n/a n/a n/a n/a SKG SKK n/a n/a USD 3.03 0.03 n/a 2/24/2012
Schoeller-Bleckmann Oilfield Equipment AG SBO WZU WZQ WZJ WZX WZY WZZ n/a n/a EUR 6.15 0.05 40 2/24/2012
SEB S.A SBS n/a n/a n/a n/a SBY SBZ n/a n/a EUR 4.83 0.04 n/a 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
AT&T Inc SBX n/a JTQ JTJ JTX JTY JTZ n/a n/a USD 1.24 0.01 40 2/24/2012
SCOR SE SC1 YPW YPO YPB YPV YPD YPH n/a n/a EUR 2.04 0.02 40 2/24/2012
Scania AB-B SHS SCA SXW SXO SXB SXV SXD SXH n/a n/a SEK 13.24 0.11 40 2/24/2012
Standard Chartered plc SCB SCU SCQ SCJ SCX SCY n/a n/a SCB GBP 1.02 0.03 40 4/16/2012
Banco Santander Central Hispano SA SCH SJU SJQ SJJ SJX SJY SJZ n/a n/a EUR 0.60 0.01 40 5/28/2012
Schibsted ASA SCI n/a n/a n/a n/a NNF NNK n/a n/a NOK 14.50 0.12 n/a 2/24/2012
Svenska Cellulosa AB ser. B SCL EPU EPQ EPJ EPX EPY EPZ n/a n/a SEK 8.94 0.08 40 2/24/2012
Swisscom AG SCM SWU SWQ SWJ SWX SWY SWZ n/a n/a CHF 13.10 0.11 40 2/24/2012
Schindler Holding AG (Registered) SCN n/a n/a n/a n/a SCW SCE n/a n/a CHF 7.30 0.06 n/a 2/24/2012
Schindler Holding AG (Part Cert) SCP n/a n/a n/a n/a ZCD ZCH n/a n/a CHF 6.30 0.06 n/a 2/24/2012
G4S plc SCR n/a n/a n/a n/a n/a n/a SCR n/a GBP 0.19 0.01 n/a 2/24/2012
K+S AG SDF KDW KDO KDB KDV KDD KDH n/a n/a EUR 3.82 0.04 40 2/24/2012
Schroders SDR n/a n/a n/a n/a n/a n/a SDR n/a GBP 1.50 0.02 n/a 2/24/2012
Semapa SE n/a n/a n/a n/a SED SEH n/a n/a EUR 0.42 0.01 n/a 2/24/2012
Skandinaviska Enskilda Bk AB ser. A SEB QSU QSQ QSJ QSX QSY QSZ n/a n/a SEK 4.90 0.04 40 2/24/2012
Securitas AB ser. B SEC QPU QPQ QPJ QPX QPY QPZ n/a n/a SEK 5.01 0.04 40 2/24/2012
Semperit AG Holding SEM n/a n/a n/a n/a UOF UOK n/a n/a EUR 1.84 0.02 n/a 2/24/2012
Suez Environnement SA SEN QQW QQO QQB QQV QQD QQH n/a n/a EUR 0.91 0.01 40 2/24/2012
Sechilienne-Sidec SES n/a n/a n/a n/a WOF WOK n/a n/a EUR 1.37 0.02 n/a 2/24/2012
Severn Trent PLC SEV WKM WKT WKC WKN NSY n/a n/a SVT GBP 0.79 0.01 30 2/24/2012
Sogefi SpA SF n/a n/a n/a n/a SFD SFH n/a n/a EUR 0.24 0.01 n/a 2/24/2012
SKF AB SFB XGU XGQ XGJ XGX XGY XGZ n/a n/a SEK 16.50 0.14 40 2/24/2012
Salesforce.com Inc SFC n/a n/a n/a n/a SSG SSP n/a n/a USD 23.70 0.19 n/a 2/24/2012
SuperGroup Plc SG n/a n/a n/a n/a SGF n/a n/a n/a GBP 1.55 0.02 n/a 5/28/2012
Stagecoach Group SGC n/a n/a n/a n/a n/a n/a SGC n/a GBP 0.21 0.01 n/a 2/24/2012
Sage Group plc SGE QLU QLQ QLJ QLX QLY n/a n/a SGE GBP 0.17 0.01 30 2/24/2012
SGL Carbon SE SGL n/a n/a n/a n/a ZED ZEH n/a n/a EUR 6.60 0.06 n/a 2/24/2012
Cie de Saint-Gobain SGO SGU SGQ SGJ SGX SGY SGZ n/a n/a EUR 4.10 0.04 40 2/24/2012
Safilo Group SpA SGS n/a n/a n/a n/a NBF NBK n/a n/a EUR 1.28 0.02 n/a 10/17/2011
Royal Dutch Shell plc A SHA RZU RZQ RZJ SX RZY n/a n/a SHA GBP 1.34 0.04 30 2/24/2012
Svenska Handelsbanken ser. A SHB AQU AQQ AQJ AQX AQY AQZ n/a n/a SEK 13.00 0.35 40 4/16/2012
Sears Holdings Corp SHC n/a WRO WRB WRV WRD WRH n/a n/a USD 13.26 0.36 40 4/16/2012
Royal Dutch Shell plc B SHL SHU SHQ SHJ SHX SHY n/a n/a SHL GBP 1.37 0.04 30 2/24/2012
Shinhan Financial Group ADR SHN n/a n/a n/a n/a SH0 SH1 n/a n/a USD 7.34 0.06 n/a 2/20/2011
Starwood Hotels & Resorts Worldwide SHO n/a BPT BPC BPN BPF BPK n/a n/a USD 5.17 0.05 40 10/17/2011
Shire Pharmaceuticals plc SHP SRU SRQ SRJ SRX SRY n/a n/a SHP GBP 1.15 0.01 40 2/24/2012
SunTrust Banks Inc SIA n/a VKO VKB VKV SID SIH n/a n/a USD 2.60 0.03 40 2/24/2012
Siemens AG SIE SIU SIQ SIJ SIX SIY SIZ n/a n/a EUR 5.08 0.14 40 2/24/2012
Sika AG SIK n/a n/a n/a n/a ZGD ZGH n/a n/a CHF 176.00 1.40 n/a 2/24/2012
SILIC SIL n/a n/a n/a n/a UMF UMK n/a n/a EUR 7.76 0.07 n/a 2/24/2012
Sixt AG SIT SI1 SI2 SI3 SI4 SI5 SI6 n/a n/a EUR 1.70 0.04 40 3/23/2012
Sirius Satellite Radio Ltd SIR n/a WOO WOB WOV WOD WOH n/a n/a USD 0.15 0.01 40 2/24/2012
SSAB AB SJ SJW SJO SJB SJV SJD SJH n/a n/a SEK 11.55 0.10 40 2/24/2012
Shaw Communications Inc SJR n/a n/a n/a n/a n/a SJS n/a n/a USD 1.40 0.02 n/a 5/11/2012
Skanska AB SKA XFU XFQ XFJ XFX XFY XFZ n/a n/a SEK 9.02 0.08 40 2/24/2012
SK Telecom Co. Ltd ADR SKT n/a n/a n/a n/a SK0 SK1 n/a n/a USD 1.28 0.02 n/a 2/20/2012
Standard Life plc SL LFU LFQ LFJ LFX LFY n/a n/a LFI GBP 0.18 0.01 40 2/24/2012
SEGRO plc SLO n/a n/a n/a n/a XIY n/a n/a n/a GBP 0.18 0.01 n/a 2/24/2012
Solaria Energia y Medio Amb SLR n/a n/a n/a n/a n/a ULD ULH n/a EUR 0.18 0.01 n/a 2/24/2012
Statoil ASA SLX SQU SQQ SQJ SQX SQY SQZ n/a n/a NOK 8.00 0.22 40 4/16/2012
Smurfit Kappa Group PLC SM n/a n/a n/a n/a ZPD n/a n/a n/a EUR 0.70 0.01 n/a 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
DS Smith Plc SM0 n/a n/a n/a n/a SM5 n/a n/a n/a GBP 0.12 0.01 n/a 4/16/2012
Sampo Oyj SMP FAU FAQ FAJ FAX FAY FAZ n/a n/a EUR 1.72 0.02 40 2/24/2012
Smiths Group SMS n/a n/a n/a n/a NWY n/a n/a SMI GBP 1.02 0.01 40 10/17/2011
Snam Rete Gas SpA SNA n/a CXQ CXJ CXX CXY CXZ SGR n/a EUR 0.19 0.01 40 2/24/2012
SONAECOM SGPS SNC n/a n/a n/a n/a SAD SAH n/a n/a EUR 0.12 0.01 n/a 2/24/2012
Smith & Nephew plc SNP SNU SNQ SNJ SNX SNY n/a n/a SNP GBP 0.33 0.01 30 4/16/2012
Sonae Industria SGPS SO n/a n/a n/a n/a SOD SOH n/a n/a EUR 0.12 0.01 n/a 10/17/2011
Solvay SA SOB SOU SOQ SOJ SOX SOY SOZ n/a n/a EUR 8.13 0.07 40 2/24/2012
Soc.Iniziative Autostradali e Servizi S SOC n/a n/a n/a n/a n/a STK n/a n/a EUR 0.66 0.01 n/a 2/24/2012
Sonae SGPS SA SON n/a n/a n/a n/a OQY OQZ n/a n/a EUR 0.05 0.01 40 2/24/2012
SOS Cuetara SA SOS n/a n/a n/a n/a n/a IWD IWH n/a EUR 0.08 0.01 n/a 2/24/2012
Spirax-Sarco Engineering SP n/a n/a n/a n/a n/a n/a SP n/a GBP 1.07 0.01 n/a 2/24/2012
Spectra Energy Corp SPE n/a n/a n/a n/a MQF MQK n/a n/a USD 1.42 0.02 n/a 2/24/2012
Saipem SpA SPM n/a WYQ WYJ WYX WYY WYZ SPM n/a EUR 3.99 0.04 40 2/24/2012
Simon Property Group Inc SPP n/a n/a n/a n/a SNF SNK n/a n/a USD 9.98 0.08 n/a 2/24/2012
Swedish Match AB SQ SQW SQO SQB SQV SQD SQH n/a n/a SEK 11.77 0.10 40 2/24/2012
Strabag SE SRA n/a n/a n/a n/a UDF UDK n/a n/a EUR 2.10 0.02 n/a 2/24/2012
Schroders N/V SRD n/a n/a n/a n/a n/a n/a SRD n/a GBP 1.26 0.02 n/a 2/24/2012
Serco Group SRP n/a n/a n/a n/a n/a n/a SRP n/a GBP 0.34 0.01 n/a 2/24/2012
Sistema JSFC SS n/a n/a n/a n/a SSD SSH n/a n/a USD 3.71 0.03 n/a 2/24/2012
Scottish & Southern Energy SSE SSU SSQ SSJ SSX SSY n/a n/a SSE GBP 0.64 0.02 40 4/16/2012
Homeserve SSF n/a n/a n/a n/a n/a n/a SSF n/a GBP 0.80 0.01 n/a 2/24/2012
Sanofi-Aventis SSL SFU SFQ SFJ SFX SFY SFZ n/a n/a EUR 2.67 0.03 40 5/28/2012
Seadrill Ltd. ST STW STO SSB STV STD STH n/a n/a NOK 20.00 0.16 40 2/24/2012
Storebrand ASA STB SUW SUO SUB SUV SUD SUH n/a n/a NOK 5.50 0.05 40 2/24/2012
Stobart Group Ltd STG n/a n/a n/a n/a STC N n/a n/a GBP 0.08 0.01 n/a 10/17/2011
STMicroelectronics NV STM n/a ARQ ARJ ARX ARY ARZ STM n/a EUR 0.64 0.01 40 2/24/2012
Straumann Holding STN n/a n/a n/a n/a TMD TMH n/a n/a CHF 15.10 0.13 n/a 2/24/2012
Staples Inc STP n/a n/a n/a n/a HZG HZP n/a n/a USD 1.31 0.04 n/a 4/16/2012
Groupe Steria SCA STU n/a n/a n/a n/a STQ SJA n/a n/a EUR 1.30 0.03 n/a 5/28/2012
Stora Enso Oyj STX DKU DKQ DKJ DKX DKY DKZ n/a n/a EUR 0.63 0.01 40 2/24/2012
Schneider Electric SA SU SUU SUQ SUJ SUX SUY SUZ n/a n/a EUR 4.90 0.14 40 4/16/2012
Suncor Energy Inc SUC n/a n/a n/a n/a SUS SUP n/a n/a USD 3.50 0.04 n/a 4/12/2012
Suedzucker AG SUE n/a n/a n/a n/a XLY XLZ n/a n/a EUR 2.04 0.02 n/a 2/24/2012
Sulzer AG SUL YVU YVQ YVJ YVX YVY YVZ n/a n/a CHF 7.70 0.07 40 2/24/2012
OAO Severstal SV n/a n/a n/a n/a SVD SVH n/a n/a USD 2.01 0.02 n/a 2/24/2012
Sandvik AB SVK DHU DHQ DHJ DHX DHY DHZ n/a n/a SEK 10.29 0.09 40 2/24/2012
SilverCorp Metals Inc SVN n/a n/a n/a n/a SVG SVP n/a n/a USD 1.00 0.01 n/a 5/11/2012
Novartis AG ADR SW3 n/a n/a n/a n/a SW3 3SW n/a n/a USD 2.86 0.08 n/a 4/16/2012
Syngenta AG ADR SW4 n/a n/a n/a n/a SW4 4SW n/a n/a USD 2.35 0.02 n/a 2/24/2012
Credit Suisse Group AG ADR SW5 n/a n/a n/a n/a SW5 5SW n/a n/a USD 5.27 0.05 n/a 2/24/2012
ABB Ltd ADR SW6 n/a n/a n/a n/a SW6 6SW n/a n/a USD 1.15 0.01 n/a 2/24/2012
Solarworld AG SW AUW AUO AUB AUV SWD SWH n/a n/a EUR 0.67 0.01 40 5/28/2012
Sodexho SA SWA XEU XEQ XEJ XEX XEY XEZ n/a n/a EUR 2.71 0.03 40 2/24/2012
Silver Wheaton Corp SWG n/a n/a n/a n/a SL8 SL9 n/a n/a USD 4.10 0.05 n/a 4/12/2012
Sanoma Corporation SWS n/a n/a n/a n/a ZBD ZBH n/a n/a EUR 0.85 0.01 n/a 2/24/2012
Swatch Group AG - N SWT UIU UIQ UIJ UIX UIY UIZ n/a n/a CHF 6.20 0.05 40 2/24/2012
Spectris SXS n/a n/a n/a n/a n/a n/a SXS n/a GBP 1.18 0.01 n/a 2/24/2012
Sydbank A/S SYB n/a n/a n/a n/a ZJD ZJH n/a n/a DKK 15.00 0.12 n/a 10/17/2011
Symrise AG SYI n/a n/a n/a n/a UJD UJH n/a n/a EUR 1.24 0.01 n/a 2/24/2012
Stryker Corporation SYK n/a STT SYC SNN SYD SYH n/a n/a USD 3.52 0.03 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Syngenta AG SYN CUU CUQ CUJ CUX CUY CUZ n/a n/a CHF 18.20 0.15 40 2/24/2012
Sacyr Vallehermoso SA SYV VYW VYO VYB VYV VYY VYZ n/a n/a EUR 0.60 0.01 40 5/28/2012
Stada Arzneimittel AG SZ SZW SZO SZB SZV SZD SZH n/a n/a EUR 2.70 0.03 40 2/24/2012
Salzgitter AG SZG YJU YJQ YJJ YJX YJY YJZ n/a n/a EUR 5.72 0.05 40 2/24/2012
Target Corp TAA n/a TAO TAF TAV TAD TAH n/a n/a USD 2.78 0.03 40 2/24/2012
British American Tobacco plc TAB TBU TBQ TBJ TBX TBY n/a n/a TAB GBP 1.39 0.04 30 4/16/2012
Telekom Austria AG TAG TRU TRQ TRJ TRX TRY TRZ n/a n/a EUR 0.55 0.02 40 4/16/2012
Tate & Lyle TAL OTU OTQ OTJ OTX OTY n/a n/a TAT GBP 0.41 0.01 40 2/24/2012
Talisman Energy Inc TAM n/a n/a n/a n/a TA8 TA9 n/a n/a USD 1.30 0.02 n/a 4/12/2012
Erste Group Bank AG TB n/a n/a n/a n/a TBD n/a n/a n/a CZK 140.00 1.45 n/a 5/28/2012
Tesco plc TCO TCU TCQ TCJ TCX TCY n/a n/a TCO GBP 0.30 0.01 40 4/16/2012
Tecnicas Reunidas SA TCR n/a n/a n/a n/a n/a WWD WWH n/a EUR 3.22 0.03 n/a 2/24/2012
Koninklijke Ten Cate NV TCT KTW KTO KTJ KTX KTD KTH n/a n/a EUR 2.31 0.02 40 2/24/2012
TDC A/S TDC n/a n/a n/a n/a TKF TKK n/a n/a DKK 2.53 0.07 n/a 5/11/2012
Tod's SPA TDS n/a n/a n/a n/a QJD QJH n/a n/a EUR 11.55 0.10 n/a 10/17/2011
Telefonica Czech Republic AS TE n/a n/a n/a n/a TED n/a n/a n/a CZK 37.00 0.30 n/a 2/24/2012
Tessenderlo Chemie NV TE6 n/a n/a n/a n/a TE7 TE8 n/a n/a EUR 2.20 0.05 n/a 5/28/2012
Technip SA TEC TDW TDO TDB TDV TDD TDH n/a n/a EUR 6.02 0.17 40 4/16/2012
Telenet Group Holding NV TEE n/a n/a n/a n/a TLF TLK n/a n/a EUR 3.50 0.03 n/a 2/24/2012
Telefonica SA TEF TEU TEQ TEJ TEX TEY TEZ n/a n/a EUR 0.90 0.01 40 5/28/2012
Tenaris SA TEN n/a XUQ XUJ XUX XUY XUZ n/a n/a EUR 2.22 0.02 40 2/24/2012
Telecom Plus Plc TEP n/a n/a n/a n/a TE5 n/a n/a n/a GBP 0.60 0.01 n/a 2/20/2011
Terra Nitrogen Co LP TER n/a n/a n/a n/a MOF MOK n/a n/a USD 1.40 0.02 n/a 2/24/2012
TEVA Pharmaceutical Ind TEV n/a TEO TEB TEI ZAY ZAZ n/a n/a USD 3.26 0.03 40 2/24/2012
Societe Television Francaise 1 TFI TFU TFQ TFJ TFX TFY TFZ n/a n/a EUR 1.23 0.01 40 2/24/2012
TGS Nopec GeoPhys Company ASA TGS n/a n/a n/a n/a TND TNH n/a n/a NOK 15.00 0.12 n/a 2/24/2012
Tryg AS TGV n/a n/a n/a n/a TYF TYK n/a n/a DKK 15.00 0.12 n/a 2/24/2012
Thompson Reuters Corp THO n/a n/a n/a n/a FOF FOK n/a n/a USD 1.43 0.02 n/a 2/24/2012
Telecom Italia SpA TI n/a TJQ TJJ TJX TJY TJZ TI n/a EUR 0.08 0.01 40 2/24/2012
Telecom Italia SpA (Savings) TIR n/a TNQ TNJ TNX TNY TNZ TIR n/a EUR 0.06 0.01 40 2/24/2012
TJX Cos Inc TJC n/a n/a n/a n/a THY TCP n/a n/a USD 3.24 0.03 n/a 2/24/2012
ThyssenKrupp AG TKA TKU TKQ TKJ TKX TKY TKZ n/a n/a EUR 2.66 0.03 40 2/24/2012
Allstate Corp/The TKB n/a n/a n/a n/a TKD TKH n/a n/a USD 1.35 0.02 n/a 2/24/2012
Travelers Cos Inc/The TLA n/a n/a n/a n/a TLD TLH n/a n/a USD 3.59 0.03 n/a 2/24/2012
Teleperformance TLG n/a n/a n/a n/a TLP TLE n/a n/a EUR 1.60 0.04 n/a 5/28/2012
TeliaSonera AB TLI TLU TLQ TLJ TLX TLY TLZ n/a n/a SEK 2.93 0.03 40 2/24/2012
Telenor ASA TLR TQU TQQ TQJ TQX TQY TQZ n/a n/a NOK 7.00 0.06 40 2/24/2012
Tele2 AB ser. B TLT TSU TSQ TSJ TSX TSY TSZ n/a n/a SEK 8.70 0.07 40 2/24/2012
Tullow Oil TLW TXW TXO TXB TXV n/a n/a TLW TLO GBP 1.10 0.01 40 2/24/2012
TMK (OAO) GDR TMM n/a n/a n/a n/a KKG KKP n/a n/a USD 2.58 0.03 n/a 9/28/2011
Technicolor SA TMS TMU TMQ TMJ TMX TMY TMZ n/a n/a EUR 0.50 0.01 40 2/24/2012
Topdanmark A/S TOP n/a n/a n/a n/a THD THH n/a n/a DKK 75.00 0.60 n/a 2/24/2012
Telekomunikacja Polska SA TP n/a n/a n/a n/a TPD n/a n/a n/a PLN 1.04 0.01 n/a 2/24/2012
Travis Perkins TPK n/a n/a n/a n/a n/a n/a TPK n/a GBP 0.91 0.01 n/a 2/24/2012
State Street Corp TRA n/a n/a n/a n/a TRD TRH n/a n/a USD 3.34 0.03 n/a 2/24/2012
Trelleborg AB TRE TJW TJO TJB TJV TJD TJH n/a n/a SEK 7.92 0.07 40 2/24/2012
Tubos Reunidos SA TRG n/a n/a n/a n/a n/a IRD IRH n/a EUR 0.13 0.01 n/a 2/24/2012
TERNA - Trasmissione Elettricita Rete Nazi TRN n/a XVQ XVJ XVX XVY XVZ TRN n/a EUR 0.21 0.01 40 2/24/2012
T Rowe Price Group Inc TRP n/a n/a n/a n/a TGG TGP n/a n/a USD 6.66 0.06 n/a 2/24/2012
Transcanada Corp TRS n/a n/a n/a n/a TR6 TR7 n/a n/a USD 1.80 0.02 n/a 4/12/2012
Toronto-Dominion Bank TRT n/a n/a n/a n/a TR8 TR9 n/a n/a USD 5.00 0.06 n/a 4/12/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Tomra Systems ASA TSA TOW TOO TOB TOV TOD TOH n/a n/a NOK 3.00 0.03 40 2/24/2012
Lloyds Banking Group plc TSB LLU LLQ LLJ LLX LLY n/a n/a TSB GBP 0.04 0.01 40 5/28/2012
Total System Services Inc TSS n/a BBT BBC BBN BBF BBK n/a n/a USD 1.24 0.01 40 2/24/2012
TNT Express NV TTE TNM TNA TNC TNV TNF TNK n/a n/a EUR 0.70 0.01 40 2/24/2012
TT Electronics TTG n/a n/a n/a n/a TBG n/a n/a n/a GBP 0.23 0.01 n/a 2/24/2012
TomTom NV TTM XWU XWQ XWJ XWX XWY XWZ n/a n/a EUR 0.66 0.02 40 2/24/2012
Telus Corp TUE n/a n/a n/a n/a n/a TUR n/a n/a USD 3.10 0.04 n/a 5/11/2012
TUI AG TUI TUU TUQ TUJ TUX TUY TUZ n/a n/a EUR 0.81 0.01 40 2/24/2012
TVN SA TVV n/a n/a n/a n/a TVD n/a n/a n/a PLN 2.57 0.03 n/a 10/17/2011
Taylor Wimpey TWO n/a n/a n/a n/a n/a n/a TWO n/a GBP 0.05 0.01 40 2/24/2012
Seat Pagine Gialle SpA TX n/a TXQ TXJ TXX TXY TXZ n/a n/a EUR 0.02 0.01 40 5/28/2012
Texas Instruments Inc TXA n/a n/a n/a n/a TXD TXH n/a n/a USD 2.44 0.02 n/a 2/24/2012
Tyco International Ltd TYA n/a n/a n/a n/a TYD TYH n/a n/a USD 2.53 0.03 n/a 2/24/2012
Aflac Inc TZA n/a n/a n/a n/a TZD TZH n/a n/a USD 4.60 0.04 n/a 2/24/2012
UBM Ltd UBM n/a n/a n/a n/a n/a n/a UBM n/a GBP 0.41 0.01 n/a 10/17/2011
UBS AG UBS UBU UBQ UBJ UBX UBY UBZ n/a n/a CHF 1.30 0.04 40 2/24/2012
Unicredit SPA UC n/a UCQ UCJ UCX UCY UCZ UC n/a EUR 1.00 0.02 40 5/28/2012
Union Pacific Corp UCA n/a n/a n/a n/a UCD UCH n/a n/a USD 7.15 0.06 n/a 2/24/2012
UCB SA UCB UEU UEQ UEJ UEX UEY UEZ n/a n/a EUR 2.90 0.03 40 2/24/2012
Peugeot SA UG UGU UGQ UGJ UGX UGY UGZ n/a n/a EUR 2.17 0.06 40 4/16/2012
Swatch Group AG (Bearer Shs) UHR n/a n/a n/a n/a ZID ZIH n/a n/a CHF 36.90 0.30 n/a 2/24/2012
United Internet AG UI UIW UIO UIB UIV UID UIH n/a n/a EUR 1.20 0.01 40 2/24/2012
Unibail UL UFU UFQ UFJ UFX UFY UFZ n/a n/a EUR 8.20 0.07 40 2/24/2012
Ultra Electronics Holdings ULE n/a n/a n/a n/a n/a n/a ULE n/a GBP 1.11 0.01 n/a 2/24/2012
Unilever plc ULV ULU ULQ ULJ ULX ULY n/a ULR ULV GBP 0.83 0.03 30 4/16/2012
Umicore UMI UMU UMQ UMJ UMX UMY UMZ n/a n/a EUR 3.05 0.03 40 2/24/2012
Unilever NV UNA UNU UNQ UNJ UNX UNY UNZ UNA n/a EUR 1.14 0.02 30 5/28/2012
United Parcel Service Inc UNB n/a n/a n/a n/a UND UPH n/a n/a USD 3.44 0.03 n/a 2/24/2012
United Health Group Inc UNH n/a UYT UYC UYN UYY UYZ n/a n/a USD 3.35 0.03 40 2/24/2012
UNIT4 NV UNT UTE UTA UTR UTI UTG UTP n/a n/a EUR 3.26 0.03 40 10/17/2011
Unipetrol UP n/a n/a n/a n/a UPD n/a n/a n/a CZK 15.00 0.12 n/a 2/24/2012
UPM-Kymmene Oyj UPX UAU UAQ UAJ UAX UAY UAZ n/a n/a EUR 0.95 0.01 40 2/24/2012
UNIQA Versicherungen AG UQA XYU XYQ XYJ XYX XYY XYZ n/a n/a EUR 0.84 0.01 40 2/24/2012
Uralkali URA n/a n/a n/a n/a UUF UUK n/a n/a USD 4.83 0.04 n/a 2/24/2012
US Bancorp USA n/a BST BSC BSN USD USH n/a n/a USD 1.46 0.02 40 2/24/2012
United Technologies Corp UTX n/a n/a n/a n/a UTY UTZ n/a n/a USD 5.14 0.05 n/a 2/24/2012
United Utilities plc UUL UUU UUQ UUJ UUX UUY n/a n/a UUL GBP 0.29 0.01 40 2/24/2012
OC Oerlikon Corp AG UXA UXU UXQ UXJ UXX UXY UXZ n/a n/a CHF 1.00 0.03 40 4/16/2012
Apache Corp UYA n/a n/a n/a n/a UYD UYH n/a n/a USD 11.02 0.09 n/a 2/24/2012
Deere & Co VBA n/a n/a n/a n/a VBD VBH n/a n/a USD 6.16 0.05 n/a 2/24/2012
Wacker Chemie AG VC n/a n/a n/a n/a VCD VCH n/a n/a EUR 11.36 0.10 n/a 2/24/2012
Victrex VCT n/a n/a n/a n/a n/a n/a VCT n/a GBP 1.26 0.02 n/a 10/17/2011
Vedanta Resources PLC VED VVW VVO VVB VVV VVY n/a n/a VRS GBP 1.82 0.02 40 2/24/2012
Verbund AG VER XZU XZQ XZJ XZX XZY XZZ n/a n/a EUR 1.77 0.02 40 2/24/2012
Veti Plc VEL n/a n/a n/a n/a VEB VEV n/a n/a USD 2.47 0.02 n/a 2/24/2012
Vertex Pharmaceuticals Inc VEX n/a ENT ENC ENN ENF ENK n/a n/a USD 4.50 0.05 40 5/28/2012
Pitney Bowes Inc VF n/a VFO VFB VFV VFD VFH n/a n/a USD 1.44 0.02 40 2/24/2012
Hershey Co/The VG n/a VGO VGB VGV VGD VGH n/a n/a USD 2.62 0.03 40 2/24/2012
Mattel Inc VH n/a VHO VHB VHV VHD VHH n/a n/a USD 1.29 0.02 40 2/24/2012
Viacom Inc VIC n/a n/a n/a n/a VCG VCP n/a n/a USD 4.27 0.04 n/a 2/24/2012
Veolia Environnement VIE VIU VIQ VIJ VIX VIY VIZ n/a n/a EUR 2.06 0.06 40 4/16/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Vivendi SA VIV EXU EXQ EXJ EXX EXY EXZ n/a n/a EUR 1.48 0.02 40 5/28/2012
Vallourec SA VK OZU OZQ OZJ OZX OZY OZZ n/a n/a EUR 7.38 0.06 40 2/24/2012
Valeant Pharmaceuticals International VLT n/a n/a n/a n/a VLP VLN n/a n/a USD 3.60 0.04 n/a 4/12/2012
Volvo AB - B shares VLV VCU VCQ VCJ VCX VCY VCZ n/a n/a SEK 9.00 0.25 40 4/16/2012
Virgin Media Inc VME n/a n/a n/a n/a VMF VMK n/a n/a USD 2.16 0.02 n/a 2/24/2012
Vocento SA VOC n/a n/a n/a n/a n/a IFD IFH n/a EUR 0.24 0.01 n/a 2/24/2012
Vodafone Group plc VOD VOU VOQ VOJ VOX VOY n/a n/a VOD GBP 0.09 0.01 30 5/28/2012
Voestalpine AG VOE YCU YCQ YCJ YCX YCY YCZ n/a n/a EUR 3.14 0.03 40 2/24/2012
Volkswagen AG VOW VBU VBQ VBJ VBX VBY VBZ n/a n/a EUR 11.61 0.10 40 2/24/2012
Valero Energy Corp VQA n/a n/a n/a n/a VQD VQH n/a n/a USD 3.21 0.03 n/a 2/24/2012
Vornado Realty Trust VRT n/a n/a n/a n/a VNY VNZ n/a n/a USD 7.87 0.07 n/a 10/17/2011
Vossloh AG VS n/a n/a n/a n/a VSD VSH n/a n/a EUR 5.97 0.05 n/a 2/24/2012
Visa Inc VSA n/a n/a n/a n/a VSG VSP n/a n/a USD 5.37 0.05 n/a 2/24/2012
VTB Bank OJSC VTB VTE VTA VTR VTV VTF VTK n/a n/a USD 0.52 0.01 40 2/24/2012
Clariant N VTC VTU VTQ VTJ VTX VTY VTZ n/a n/a CHF 1.40 0.02 40 2/24/2012
Valiant Holding VTN n/a n/a n/a n/a VTD VTH n/a n/a CHF 7.40 0.06 n/a 2/24/2012
Barco NV VU VUU VUQ VUJ VUX VUY VUZ n/a n/a EUR 4.09 0.04 40 2/24/2012
Chubb Corp VVA n/a n/a n/a n/a VVD VVH n/a n/a USD 3.72 0.03 n/a 2/24/2012
Vestas Wind Systems A/S VW VWW VWO VWB VWV VWD VWH n/a n/a DKK 12.00 0.13 40 5/28/2012
Volkswagen AG - PFD VWG VWU VWQ VWJ VWX FQD FQH n/a n/a EUR 15.73 0.13 n/a 2/24/2012
Marathon Oil Corp VYA n/a n/a n/a n/a VYD VYH n/a n/a USD 3.27 0.03 n/a 2/24/2012
Emerson Electric Co VZA n/a n/a n/a n/a VZD VZH n/a n/a USD 4.12 0.04 n/a 2/24/2012
Verizon Communications VZX n/a n/a n/a n/a VPY VPZ n/a n/a USD 1.43 0.02 n/a 2/24/2012
Wavin NV WAV n/a n/a n/a n/a n/a n/a n/a n/a EUR 3.49 0.03 40 2/24/2012
Swiss Life Holding WDA WDU WDQ WDJ WDX WDY WDZ n/a n/a CHF 8.70 0.07 40 2/24/2012
Wirecard AG WDI n/a n/a n/a n/a WD5 WD6 n/a n/a EUR 1.18 0.01 n/a 1/30/2012
Weir Group WEI n/a n/a n/a n/a n/a n/a WEI n/a GBP 2.31 0.02 n/a 2/24/2012
Wells Fargo & Co WFC n/a WEQ WEJ WEX WEY WEZ n/a n/a USD 2.16 0.02 40 2/24/2012
Wood Group (John) WG n/a n/a n/a n/a n/a n/a WG n/a GBP 0.75 0.01 n/a 2/24/2012
Walgreen Co WGA n/a n/a n/a n/a WGD WGH n/a n/a USD 2.56 0.03 n/a 2/24/2012
SGS SA WGS WGU WGQ WGJ WGX WGY WGZ n/a n/a CHF 141.00 1.13 40 2/24/2012
Wereldhave NV WHA WFW WFO WFB WFV WFD WFH n/a n/a EUR 3.23 0.03 40 2/24/2012
William Hill plc WHL WAU WAQ WAJ WAX WAY n/a n/a WHL GBP 0.14 0.01 30 2/24/2012
Wienerberger AG WIE YGU YGQ YGJ YGX YGY YGZ n/a n/a EUR 0.93 0.01 40 2/24/2012
William Demant Holding WIH n/a n/a n/a n/a WUD WUH n/a n/a DKK 32.00 0.26 n/a 2/24/2012
Wincor Nixdorf AG WIN n/a n/a n/a n/a WHD WHH n/a n/a EUR 4.86 0.04 n/a 2/24/2012
Wolters Kluwer NV WLS WKU WKQ WKJ WKX WKY WKZ n/a n/a EUR 0.92 0.01 40 2/24/2012
Waste Management Inc WMG n/a n/a n/a n/a WMY WMZ n/a n/a USD 4.43 0.04 n/a 2/24/2012
Wal-Mart Stores WMT n/a WFQ WFJ WFX WFY WFZ n/a n/a USD 1.70 0.02 40 2/24/2012
Wolseley WOS WLU WLQ WLJ WLX WLY n/a n/a WSY GBP 1.75 0.02 40 10/17/2011
WPP plc WPP WPU WPQ WPJ WPX WPY n/a n/a WPP GBP 0.45 0.02 30 4/16/2012
Walt Disney Co/The WQA n/a n/a n/a n/a WQD WQH n/a n/a USD 2.66 0.03 n/a 2/24/2012
Wartsila OYJ WRT n/a n/a n/a n/a WAD WAH n/a n/a EUR 2.46 0.02 n/a 2/24/2012
Wiener Staedtische Allgemeine Versicherung WST YFU YFQ YFJ YFX YFY YFZ n/a n/a EUR 3.24 0.03 40 2/24/2012
Whitbread plc WTB WTU WTQ WTJ WTX WTY n/a n/a WTB GBP 0.94 0.01 30 2/24/2012
Exelon Corp XCA n/a n/a n/a n/a XCD XCH n/a n/a USD 2.17 0.02 n/a 2/24/2012
STMicroelectronics Paris XK XKU XKQ XKJ XKX XKY XKZ n/a n/a EUR 0.65 0.02 40 2/24/2012
XL Capital Ltd XLC n/a AEO AEB AEV AEF AEK n/a n/a USD 1.67 0.02 40 2/24/2012
Exxon Mobil Corporation XOM n/a OMQ OMJ OMX OMY OMZ n/a n/a USD 5.10 0.05 40 2/24/2012
ATTACHMENT G
LONDON SPAN PARAMETERS FOR EQUITIES (per share)Flexible Contracts
Standard Contracts SPAN ParametersAmerican Style European Style Futures
Contract Name Logical Code CurrencyCash
SettledPhysical Settled
Cash Settled
Physical Settled
Cash Settled
Physical Settled
Future Code
Equity Option
Scanning Range (per
share)
Intermonth Spread Charge
(per share)Volatility Charge
Effective Date
Praxair Inc XPA n/a n/a n/a n/a XPD XPH n/a n/a USD 5.78 0.05 n/a 2/24/2012
Keycorp XR n/a XRO XRB XRV XRD XRH n/a n/a USD 0.60 0.01 40 2/24/2012
Xerox Corp XRC n/a n/a n/a n/a XHG XHP n/a n/a USD 1.08 0.01 n/a 9/28/2011
Sprint Nextel Corp XSA n/a XSO XSB XSV XSD XSH n/a n/a USD 0.60 0.01 40 2/24/2012
Xstrata XTA XRU XRQ XRJ XRX XRY n/a n/a XST GBP 1.58 0.05 40 2/24/2012
INTER-CONTRACT SPREAD CREDITS FOR EQUITY CONTRACTS
Automobiles
Priority Contract/Spread Delta Ratio
17 Bayerische Motoren Werke AG : Renault SA BMW - RNO 1:2 1 75 4/3/2012
113 Renault SA : Porsche Automobil Holding SE RNO - POR 10:7 1 60 4/3/2012
92 Bayerische Motoren Werke AG : Porsche Automobil Holding SE BMW - POR 4:5 1 60 4/3/2012
57 Volkswagen AG - PFD : Porsche Automobil Holding SE VWG - POR 2:5 1 65 4/3/2012
18 Renault SA : Volkswagen AG - PFD RNO - VWG 21:5 1 75 4/3/2012
4 Bayerische Motoren Werke AG : Volkswagen AG - PFD BMW - VWG 2:1 1 80 4/3/2012
Banks5 Royal Bank of Scotland Group : Lloyds TSB Group plc RBS - TSB 5:4 1 80 4/3/2012
115 Banco Santander Central Hispano SA : UBS Bank SCH - UBS 2:1 1 55 4/3/2012
58 Barclays plc : HSBC Holdings plc BBL - HSB 10:3 1 65 4/3/2012
36 Commerzbank AG : Banco Santander Central Hispano SA CBK - SCH 10:3 1 70 4/3/2012
244 Barclays plc : UBS Bank BBL - UBS 3:5 1 30 4/3/2012
147 HSBC Holdings plc : Lloyds TSB Group plc HSB - TSB 2:33 1 50 4/3/2012
116 Deutsche Bank AG : UBS Bank DBK - UBS 7:18 1 55 4/3/2012
268 Barclays plc : Banco Santander Central Hispano SA BBL - SCH 3:10 1 25 4/3/2012
148 Commerzbank AG : Lloyds TSB Group plc CBK - TSB 2:1 1 50 4/3/2012
117 HSBC Holdings plc : Royal Bank of Scotland Group HSB - RBS 3:65 1 55 4/3/2012
118 Commerzbank AG : Royal Bank of Scotland Group CBK - RBS 10:7 1 55 4/3/2012
181 Commerzbank AG : HSBC Holdings plc CBK - HSB 89:3 1 45 4/3/2012
149 Commerzbank AG : UBS Bank CBK - UBS 51:8 1 50 4/3/2012
295 HSBC Holdings plc : UBS Bank HSB - UBS 1:5 1 0 4/3/2012
296 HSBC Holdings plc : Banco Santander Central Hispano SA HSB - SCH 5:43 1 0 4/3/2012
222 Royal Bank of Scotland Group : UBS Bank RBS - UBS 14:3 1 35 4/3/2012
223 Lloyds TSB Group plc : UBS Bank TSB - UBS 10:3 1 35 4/3/2012
119 Deutsche Bank AG : Royal Bank of Scotland Group DBK - RBS 1:12 1 55 4/3/2012
206 Banco Santander Central Hispano SA : Lloyds TSB Group plc SCH - TSB 1:2 1 40 4/3/2012
182 Barclays plc : Commerzbank AG BBL - CBK 1:10 1 45 4/3/2012
19 Deutsche Bank AG : Lloyds TSB Group plc DBK - TSB 9:1 1 75 4/3/2012
20 Commerzbank AG : Deutsche Bank AG CBK - DBK 82:5 1 75 4/3/2012
6 Barclays plc : Royal Bank of Scotland Group BBL - RBS 8:59 1 80 4/3/2012
21 Barclays plc : Lloyds TSB Group plc BBL - TSB 1:5 1 75 4/3/2012
183 Deutsche Bank AG : HSBC Holdings plc DBK - HSB 5:3 1 45 4/3/2012
297 Barclays plc : Deutsche Bank AG BBL - DBK 62:1 1 0 4/3/2012
245 Royal Bank of Scotland Group : Banco Santander Central Hispano SA RBS - SCH 5:2 1 30 4/3/2012
269 Deutsche Bank AG : Banco Santander Central Hispano SA DBK - SCH 4:19 1 25 4/3/2012
Brewers93 Heineken NV : InBev NV HEI - INB 10:9 1 60 4/3/2012
Broadcasting & Entertainment120 British Sky Broadcasting plc : ITV plc BSK - GME 5:56 1 55 4/3/2012
Commodity Chemicals114 BASF AG : Air Liquide BAS - AI 5:3 1 60 4/3/2012
Electricity121 Iberdrola SA : Schneider Electric SA IBE - SU 34:3 1 55 4/3/2012
122 Électricité de France : Schneider Electric SA EDF - SU 5:2 1 55 4/3/2012
246 Iberdrola SA : International Power IBE - IPR 5:1 1 30 4/3/2012
298 Schneider Electric SA : International Power SU - IPR 3:5 1 0 4/3/2012
270 Électricité de France : International Power EDF - IPR 10:7 1 25 4/3/2012
37 Iberdrola SA : Électricité de France IBE - EDF 5:1 1 70 4/3/2012
Defense299 BAE Systems plc : Thales SA AER - HO 9:10 1 0 4/3/2012
Food Products59 Nestle SA : Associated British Foods NES - ABF 2:1 1 65 4/3/2012
94 Nestle SA : Groupe Danone NES - BN 9:10 1 60 4/3/2012
198 Groupe Danone : Associated British Foods BN - ABF 16:7 1 40 4/3/2012
Food Retailers & Wholesalers38 Tesco plc : Sainsbury (J) TCO - SAN 4:5 1 70 4/3/2012
60 Tesco plc : Morrison WM Supermarkets plc TCO - MRW 4:5 1 65 4/3/2012
61 Sainsbury (J) : Morrison WM Supermarkets plc SAN - MRW 1:1 1 65 4/3/2012
62 Carrefour SA : Casino Guichard Perrachon SA CA - CO 10:3 1 65 4/3/2012
95 Koninklijke Ahold NV : Delhaize Group AHL - DEL 5:1 1 60 4/3/2012
96 Tesco plc : Marks & Spencer Group plc TCO - M+S 4:5 1 60 4/3/2012
97 Carrefour SA : Delhaize Group CA - DEL 5:2 1 60 4/3/2012
98 Sainsbury (J) : Marks & Spencer Group plc SAN - M+S 10:9 1 60 4/3/2012
144 Marks & Spencer Group plc : Morrison WM Supermarkets plc M+S - MRW 9:10 1 55 4/3/2012
99 Koninklijke Ahold NV : Casino Guichard Perrachon SA AHL - CO 47:7 1 60 4/3/2012
63 Delhaize Group : Casino Guichard Perrachon SA DEL - CO 10:7 1 65 4/3/2012
171 Koninklijke Ahold NV : Carrefour SA AHL - CA 2:1 1 45 4/3/2012
Contract Codes
Credit Method
% Credit (per leg)
Date Effective From
224 Morrison WM Supermarkets plc : Delhaize Group MRW - DEL 10:7 1 35 4/3/2012
207 Sainsbury (J) : Delhaize Group SAN - DEL 10:7 1 40 4/3/2012
221 Marks & Spencer Group plc : Delhaize Group M+S - DEL 10:7 1 35 4/3/2012
225 Koninklijke Ahold NV : Morrison WM Supermarkets plc AHL - MRW 10:3 1 35 4/3/2012
208 Tesco plc : Delhaize Group TCO - DEL 10:9 1 40 4/3/2012
247 Tesco plc : Koninklijke Ahold NV TCO - AHL 1:5 1 30 4/3/2012
226 Carrefour SA : Morrison WM Supermarkets plc CA - MRW 5:3 1 35 4/3/2012
271 Sainsbury (J) : Koninklijke Ahold NV SAN - AHL 4:13 1 25 4/3/2012
272 Marks & Spencer Group plc : Koninklijke Ahold NV M+S - AHL 7:25 1 25 4/3/2012
248 Marks & Spencer Group plc : Casino Guichard Perrachon SA M+S - CO 2:1 1 30 4/3/2012
273 Morrison WM Supermarkets plc : Casino Guichard Perrachon SA MRW - CO 2:1 1 25 4/3/2012
274 Tesco plc : Carrefour SA TCO - CA 1:2 1 25 4/3/2012
227 Tesco plc : Casino Guichard Perrachon SA TCO - CO 5:3 1 35 4/3/2012
275 Sainsbury (J) : Carrefour SA SAN - CA 3:5 1 25 4/3/2012
276 Marks & Spencer Group plc : Carrefour SA M+S - CA 9:16 1 25 4/3/2012
249 Sainsbury (J) : Casino Guichard Perrachon SA SAN - CO 2:1 1 30 4/3/2012
Gambling150 Ladbrokes : William Hill plc LDB - WHL 5:3 1 50 4/3/2012
Gas Distribution39 GDF Suez : Gas Natural SDG SA GD - GAS 8:13 1 70 4/3/2012
General Mining1 BHP Billiton plc : Rio Tinto plc BLT - RTZ 5:3 1 85 4/3/2012
2 BHP Billiton plc : Anglo American plc BLT - AHA 5:4 1 85 4/3/2012
22 Rio Tinto plc : Anglo American plc RTZ - AHA 7:10 1 75 4/3/2012
23 Kazakhmys plc : Eurasian Natural Resources KA - EUN 2:3 1 75 4/3/2012
24 Antofagasta : Kazakhmys plc ANT - KA 4:5 1 75 4/3/2012
25 Antofagasta : Eurasian Natural Resources ANT - EUN 1:2 1 75 4/3/2012
172 MMC Norilsk Nickel : Xstrata MNN - XTA 5:1 1 45 4/3/2012
Life Insurance7 ING Groep NV : Aggreko ING - AGN 3:5 1 80 4/3/2012
8 Legal & General Group plc : Old Mutual LGE - OML 9:10 1 80 4/3/2012
40 Prudential plc : Aviva plc PRU - CUA 1:2 1 70 4/3/2012
64 AXA SA : Assicurazioni Generali SpA AXA - GEN 10:9 1 65 4/3/2012
151 Aggreko : Old Mutual AGN - OML 10:3 1 50 4/3/2012
250 Aviva plc : CNP Assurances CUA - CNP 3:10 1 30 4/3/2012
100 Allianz AG : Swiss Reinsurance ALV - RUK 3:5 1 60 4/3/2012
251 Old Mutual : CNP Assurances OML - CNP 9:10 1 30 4/3/2012
252 Prudential plc : CNP Assurances PRU - CNP 5:28 1 30 4/3/2012
152 ING Groep NV : Old Mutual ING - OML 2:1 1 50 4/3/2012
209 Allianz AG : RSA Insurance Group ALV - RYL 3:20 1 40 4/3/2012
65 Aggreko : CNP Assurances AGN - CNP 17:5 1 65 4/3/2012
41 ING Groep NV : CNP Assurances ING - CNP 2:1 1 70 4/3/2012
267 RSA Insurance Group : Swiss Reinsurance RYL - RUK 10:3 1 25 4/3/2012
153 Aggreko : Legal & General Group plc AGN - LGE 19:6 1 50 4/3/2012
253 RSA Insurance Group : Assicurazioni Generali SpA RYL - GEN 10:9 1 30 4/3/2012
154 ING Groep NV : Legal & General Group plc ING - LGE 5:3 1 50 4/3/2012
210 AXA SA : RSA Insurance Group AXA - RYL 10:9 1 40 4/3/2012
211 Muenchener Rueckversicherungs AG : RSA Insurance Group MUV - RYL 9:74 1 40 4/3/2012
184 AXA SA : Swiss Reinsurance AXA - RUK 5:1 1 45 4/3/2012
66 AXA SA : Muenchener Rueckversicherungs AG AXA - MUV 26:3 1 65 4/3/2012
42 Muenchener Rueckversicherungs AG : Assicurazioni Generali SpA MUV - GEN 3:23 1 70 4/3/2012
9 Aviva plc : Legal & General Group plc CUA - LGE 3:10 1 80 4/3/2012
277 Legal & General Group plc : CNP Assurances LGE - CNP 9:10 1 25 4/3/2012
26 Prudential plc : Legal & General Group plc PRU - LGE 1:6 1 75 4/3/2012
67 Muenchener Rueckversicherungs AG : Swiss Reinsurance MUV - RUK 1:2 1 65 4/3/2012
Non Life Insurance43 Allianz AG : Assicurazioni Generali SpA ALV - GEN 1:5 1 70 4/3/2012
68 Swiss Reinsurance : Assicurazioni Generali SpA RUK - GEN 3:11 1 65 4/3/2012
27 Allianz AG : AXA SA ALV - AXA 1:7 1 75 4/3/2012
10 Allianz AG : Muenchener Rueckversicherungs AG ALV - MUV 5:4 1 80 4/3/2012
Oil & Gas3 Royal Dutch Shell plc B : Royal Dutch Shell plc A SHL - SHA 1:1 1 85 4/3/2012
11 Total SA : ENI SpA PF - ENI 9:22 1 80 4/3/2012
44 Royal Dutch Petroleum : Total RD - PF 10:7 1 70 4/3/2012
69 Royal Dutch Shell plc A Euro : ENI SpA RD - ENI 3:5 1 65 4/3/2012
45 Repsol YPF SA : ENI SpA REP - ENI 7:10 1 70 4/3/2012
70 Repsol YPF SA : Total SA REP - PF 5:3 1 65 4/3/2012
123 Royal Dutch Shell plc A Euro : Petroplus Holdings AG RD - PPH 7:32 1 55 4/3/2012
101 Royal Dutch Shell plc A Euro : Repsol YPF SA RD - REP 4:5 1 60 4/3/2012
155 Royal Dutch Shell plc A Euro : OAO Gazprom RD - OG 6:13 1 50 4/3/2012
145 ENI SpA : OAO Gazprom ENI - OG 7:9 1 55 4/3/2012
212 Royal Dutch Petroleum : BP Amoco plc RD - BP 5:3 1 40 4/3/2012
124 Total SA : OAO Gazprom PF - OG 7:22 1 55 4/3/2012
228 Petroplus Holdings AG : OAO Gazprom PPH - OG 2:1 1 35 4/3/2012
199 Total SA : Petroplus Holdings AG PF - PPH 8:53 1 40 4/3/2012
229 Repsol YPF SA : Petroplus Holdings AG REP - PPH 7:27 1 35 4/3/2012
185 ENI SpA : Royal Dutch Shell plc A ENI - SHA 29:2 1 45 4/3/2012
213 Total Fina Elf SA : BP Amoco plc PF - BP 5:4 1 40 4/3/2012
156 Repsol YPF SA : OAO Gazprom REP - OG 1:2 1 50 4/3/2012
254 ENI SpA : Petroplus Holdings AG ENI - PPH 2:5 1 30 4/3/2012
46 Surgutneftegaz : ENI SpA GG - ENI 5:3 1 70 4/3/2012
300 Centrica plc : Gas Natural SDG SA CTR - GAS 2:5 1 0 4/3/2012
255 Repsol YPF SA : Royal Dutch Shell plc A REP - SHA 92:9 1 30 4/3/2012
125 Repsol YPF SA : Surgutneftegaz REP - GG 2:5 1 55 4/3/2012
256 Royal Dutch Shell plc B : ENI SpA SHL - ENI 6:89 1 30 4/3/2012
126 BP plc : Royal Dutch Shell plc B BP - SHL 5:1 1 55 4/3/2012
127 BP plc : Royal Dutch Shell plc A BP - SHA 5:1 1 55 4/3/2012
102 Royal Dutch Shell plc A Euro : Surgutneftegaz RD - GG 3:10 1 60 4/3/2012
278 Centrica plc : GDF Suez CTR - GD 7:10 1 25 4/3/2012
214 Surgutneftegaz : Petroplus Holdings AG GG - PPH 3:5 1 40 4/3/2012
71 Total SA : Surgutneftegaz PF - GG 4:17 1 65 4/3/2012
173 Lukoil OAO : BG Group plc LK - BGG 5:2 1 45 4/3/2012
186 Lukoil OAO : Cairn Energy LK - CNE 1:2 1 45 4/3/2012
47 Lukoil OAO : OJSC OC Rosneft LK - RO 1:8 1 70 4/3/2012
28 Lukoil OAO : Gazprom Neft LK - GZ 8:21 1 75 4/3/2012
48 Lukoil OAO : Surgutneftegaz LK - GG 1:5 1 70 4/3/2012
49 Lukoil OAO : OAO Gazprom LK - OG 1:5 1 70 4/3/2012
128 Lukoil OAO : Royal Dutch Shell plc A Euro LK - RD 2:5 1 55 4/3/2012
200 Lukoil OAO : Royal Dutch Shell plc B LK - SHL 35:9 1 40 4/3/2012
174 Lukoil OAO : Royal Dutch Shell plc A LK - SHA 10:3 1 45 4/3/2012
72 Lukoil OAO : Total SA LK - PF 3:5 1 65 4/3/2012
157 Lukoil OAO : Repsol YPF SA LK - REP 2:5 1 50 4/3/2012
175 Petroplus Holdings AG : Gas Natural SDG SA PPH - GAS 19:8 1 45 4/3/2012
158 Petroplus Holdings AG : GDF Suez PPH - GD 10:3 1 50 4/3/2012
29 Gazprom Neft : Surgutneftegaz GZ - GG 2:5 1 75 4/3/2012
30 Gazprom Neft : OAO Gazprom GZ - OG 1:2 1 75 4/3/2012
50 Gazprom Neft : ENI SpA GZ - ENI 7:10 1 70 4/3/2012
31 Gazprom Neft : Royal Dutch Shell plc A Euro GZ - RD 10:9 1 75 4/3/2012
73 Gazprom Neft : Royal Dutch Shell plc B GZ - SHL 51:5 1 65 4/3/2012
74 Gazprom Neft : Royal Dutch Shell plc A GZ - SHA 10:1 1 65 4/3/2012
103 Gazprom Neft : BP plc GZ - BP 2:1 1 60 4/3/2012
32 Gazprom Neft : Total SA GZ - PF 5:3 1 75 4/3/2012
75 Gazprom Neft : Repsol YPF SA GZ - REP 1:1 1 65 4/3/2012
76 Gazprom Neft : BG Group plc GZ - BGG 37:6 1 65 4/3/2012
51 Gazprom Neft : Cairn Energy GZ - CNE 10:7 1 70 4/3/2012
33 Gazprom Neft : OJSC OC Rosneft GZ - RO 3:10 1 75 4/3/2012
77 Surgutneftegaz : Royal Dutch Shell plc B GG - SHL 26:1 1 65 4/3/2012
78 Surgutneftegaz : Royal Dutch Shell plc A GG - SHA 76:3 1 65 4/3/2012
79 Surgutneftegaz : BG Group plc GG - BGG 78:5 1 65 4/3/2012
80 Surgutneftegaz : Cairn Energy GG - CNE 7:2 1 65 4/3/2012
34 Surgutneftegaz : OJSC OC Rosneft GG - RO 4:5 1 75 4/3/2012
146 OAO Gazprom : BG Group plc OG - BGG 23:2 1 55 4/3/2012
159 OAO Gazprom : Cairn Energy OG - CNE 13:5 1 50 4/3/2012
12 OAO Gazprom : OJSC OC Rosneft OG - RO 3:5 1 80 4/3/2012
104 ENI SpA : OJSC OC Rosneft ENI - RO 1:2 1 60 4/3/2012
201 Royal Dutch Shell plc A Euro : Royal Dutch Shell plc B RD - SHL 44:5 1 40 4/3/2012
202 Royal Dutch Shell plc A Euro : Royal Dutch Shell plc A RD - SHA 69:8 1 40 4/3/2012
176 Royal Dutch Shell plc A Euro : BG Group plc RD - BGG 16:3 1 45 4/3/2012
187 Royal Dutch Shell plc A Euro : Cairn Energy RD - CNE 6:5 1 45 4/3/2012
160 Royal Dutch Shell plc A Euro : OJSC OC Rosneft RD - RO 3:10 1 50 4/3/2012
257 Royal Dutch Shell plc B : Total SA SHL - PF 1:5 1 30 4/3/2012
301 Royal Dutch Shell plc B : Repsol YPF SA SHL - REP 7:73 1 0 4/3/2012
81 Royal Dutch Shell plc B : BG Group plc SHL - BGG 3:5 1 65 4/3/2012
177 Royal Dutch Shell plc B : Cairn Energy SHL - CNE 3:22 1 45 4/3/2012
302 Royal Dutch Shell plc B : OJSC OC Rosneft SHL - RO 31:1 1 0 4/3/2012
279 Royal Dutch Shell plc A : Total SA SHA - PF 1:6 1 25 4/3/2012
82 Royal Dutch Shell plc A : BG Group plc SHA - BGG 3:5 1 65 4/3/2012
178 Royal Dutch Shell plc A : Cairn Energy SHA - CNE 5:36 1 45 4/3/2012
303 Royal Dutch Shell plc A : OJSC OC Rosneft SHA - RO 2:61 1 0 4/3/2012
304 BP plc : OJSC OC Rosneft BP - RO 8:49 1 0 4/3/2012
188 Total SA : BG Group plc PF - BGG 3:11 1 45 4/3/2012
105 Total SA : OJSC OC Rosneft PF - RO 8:41 1 60 4/3/2012
230 Repsol YPF SA : BG Group plc REP - BGG 5:1 1 35 4/3/2012
258 Repsol YPF SA : Cairn Energy REP - CNE 10:7 1 30 4/3/2012
161 Repsol YPF SA : OJSC OC Rosneft REP - RO 1:3 1 50 4/3/2012
129 BG Group plc : Cairn Energy BGG - CNE 7:31 1 55 4/3/2012
280 BG Group plc : OJSC OC Rosneft BGG - RO 5:94 1 25 4/3/2012
281 Cairn Energy : OJSC OC Rosneft CNE - RO 17:4 1 25 4/3/2012
Pharmaceuticals13 Land Securities Group plc : Hammerson LS - HMS 9:16 1 80 4/3/2012
130 Novartis AG : Pfizer NOV - PFE 2:5 1 55 4/3/2012
83 Pfizer : Merck & Co Inc PFE - MRK 5:3 1 65 4/3/2012
231 Sanofi-Aventis : Shire Pharmaceuticals plc SSL - SHP 4:1 1 35 4/3/2012
106 Pfizer : Johnson & Johnson PFE - JNX 10:3 1 60 4/3/2012
52 Land Securities Group plc : British Land Co LS - BLN 7:10 1 70 4/3/2012
131 GlaxoSmithKline plc : Shire Pharmaceuticals plc GXO - SHP 10:7 1 55 4/3/2012
132 Unilever NV : Sanofi-Aventis UNA - SSL 2:1 1 55 4/3/2012
14 British Land Co : Hammerson BLN - HMS 7:9 1 80 4/3/2012
84 British Land Co : Great Portland Estates BLN - GPO 7:10 1 65 4/3/2012
15 Great Portland Estates : Hammerson GPO - HMS 10:9 1 80 4/3/2012
85 Land Securities Group plc : Great Portland Estates LS - GPO 1:2 1 65 4/3/2012
232 Roche GS : Shire Pharmaceuticals plc ROG - SHP 10:7 1 35 4/3/2012
203 Novartis AG : Shire Pharmaceuticals plc NOV - SHP 5:1 1 40 4/3/2012
162 Johnson & Johnson : Shire Pharmaceuticals plc JNX - SHP 10:3 1 50 4/3/2012
179 Unilever NV : GlaxoSmithKline plc UNA - GXO 17:3 1 45 4/3/2012
163 Novartis AG : Merck & Co Inc NOV - MRK 7:10 1 50 4/3/2012
86 Johnson & Johnson : Merck & Co Inc JNX - MRK 1:2 1 65 4/3/2012
282 GlaxoSmithKline plc : Sanofi-Aventis GXO - SSL 3:8 1 25 4/3/2012
215 Novartis AG : Johnson & Johnson NOV - JNX 5:4 1 40 4/3/2012
107 AstraZeneca plc : Shire Pharmaceuticals plc AZA - SHP 7:10 1 60 4/3/2012
216 Sanofi-Aventis : Pfizer SSL - PFE 2:5 1 40 4/3/2012
189 Unilever NV : Pfizer UNA - PFE 4:5 1 45 4/3/2012
259 Akzo Nobel NV : GlaxoSmithKline plc AKZ - GXO 34:9 1 30 4/3/2012
233 Sanofi-Aventis : Merck & Co Inc SSL - MRK 2:3 1 35 4/3/2012
305 GlaxoSmithKline plc : Novartis AG GXO - NOV 4:11 1 0 4/3/2012
108 Astra Zeneca plc : GlaxoSmithKline plc AZA - GXO 1:2 1 60 4/3/2012
306 GlaxoSmithKline plc : Johnson & Johnson GXO - JNX 1:2 1 0 4/3/2012
190 Sanofi-Aventis : Novartis AG SSL - NOV 1:1 1 45 4/3/2012
191 Unilever NV : Novartis AG UNA - NOV 2:1 1 45 4/3/2012
164 Sanofi-Aventis : Roche GS SSL - ROG 14:5 1 50 4/3/2012
133 Novartis AG : Roche GS NOV - ROG 10:3 1 55 4/3/2012
307 GlaxoSmithKline plc : Roche GS GXO - ROG 1:1 1 0 4/3/2012
180 Roche GS : Johnson & Johnson ROG - JNX 2:5 1 45 4/3/2012
53 Land Securities Group plc : Derwent London plc LS - DWV 5:2 1 70 4/3/2012
283 AstraZeneca plc : Sanofi-Aventis AZA - SSL 3:17 1 25 4/3/2012
192 Unilever NV : Merck & Co Inc UNA - MRK 10:7 1 45 4/3/2012
234 Unilever NV : Johnson & Johnson UNA - JNX 5:2 1 35 4/3/2012
308 AstraZeneca plc : Roche GS AZA - ROG 1:2 1 0 4/3/2012
165 Roche GS : Merck & Co Inc ROG - MRK 5:21 1 50 4/3/2012
260 Akzo Nobel NV : Astra Zeneca plc AKZ - AZA 8:1 1 30 4/3/2012
235 Unilever NV : Roche GS UNA - ROG 6:1 1 35 4/3/2012
87 British Land Co : Derwent London plc BLN - DWV 10:3 1 65 4/3/2012
35 Hammerson : Derwent London plc HMS - DWV 5:1 1 75 4/3/2012
284 Sanofi-Aventis : Johnson & Johnson SSL - JNX 5:4 1 25 4/3/2012
54 Great Portland Estates : Derwent London plc GPO - DWV 9:2 1 70 4/3/2012
285 AstraZeneca plc : Novartis AG AZA - NOV 1:5 1 25 4/3/2012
286 AstraZeneca plc : Johnson & Johnson AZA - JNX 1:5 1 25 4/3/2012
Semiconducters109 Infineon Technologies AG : STMicroelectronics NV IF - STM 4:5 1 60 4/3/2012
193 ASML Holding NV : ARM Holdings ASL - ARM 2:1 1 45 4/3/2012
166 ASML Holding NV : Intel Corporation ASL - INT 4:5 1 50 4/3/2012
236 Infineon Technologies AG : ARM Holdings IF - ARM 75:8 1 35 4/3/2012
237 Intel Corporation : STMicroelectronics NV INT - STM 1:5 1 35 4/3/2012
261 ARM Holdings : Intel Corporation ARM - INT 2:5 1 30 4/3/2012
134 Infineon Technologies AG : ASML Holding NV IF - ASL 9:2 1 55 4/3/2012
287 ARM Holdings : STMicroelectronics NV ARM - STM 3:35 1 25 4/3/2012
288 Infineon Technologies AG : Intel Corporation IF - INT 26:7 1 25 4/3/2012
Speciality Chemicals88 Akzo Nobel NV : Koninklijke DSM NV AKZ - DSM 1:1 1 65 4/3/2012
89 Akzo Nobel NV : Bayer AG AKZ - BYR 9:7 1 65 4/3/2012
110 Koninklijke DSM NV : Bayer AG DSM - BYR 5:4 1 60 4/3/2012
Telecommunications Equipment309 Ericsson Telefona L M ser. B : Nokia OYJ ERC - NOK 5:84 1 0 4/3/2012
135 Alcatel SA : Siemens AG CGE - SIE 73:2 1 55 4/3/2012
136 Nokia OYJ : Alcatel SA NOK - CGE 1:2 1 55 4/3/2012
310 Ericsson Telefona L M ser. B : Siemens AG ERC - SIE 10:9 1 0 4/3/2012
194 Nokia OYJ : Siemens AG NOK - SIE 71:4 1 45 4/3/2012
262 Ericsson Telefona L M ser. B : Alcatel SA ERC - CGE 1:35 1 30 4/3/2012
Telecommunications Services
16 Telefonica SA : France Telecom SA TEF - FTE 9:10 1 80 4/3/2012
90 Telefonica SA : Telecom Italia SpA TEF - TI 1:17 1 65 4/3/2012
137 AT&T Inc : Colt Telecom Group SBX - CTM 2:5 1 55 4/3/2012
195 Swisscom AG : Colt Telecom Group SCM - CTM 1:35 1 45 4/3/2012
138 France Telecom SA : Telekom Austria AG FTE - TAG 9:14 1 55 4/3/2012
217 AT&T Inc : Telekom Austria AG SBX - TAG 3:10 1 40 4/3/2012
139 France Telecom SA : Royal KPN NV FTE - KPN 10:7 1 55 4/3/2012
91 BT Group plc : Vodafone Group plc BTG - VOD 9:10 1 65 4/3/2012
55 France Telecom SA : Telecom Italia SpA FTE - TI 1:15 1 70 4/3/2012
167 Telefonica SA : Royal KPN NV TEF - KPN 2:3 1 50 4/3/2012
196 AT&T Inc : Swisscom AG SBX - SCM 37:3 1 45 4/3/2012
56 Deutsche Telekom AG : France Telecom SA DTE - FTE 10:7 1 70 4/3/2012
263 France Telecom SA : Vodafone plc FTE - VOD 4:3 1 30 4/3/2012
140 Vodafone Group plc : Colt Telecom Group VOD - CTM 3:5 1 55 4/3/2012
289 France Telecom SA : AT&T Inc FTE - SBX 5:2 1 25 4/3/2012
238 France Telecom SA : Colt Telecom Group FTE - CTM 4:5 1 35 4/3/2012
218 BT Group plc : AT&T Inc BTG - SBX 5:3 1 40 4/3/2012
141 Royal KPN NV : Deutsche Telekom AG KPN - DTE 1:1 1 55 4/3/2012
142 Telecom Italia SpA : Telekom Austria AG TI - TAG 39:4 1 55 4/3/2012
239 Deutsche Telekom AG : BT Group plc DTE - BTG 2:1 1 35 4/3/2012
290 Vodafone Group plc : AT&T Inc VOD - SBX 12:7 1 25 4/3/2012
291 Deutsche Telekom AG : AT&T Inc DTE - SBX 22:7 1 25 4/3/2012
311 BT Group plc : France Telecom SA BTG - FTE 7:10 1 0 4/3/2012
168 Deutsche Telekom : Telecom Italia DTE - TI 1:11 1 50 4/3/2012
143 Telefonica SA : Telekom Austria AG TEF - TAG 3:5 1 55 4/3/2012
219 Telefonica SA : BT Group plc TEF - BTG 5:4 1 40 4/3/2012
111 Telefonica SA : Deutsche Telekom AG TEF - DTE 3:5 1 60 4/3/2012
240 Deutsche Telekom AG : Vodafone plc DTE - VOD 11:6 1 35 4/3/2012
292 Vodafone Group plc : Swisscom AG VOD - SCM 21:1 1 25 4/3/2012
197 Royal KPN NV : Telecom Italia SpA KPN - TI 7:79 1 45 4/3/2012
169 Deutsche Telekom AG : Telekom Austria AG DTE - TAG 9:10 1 50 4/3/2012
112 BT Group plc : Colt Telecom Group BTG - CTM 9:16 1 60 4/3/2012
264 Royal KPN NV : AT&T Inc KPN - SBX 10:3 1 30 4/3/2012
241 Royal KPN NV : BT Group plc KPN - BTG 2:1 1 35 4/3/2012
265 France Telecom SA : Swisscom AG FTE - SCM 28:1 1 30 4/3/2012
242 Telefonica SA : Swisscom AG TEF - SCM 25:1 1 35 4/3/2012
170 Royal KPN NV : Telekom Austria AG KPN - TAG 9:10 1 50 4/3/2012
293 Telefonica SA : AT&T Inc TEF - SBX 2:1 1 25 4/3/2012
220 Telefonica SA : Colt Telecom Group TEF - CTM 7:10 1 40 4/3/2012
312 Vodafone Group plc : Royal KPN NV VOD - KPN 3:5 1 0 4/3/2012
243 BT Group plc : Swisscom AG BTG - SCM 39:2 1 35 4/3/2012
294 Vodafone Group plc : Telefonica SA VOD - TEF 4:5 1 25 4/3/2012
204 Deutsche Telekom AG : Swisscom AG DTE - SCM 39:1 1 40 4/3/2012
205 Royal KPN NV : Swisscom AG KPN - SCM 38:1 1 40 4/3/2012
266 Telecom Italia SpA : AT&T Inc TI - SBX 35:1 1 30 4/3/2012
ATTACHMENT I
LONDON SPAN PARAMETERS FOR COMMODITY PRODUCTS
(per lot) (per lot) %
Contract Scanning Risk Intermonth Spread Charge Spot Margin Levied On
COCOA* CCO GBP 1,200 GBP 210 15 GBP1 - - 8/2/2012
ROBUSTA COFFEE* RC USD 1,400 USD 600 20 USD1 - - 5/28/2012
WHITE SUGAR* WSG USD 1,800 USD 745 12 USD1 - - 5/28/2012
RAW SUGAR RSU USD 1,456 USD 385 20 USD1 - - 8/21/2008
WHEAT** WHT GBP 1,300
Front-Front GBP 425
25 GBP1 - - 8/2/2012Front-Back GBP 485
Back-Back GBP 225
*These rates apply to Commodity Bclear Swaps and Options
Contract Code
Volatility Change
Short Option Minimum Charge
Spot Margin Top Up Rate
Date Effective From
**Any month up to and including Jul 13 is regarded as a Front Tier. Any month afterwards is regarded as a Back Tier
ATTACHMENT K
INTER-CONTRACT SPREAD CREDITS FOR COMMODITY PRODUCTS
Priority Contract/Spread*
1 Raw Sugar : White Sugar RSU - WSG 1:1 1 45 25-Nov-08
Contract Codes
Delta Ratio
Credit Method
% Credit (per leg)
Date Effective From
LONDON SPAN PARAMETERS FOR CDS INTER-MONTH SPREAD CHARGES
Itraxx Europe Itraxx Europe Hi Vol Itraxx Europe Crossover
iTraxx Europe Series 8 (I08) Itraxx Europe Hi Vol Series 8 (H08) iTraxx Europe Crossover Series 8 (R08)
Inter-Month Spread Charges Inter-Month Spread Charges Inter-Month Spread Charges
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
1 3 yr 1 376 3 512 5 802 6 1 3 yr 1 612 3 1215 5 1787 6 1 3 yr 1 2226 2 2428 3 4126 6
2 5 yr 2 307 1 365 2 2 5 yr 2 506 1 858 4 2 5 yr 2 2947 4 3792 5
3 7 yr 3 438 4 3 7 yr 3 572 2 3 7 yr 3 1561 1
4 10 yr 4 4 10 yr 4 4 10 yr 4
iTraxx Europe Series 9 (I09) Itraxx Europe Hi Vol Series 9 (H09) iTraxx Europe Crossover Series 9 (R09)
Inter-Month Spread Charges Inter-Month Spread Charges Inter-Month Spread Charges
MaturityTiers 1
Prio
rity
2
Prio
rity
3P
riorit
y4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
1 3 yr 1 266 2 490 5 762 6 1 3 yr 1 765 3 1199 5 2104 6 1 3 yr 1 1498 4 2594 5 3040 6
2 5 yr 2 218 1 457 3 2 5 yr 2 625 1 1161 4 2 5 yr 2 1030 1 1494 3
3 7 yr 3 457 4 3 7 yr 3 653 2 3 7 yr 3 1185 2
4 10 yr 4 4 10 yr 4 4 10 yr 4
iTraxx Europe Series 10 (I10) Itraxx Europe Hi Vol Series 10 (H10) iTraxx Europe Crossover Series 10 (R10)
Inter-Month Spread Charges Inter-Month Spread Charges Inter-Month Spread Charges
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
1 3 yr 1 377 2 513 4 849 6 1 3 yr 1 968 3 1094 4 1858 6 1 3 yr 1 1402 2 1808 3 3602 6
2 5 yr 2 342 1 540 5 2 5 yr 2 930 2 1561 5 2 5 yr 2 1311 1 2026 4
3 7 yr 3 386 3 3 7 yr 3 892 1 3 7 yr 3 2307 5
4 10 yr 4 4 10 yr 4 4 10 yr 4
iTraxx Europe Series 11 (I11) Itraxx Europe Hi Vol Series 11 (H11) iTraxx Europe Crossover Series 11 (R11)
Inter-Month Spread Charges Inter-Month Spread Charges Inter-Month Spread Charges
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
MaturityTiers 1
Prio
rity
2
Prio
rity
3
Prio
rity
4
Prio
rity
1 3 yr 1 284 3 442 5 479 6 1 3 yr 1 518 1 629 4 1169 6 1 3 yr 1 1090 4 901 1 1590 6
2 5 yr 2 189 1 416 4 2 5 yr 2 566 2 751 5 2 5 yr 2 1001 2 1272 5
3 7 yr 3 250 2 3 7 yr 3 584 3 3 7 yr 3 1018 3
4 10 yr 4 4 10 yr 4 4 10 yr 4
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
Tier Number
INTER-CONTRACT SPREAD CREDITS/CHARGES Liffe CDS Contracts
Priority Contract/Spread Delta Ratio
1 iTraxx Europe High Vol 8 : iTraxx Europe High Vol 9 H08 : H09 1:1 70 14-Jul-092 iTraxx Europe Hi Vol 11 : iTraxx Europe Crossover 11 H11 : R11 1:1 70 14-Jul-093 iTraxx Europe High Vol 9 : iTraxx Europe High Vol 10 H09 : H10 1:1 65 14-Jul-094 iTraxx Europe High Vol 8 : iTraxx Europe High Vol 10 H08 : H10 1:1 65 14-Jul-095 iTraxx Europe Crossover 9 : iTraxx Europe Crossover 10 R09 : R10 1:1 65 14-Jul-096 iTraxx Europe Hi Vol 8 : iTraxx Europe Hi Vol 11 H08 : H11 1:1 65 14-Jul-097 iTraxx Europe 9 : iTraxx Europe Hi Vol 11 I09 : H11 1:1 65 14-Jul-098 iTraxx Europe 11 : iTraxx Europe Hi Vol 11 I11 : H11 1:1 65 14-Jul-099 iTraxx Europe Crossover 10 : iTraxx Europe Crossover 11 R10 : R11 1:1 60 14-Jul-09
10 iTraxx Europe 9 : iTraxx Europe iTraxx Europe Crossover 11 I09 : R11 1:1 60 14-Jul-0911 iTraxx Europe Crossover 9 : iTraxx Europe Crossover 11 R09 : R11 1:1 60 14-Jul-0912 iTraxx Europe 11 : iTraxx Europe Crossover 11 I11 : R11 1:1 60 14-Jul-0913 iTraxx Europe Crossover 9 : iTraxx Europe High Vol 9 R09 : H09 1:1 55 14-Jul-0914 iTraxx Europe Crossover 9 : iTraxx Europe High Vol 10 R09 : H10 1:1 55 14-Jul-0915 iTraxx Europe Crossover 9 : iTraxx Europe Hi Vol 11 R09 : H11 1:1 55 14-Jul-0916 iTraxx Europe Crossover 8 : iTraxx Europe Crossover 11 R08 : R11 1:1 55 14-Jul-0917 iTraxx Europe Crossover 8 : iTraxx Europe Crossover 9 R08 : R09 1:1 50 14-Jul-0918 iTraxx Europe Crossover 10 : iTraxx Europe High Vol 9 R10 : H09 1:1 50 14-Jul-0919 iTraxx Europe Crossover 9 : iTraxx Europe High Vol 8 R09 : H08 1:1 50 14-Jul-0920 iTraxx Europe Crossover 10 : iTraxx Europe High Vol 8 R10 : H08 1:1 50 14-Jul-0921 iTraxx Europe 8 : iTraxx Europe Hi Vol 11 I08 : H11 1:1 50 14-Jul-0922 iTraxx Europe Crossover 10 : iTraxx Europe High Vol 10 R10 : H10 1:1 50 14-Jul-0923 iTraxx Europe Crossover 8 : iTraxx Europe Hi Vol 11 R08 : H11 1:1 50 14-Jul-0924 iTraxx Europe Hi Vol 9 : iTraxx Europe Crossover 11 H09 : R11 1:1 50 14-Jul-0925 iTraxx Europe Hi Vol 10 : iTraxx Europe Crossover 11 H10 : R11 1:1 50 14-Jul-0926 iTraxx Europe Hi Vol 8 : iTraxx Europe Crossover 11 H08 : R11 1:1 50 14-Jul-0927 iTraxx Europe 8 : iTraxx Europe iTraxx Europe Crossover 11 I08 : R11 1:1 50 14-Jul-0928 iTraxx Europe 10 : iTraxx Europe iTraxx Europe Crossover 11 I10 : R11 1:1 50 14-Jul-0929 iTraxx Europe Crossover 10 : iTraxx Europe 11 R10 : I11 1:1 50 14-Jul-0930 iTraxx Europe 9 : iTraxx Europe 11 I09 : I11 1:1 45 14-Jul-0931 iTraxx Europe 10 : iTraxx Europe 11 I10 : I11 1:1 45 14-Jul-0932 iTraxx Europe 8 : iTraxx Europe 10 I08 : I10 1:1 45 14-Jul-0933 iTraxx Europe 10 : iTraxx Europe Hi Vol 11 I10 : H11 1:1 45 14-Jul-0934 iTraxx Europe 8 : iTraxx Europe 9 I08 : I09 1:1 40 14-Jul-0935 iTraxx Europe Crossover 8 : iTraxx Europe Crossover 10 R08 : R10 1:1 40 14-Jul-0936 iTraxx Europe Hi Vol 9 : iTraxx Europe Hi Vol 11 H09 : H11 1:1 40 14-Jul-0937 iTraxx Europe Hi Vol 10 : iTraxx Europe Hi Vol 11 H10 : H11 1:1 40 14-Jul-0938 iTraxx Europe 8 : iTraxx Europe High Vol 10 I08 : H10 1:1 40 14-Jul-0939 iTraxx Europe 8 : iTraxx Europe 11 I08 : I11 1:1 40 14-Jul-0940 iTraxx Europe 9 : iTraxx Europe High Vol 9 I09 : H09 1:1 40 14-Jul-0941 iTraxx Europe 9 : iTraxx Europe Crossover 8 I09 : R08 1:1 40 14-Jul-0942 iTraxx Europe Crossover 10 : iTraxx Europe Hi Vol 11 R10 : H11 1:1 40 14-Jul-0943 iTraxx Europe 8 : iTraxx Europe Crossover 9 I08 : R09 1:1 40 14-Jul-0944 iTraxx Europe 9 : iTraxx Europe Crossover 9 I09 : R09 1:1 40 14-Jul-0945 iTraxx Europe 10 : iTraxx Europe Crossover 9 I10 : R09 1:1 40 14-Jul-0946 iTraxx Europe Crossover 9 : iTraxx Europe 11 R09 : I11 1:1 40 14-Jul-0947 iTraxx Europe Crossover 8 : iTraxx Europe High Vol 9 R08 : H09 1:1 35 14-Jul-0948 iTraxx Europe Crossover 8 : iTraxx Europe High Vol 8 R08 : H08 1:1 35 14-Jul-0949 iTraxx Europe 8 : iTraxx Europe High Vol 8 I08 : H08 1:1 35 14-Jul-0950 iTraxx Europe 9 : iTraxx Europe High Vol 8 I09 : H08 1:1 35 14-Jul-0951 iTraxx Europe 8 : iTraxx Europe Crossover 8 I08 : R08 1:1 35 14-Jul-0952 iTraxx Europe 9 : iTraxx Europe Crossover 10 I09 : R10 1:1 35 14-Jul-0953 iTraxx Europe 10 : iTraxx Europe Crossover 8 I10 : R08 1:1 35 14-Jul-0954 iTraxx Europe Crossover 8 : iTraxx Europe 11 R08 : I11 1:1 35 14-Jul-0955 iTraxx Europe Hi Vol 10 : iTraxx Europe 11 H10 : I11 1:1 30 14-Jul-0956 iTraxx Europe 10 : iTraxx Europe High Vol 10 I10 : H10 1:1 30 14-Jul-0957 iTraxx Europe Crossover 8 : iTraxx Europe High Vol 10 R08 : H10 1:1 30 14-Jul-0958 iTraxx Europe 9 : iTraxx Europe Europe 10 I09 : I10 1:1 25 14-Jul-0959 iTraxx Europe 8 : iTraxx Europe High Vol 9 I08 : H09 1:1 25 14-Jul-0960 iTraxx Europe 9 : iTraxx Europe High Vol 10 I09 : H10 1:1 25 14-Jul-0961 iTraxx Europe 8 : iTraxx Europe Crossover 10 I08 : R10 1:1 25 14-Jul-09
Contract Codes
% Credit (per leg)
Date Effective From