1. Introduction to €GCPlus
€GCPlus Taking secured financing to the next level Olivier de Schaetzen – Alexandre Gautier – Nicolas Vincent Euroclear Collateral Conference Tuesday, 13 May 2014

2. The partners and the product The post trade partners
Banque de France
As initial sponsor of the product
LCH.Clearnet
Is the largest clearing house for fixed income trades and repos in Europe.
More than €280 Bn of transactions managed on a daily basis on those transactions
Over 80 participants
Euroclear
Is the largest collateral house in Europe with over €850bn collateral managed daily for commercial banks, investment banks, central banks, corporate and asset managers
Over 250 participants

3. An innovative solution
Secured euro cash funding with standardized baskets of collateral
Anonymous trading with netting exposure by LCH.Clearnet SA, offering robust risk and default management
Embedded within a fully interoperable collateral system between Euroclear Bank and Euroclear France / ESES giving you access to a large counterparty base
Full re-use possible in triparty collateral management with market counterparties and Eurosystem
Optimum liquidity management
DVP settlement throughout the chain

4. €GCPlus Clearing participants
The value chain
€GCPlus Clearing participants
Electronic platforms
ICAP, MTS, Tullet Prebon
Trading
Anonymous cash-driven trading via e-platforms
Trading of two baskets covering a large set of ECB-eligible securities
LCH.Clearnet
Clearing
Intermediation of the CCP reducing the regulatory capital cost
Exposure netting at clearing level
AutoSelect
Euroclear Bank/ESES
Euroclear
Collateral Management /
Settlement custody
Automated collateral management provided by Euroclear in a truly interoperable collateral management environment
Full possibility of collateral re-use
Optimum liquidity management: DVP settlement throughout the chain
National Banks
(Banque de France...)
Central Bank
Refinancing with Eurosystem and, initially, with Banque de France
Expansion to other central banks is ongoing

5. Product features €GCPlus Repo rate Fixed Maximum term 367 days
Minimum term
Same day
Maximum forward start
10 days
Repo rate accrual convention
Exact/360
Repo interest paid
Return date
Minimum contract size
€1 million
Order books
BrokerTec
MTS
Tullett Prebon

6. Trading platforms Access to €GCPlus Trading platforms offer treasurers and repo desks
Anonymous trading
Open architecture
Order-driven marketplace with price transparency
Deep liquidity pool
Fully automated end-to-end post trade processing
Daily web reports (public & private) of trading data

7. LCH.Clearnet brings: LCH.Clearnet SA LCH.Clearnet SA guarantees
Register trades upon confirmation by the platform
Novation of trades and calculation of a Net position exposure per basket
Live reporting through the whole process
Robust risk management and low regulatory capital cost
LCH.Clearnet SA guarantees
The return of the collateral to the cash borrower
The reimbursement of the cash to the cash lender
The payment of the Triparty Repo Interest based upon the nominal value of the repo to the cash lender

8. Euroclear brings: Triparty interoperability
Cash borrowers will settle against LCH.Clearnet using their main collateral account, irrespective of the location of the counterparty’s collateral account
All transactions settle DVP
Substitutions are executed across the two settlement platforms
LCH.Clearnet SA
Collateral Management System (CMS)
4 scenarios for net settlement across
the two platforms
Euroclear Bank
ESES
Scenario 3 CG
LCH C CT
Scenario 1 CT
LCH C CG
Scenario 2
Scenario 4 8

9. Settlement (DVP) - Target2
€GCPlus trading day
Central European Time (CET)
< 6:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
18:30
Start of Day CCP
End of Day CCP
Trading platforms
Trading
LCH.Clearnet
Trade collection
Same Day
net positions
Next day
net position
Euroclear
collateral
Management
2:00
3:15
4:30
6:00
7:00
8:00
9:00
10:00
11:00
12:00
12:45
13:30
14:25
15:30
16:30
17:45
18:20
Euroclear
Bank
Settlement
Euroclear France
Settlement (DVP) - Target2
FoP
Daily Margin
Payment
Intraday Margin
Payment
LCH.Clearnet

10. Triparty intra-operability ESES foreign debt extension of scope
Collateral eligibility
Assets are ECB-eligible
Held by Euroclear Bank through ECB-eligible links
Relayed link between ESES and Euroclear Bank is ECB-eligible
Today
Belgium (NBB-SSS)
Euroclear Bank (XS)
France (EF)
Germany (CBF)
Italy (Monte Titoli)
The Netherlands (EN)
In 2014
Austria (OeKB)
Greece (BoG)
Ireland
Further
Finland (EFI)
Portugal (Interbolsa)
Spain (Iberclear)

11. Eligibility criteria be managed by Euroclear to ensure liquidity
Two liquid collateral baskets Baskets based on liquid income instruments eligible for Eurosystem’s monetary operations
Basket 1 – LCHC EURO-GCPLUS LCR EQUIVALENT XS
Basket 2 – LCHC EURO-GCPLUS ECB RESTRICTED XS
High Quality Liquid Assets
ECB liquidity classes L1A, L1B, L1C
Issuance rating higher than A- (govies) AA- (other)
Larger spectrum of ECB eligible assets
ECB liquidity classes L1A, L1B, L1C, L1D
Issuance rating higher than BBB-
Eligibility criteria be managed by Euroclear to ensure liquidity
Concentration limits
for optimum
diversification
LCH.Clearnet Risk
Management using
purpose-built credit
scoring tools

12. Margining Simulation of margin calculation Collateral Giver
Collateral Taker
100 million cash
105 million collateral
(5% Haircut)
Initial Margin:
Max (IM – HC,0)
HC: 5,025,662
IM calculation : 4,156,642
ACM + CPC+TRI
44, debit
Total Margin Requirement
100 million cash
105 million collateral
(5% Haircut)
Initial Margin
HC + IM
5,025,662 debit (HC)
4,156,642 debit (Vol.)
ACM + CPC+TRI
116, debit
Total Margin requirement
9,298, debit

13. Default Management Overview
Other Clearing Services
€GC+ Clearing Service
Minimum Deposit + Defaulter Margin
(Total Initial Margin + Triparty Interest Repo Margin + Concentration Risk Margin +Sovereign Risk Margin + Wrong Way Risk Margin)
Defaulter’s Mutualised Default Fund contribution
Up to 25% of EMIR/EBA minimum LCH.C SA Net Capital Requirement shared across all services
(amount & allocation methodology to be confirmed)
Non-defaulters mutualised €GC+ contribution
Defaulter Margin
Default Fund Replenishment/Assessment of €GC+ Default Fund
Funded Capital
LCH. Clearnet SA Capital
Service Continuity Assessment
Assessment/Service Continuity/Close-out
Loss distribution & close-out€ GC+ services

14. Integration within standard Triparty Collateral Management
All operations managed by AutoSelect
Collateral selection
Collateral movements
Margin management
Collateral optimisation
Optimum liquidity management
Access to all re-use functionalities
LCH.Clearnet SA
Collateral Management System (CMS)
Euroclear Bank
ESES
Scenario 3 CP CG
LCH C CT
BdF
Scenario 1 CP CT
LCH C CG
Scenario 2
Scenario 4

15. How to get started? Criteria
Membership
Criteria
Fixed Income membership criteria for LCH.Clearnet SA (e.g. Equity capital of €100mn for ICM)
Key Clearing Member requirements (LCH.Clearnet SA)
Contribution to the segregated default fund (EUR: 2.5mn min., depending on the size of activity)
Extension of existing membership
Triparty agreement with Euroclear and the selection of a reference CSD
Collateral management instructions processed under POA granted to LCH.Clearnet SA
End-to-end scripted testing
Register with one of the electronic trading platforms (MTS, ICAP, Tullet Prebon)

16. How to get started? Euroclear AutoSelect Participants account setup
Account structure
Euroclear AutoSelect Participants account setup
Taker and Giver accounts in Euroclear Bank or ESES, with pledge facility to BDF (ESES only)
‘Cross Taker’ dedicated account for Euroclear Bank participants to allow cross border instructions
LCH.Clearnet SA account setup in Euroclear Bank and in ESES
Taker, Giver, Cross Taker (EB only) accounts
Margin account in Target2 or a cash clearer
Default accounts and liquidation accounts

17. LCH.Clearnet SA process
Onboarding
LCH.Clearnet SA process
Euroclear process
Initiate the triparty €GCPlus subscription: contact your account manager
Complete €GCPlus testing forms: triparty testing account, connectivity forms
Sign the €GCPlus subscription form
Complete the collateral profile form (annexes) for EB or ESES and interoperability
Complete Italian tax certification documentation
Testing
Go Live
Initiate the membership process
Complete Main Application* file
Complete €GCPlus Configuration form
Submission by Credit Risk Management Committee (CRMC)
Testing
Approval by Credit Risk Management Committee (CRMC)
Sign and return all Membership Agreements and other required documentation
Go Live
* Main Application file is not applicable for existing clearing members

18. Why trading €GCPlus? Key benefits
Available through leading trading platforms
Robust CCP services and risk management by LCH.Clearnet SA
Fully embedded in Euroclear collateral management system
Full re-use capacity in triparty collateral management, including refinancing with Banque de France
Fully interoperable model between Euroclear Bank and Euroclear France giving you access to ALL Euroclear Bank and Euroclear France (ESES) counterparties
DVP settlement with real transfer of collateral
Optimum liquidity management

19. Contacts Company Contact details LCH.Clearnet
Nicolas Vincent, Head of Fixed Income +33 (0)
Nigel de Jong, Group Head of Fixed Income Client Management, Marketing & Sales +44 (0)
Philippe Scavizzi, Head of Business Development +33 (0)
Euroclear Bank
Olivier de Schaetzen, Product Sales Specialist
Your Relationship Manager, Commercial Division
MTS
Amanda Butavand
Gabriele Frediani
BrokerTec Europe
Dermot Doherty
Tullet Prebon
Graham Martin