Clearing Connectivity Standard (CCS) - Final Summary Report, Locked as of 3/15/13.

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1 Clearing Connectivity Standard (CCS) - Final Summary Report, Locked as of 3/15/13. This specification contains the proposed format for transferring OTC Clearing related account and margin information between Clearing Brokers and outsourced service providers. Current scope is IRS and CDS for LCH and CME only. Notes to coding / interpreting the CCS Summary Report CSV file: 1) Row Type : rows start with a single letter to identify what type of data they contain: c - > Comment: indicates that the row contains "comments", rather than data. Convenient when imported into a spreadsheet, ignore this row when parsing a file programmatically. Use of comments is optional. h - > Header: indicates that the row contains field names. Data items in rows under the header row must correspond to the sequence of field names laid out in the header row. d - > Data: indicates that the row contains recorded data corresponding to fields as defined in the Header row. Data records are repeated as needed and are terminated by a blank record or a new header. 2) The second column of each report identifies the type of information that each row contains, in order to distinguish between data sections. For example, SUMMARY HEADER and SUMMARY DATA indicate whether the information listed at right is a header or data row, and that it belongs to the Summary report. Marking rows in this manner makes them independent of the file context, and thus sections can be combined into as few or as many files as desired. 3) The third column of each report, "Row ", references columns where multi- row differentiating data may be found. Several columns may be indicated, separated by :, indicating multiple levels of sub groupings with subtotals. For example, "Client Account ID:Clearing House:Account Local " indicates rows with multiple local currencies held at multiple CCPs under the same account. Client Account ID, Sub Account, Clearing House and Account Local are typical candidates for subtotaling; while columns may be included or not according to client needs, note that an Account identifier is required. For examples, see the Sample Data tab of this workbook, or the Summary Report Sample Data.csv file. 4) The final section of the report entitled "TO BE SETTLED", contains fields that indicate expected payments. These fields are marked as optional because they are mutually exclusive and users may choose which ones to use based on client payment preference. There are three payment options, as follows, note that it is mandatory to select one:

2 a) Single net payment - this will be recorded in the "Total Daily Payment " column. See row 6 in the Sample Data tab. b) Two payments - this is for clients that want to send a net of IM, VM, and coupon/interest payments in the "Net IM/VM Payment " column, with a separate commissions payment in the "Commissions Payment " column. See row 5 in the Sample Data tab. c) Three payments - if the client wants to pay IM ("IM Payment " column), VM netted with coupon/interest payments ("Net VM Payment " column) and commissions ("Commissions Payment " column) separately. See row 4 in the Sample Data tab. Note that the "Other Payment" column can be used to send a separate additional miscellaneous payment with options b and c above. 5) Note that the can be applied to varying timing and/or frequencies for complete or partial feeds; such variations must be discussed and agreed between the parties. Field Name Format Description Notes HEADER Row Data description field that indicates what type of information each row contains, as well as which report the data corresponds to. For example, SUMMARY HEADER appears in the Summary Report, with subsequent lines labeled SUMMARY DATA. Indicates column order of nested data occurring in multiple lines, separated by ":". This provides a unique key for sub groupings and subtotal lines. Note that columns so indicated should contain "NET" on lines that contain the net of their values. As Of Date YYYY- MM- DD Close of business on cut off date This is to distinguish Summary type rows from Details & Positions rows and Daily Activity rows as per the full version of the CCS specification. For example, the Details & Positions Report, this would be DETAILS HEADER, followed by DETAILS DATA, etc. For more information, see note #2 on the Coversheet tab. For more information, see note #3 on the Coversheet tab. For examples, see the Sample Data tab of this workbook, or the Summary Report Sample Data.csv file. Report Date Clearing Broker Name Clearing Broker LEI YYYY- MM- DDTHH:MM:SSZ Date on which report was generated The name of the clearing firm Note that "T" indicates the start of the timestamp, and "Z" indicates that the timezone is GMT. All timestamps must be reported in GMT. iso17442

3 Client Name Client LEI Client Account Legal Name Client Account ID Client Account LEI Clearing House Account Group Account Local Account Base Reporting Account Conversion FX Rate Cash Paid/ Received Cash Paid/ Received IM Requirement [CH] Additional IM Requirement [CB] Total IM Requirement [CB] Total IM Balance Cash [CB] 254 characters 254 characters Enumerated values Name of the investment manager Account legal name at client (fund level) Account ID used by the client system and shared with custodian and the broker.; expected to be primary key until LEIs are available; this should be at the legal entity level Code to indicate that account information is specific to named Clearing House only (LCH/CME/ICE). "NET" indicates multiple CCPs and/or total Clearing Broker balances. A field used to further delineate subtotals, for example by product. "NET" indicates that the line represents net values across groups. Local currency for the account Base currency for the account Indicates whether reported figures are given in base or local currency unless otherwise specified (Base / Local) The FX rate used to convert Local to Account Base of settling payment of payment settling on As Of Date. This is optional and used to track payments that settled on the date of the report, and does not affect current margin calculations. Initial Margin required as of COB on As Of Date (Clearing House) Initial Margin required at close of As Of Date (Clearing Broker) Total Initial Margin requirement at COB on As Of Date (Clearing Broker) Total Initial Margin in Cash at COB on As Of Date (Clearing Broker) iso17442 iso17442 Account data may be reported in both base and local currency on separate lines.

4 Total IM Balance Non- Cash [CB] Total Initial Margin in Non- Cash at COB on As Of Date (Clearing Broker) Account Total IM Balance [CB] Total IM Cash and Non- cash Balance including Pending (Clearing Broker) Net Total Initial Margin Call [CB] Difference between Total IM Requirement [CB] and Account Total IM Balance [CB] Current MTM Exposure [CB] MTM Exposure at COB on As Of Date (Clearing Broker) Previous MTM Exposure [CB] Most recent previously calculated MTM exposure. VM Balance [CB] VM Balance as of COB on As Of Date (Clearing Broker) VM Call [CB] The difference between VM Current MTM Exposure and VM Total Balance including Pending (Clearing Broker) Daily PAI Daily PAI. (Report when netted against margin.) Interest Payment Numeric, 22, 7 Interest on IM and excess cash margin balances payment amount Interest Payment Interest currency Total Coupon Numeric, 22, 7 Coupon Payment : Coupons Payment are listed on Settlement Date Coupon Payment Coupon Payment Total Upfront Fee Total of trade upfront fees Total Clearing Broker Fee Total Clearing House Fee Clearing Broker Commission Payment Payment FX Conversion Rate Total of clearing broker fees Total of clearing house fees Clearing Broker Commission Payment for Settlements The FX rate used to convert Base to Payment

5 IM Payment IM Payment, equivalent to Net Total Initial Margin Call [CB], this field is to record payment Net VM Payment Net IM/VM Payment Net VM Payment, equivalent to VM Call [CB], net of Coupons, Fees, PAI, Interest and all other payments not listed separately in the To Be Settled section Net combined payment of CB and CH, IM and VM, as well as Coupons, Fees, PAI, Interest and all other payments not listed separately in the To Be Settled section Daily commissions payment, if paid separately Commissions Payment Other Payment Any related payment that is sent separately but not otherwise listed. Total Daily Payment Total Cashflow, if combined into one net payment, including all Margin Calls, Coupons, Fees, Commissions, PAI, Interest, etc. If any To Be Settled amounts are included, then the To Be Settled section must be filled in accordance with the clients' preferred number of payments: either one total payment, or multiple payments broken up as per the options at left. For more information, see note #4 on the Coversheet tab.