Cassa di Compensazione e Garanzia. Technical Manual - Clearing Reports for the NewMIC Market

Transcription

1 Cassa di Compensazione e Garanzia Technical Manual - Clearing Reports for the NewMIC Market April 03 rd, 2014

2 Contents INTRODUCTION 3 SEZIONE I Operations.4 RP-MTM1 NewMIC Contracts 4 RP-MTM2 NewMIC Gross and Net Exposures 5 SEZIONE II Collaterals 6 RP-MAM1 NewMIC Determination of the Collateral Value 7 RP-MA02 NewMIC Collateral 10 RP-MAM2 NewMIC Securities awaiting validation 11 RP-MAM3 NewMIC Securities in return 12 RP-MAM4 NewMIC Securities deposited/returned 13 RP-MAM5 NewMIC Securities deposited - Intraday 14 RP-MAM6 NewMIC Securities to be deposited for re-integration 15 SEZIONE III Settlement 16 RP-MSM1 NewMIC Net Balances to be settled in T2 16 RP-MSM2 NewMIC Net Balances to be settled (Agent) 18 RP-MSM3 NewMIC Net instructions intarget 2(/gross detail) 19 SECTION IV Commissions. 20 RP-MFM1 NewMIC Monthly Commissions 20 RP-MFM2 NewMIC Daily Commissions 21 RP-MFM3 NewMIC Custody commissions 22 SECTION V Default Fund 23 RP-MC14 DEFAULT FUND MIC Monthly Contribution 23 RP-MC15 DEFAULT FUND MIC Calculation Details 24 2

3 INTRODUCTION This document describes the clearing reports related to the collateral management service provided by CC&G for the E-MID collateralized interbank market (NewMIC). The sections below provide information related to: Section 1: Operations Section 2: Collateral Section 3: Regulations Section 4: Commissions Section 5: Default fund RP-MTM1 NewMIC-Contracts; RP-MTM2 NewMIC-Gross and Net exposures RP-MAM1 NewMIC-Determination of the Collateral Value; RP-MA02 NewMIC-Collateral; RP-MAM2 NewMIC-Securities awaiting validation; RP-MAM3 NewMIC-Securities in return; RP-MAM4 NewMIC-Securities deposited/returned; RP-MAM5 NewMIC-Securities deposited - Intraday; RP-MAM6 NewMIC-Securities to be deposited for re-integration;. RP-MSM1 NewMIC-Net Balances to be settled in T2; RP-MSM2 NewMIC-Net Balances to be settled (Agent); RP-MSM3 NewMIC-Gross/Net Instructions in T2. RP-MFM1 NewMIC-Monthly Commissions RP-MFM2 NewMIC-Daily Commissions RP-MFM3 NewMIC-Custody Commissions RP-MC14-DEFAULT FUND MIC - Monthly Summary RP-MC15-DEFAULT FUND MIC - Calculation Details The Clearing reports are sent to the Participants and to the Settlement Agents through the Technological Infrastructure (ICWS) for which members are required to subscribe the CC&G Request for Service. Clearing reports are normally available at the end of the night batch. To access to the clearing reports through the Technological Infrastructure please refer to the ICWS handbook available in the section NewMIC of the CC&G website 3

4 SEZIONE I Operations This section describes the reports related to the traded contracts and to the gross and net exposures of the participants. RP-MTM1 NewMIC Contracts The report shows the contracts traded by the Participant during the day. Example of Report RP-MTM1 Ader:GKK NewMIC-Contratti Conclusi RP-MTM1 28 SEP 10 18:13:59 Pag. 1 Valuta: EURO Contrattazione del: 28 SEP 10 Contratti conclusi dal Partecipante nella giornata : Contratto Term Acquisto/Event Controvalore Data regolamento Interessi Numero di Prezzo Vendita Negoziato Pronti - Termine Riferimento MIC_EURTN 1,4000 B TRD , , MIC_EURTN 1,4500 B TRD , , MIC_EURSN 1,7000 B TRD , , MIC_EURTN 1,4500 B TRD , , MIC_EURTN 1,5000 S TRD , , MIC_EURSN 1,9500 S TRD , , MIC_EURTN 1,5500 S TRD , , MIC_EURSN 1,8000 S TRD , , MIC_EURTN 1,5500 S TRD , , TRD=Data inserimento DEL=Data cancellazione REA=Data riattivazione The report is produced for all Participants and is available before the start of trading. The type of the contract is shown under: Contratto ; The duration of the contract, in number of days, is shown under Term ; The Prezzo shows the interest rate applied to the deposit of the contract; Column Acquisto/Vendita shows the letter B for Buy and S for Sell; Column Event shows the suffix TRD=Input Date or DEL=Date of Cancellation, or REA=Date of Reactivation; Controvalore Negoziato shows the countervalue of the trade, that is the amount to be settled at the front settlement date; Data regolamento pronti-termine shows the settlement dates for front and term operations; Interessi shows the amount of the interest to be paid, together with the traded countervalue, at the term settlement date; The Numero di Riferimento shows the unique ID number of the contract. 4

5 RP-MTM2 NewMIC Gross and Net Exposures The report shows the daily net exposures, the total net exposure and the residual operating limit of the Participant at trading opening time. Example of Report RP-MTM2 Ader: GKK NewMic-Esposizioni Nette e Lorde RP-MTM2 29 SEP 10 12:17:32 Pag. 1 Valuta: EURO situazione (all'apertura delle negoziazioni) dal: 29 SEP 10 Data Reg P/T Controvalore EGN 4/10/2010 T ,00 C Totale ,00 C 7/10/2010 T ,17- D Totale ,17- D ,17- D 22/10/2010 T 58,34- D Totale 58,34- D 58,34- D 27/10/2010 T ,67- D Totale ,67- D ,67- D ECN ECNA % LOR da reinteg Lim 20% , ,85 21, ,67 0,00 0,11 The report is produced for all Participants and is available before the start of trading and is related to the situation at trading opening time; Column Data Reg is valued only if there are contracts to be settled; the settlement date of the day referred to in the report (in the example 21 SEP 10) is not reported because at the opening of negotiations - as provided by the rules of the system - the phase of settlement of payments due the current day is already over. At the time of the evening production of the report is taken for granted the good end of that settlement. In the event of a settlement failure the participant is suspended from trading. P/T shows, with reference to the contracts, the front operation (P), that is the opening of a loan, or the term operation (T), that is the loan reimbursement; The Controvalore : - In case of P indicates the net amount of the front transaction to be settled on the settlement date; - In case of T indicates the net amount, interest included, of the term transaction to be settled on the settlement date; EGN shows the Net Daily Exposure, equal to the difference between the funds (including interest) that the Participant must pay and those that should receive the same day as result of contracts entered into the market. Where the difference is that the Participant for the reference day must receive funds to an extent higher than he should pay, the net exposure of the day is zero. ECN shows the Global Net Exposure and is equal to the sum od the Daily Net Exposures of the Participant; ECNA shows the Value of Collaterals established at CC&G, as resulting from the appreciation process shown in the report MAM1; % shows the percentage of ECN over ECNA; LOR shows the Global Net Exposures taken by the Participant at start of day considering the Value of Collaterals established at CC&G (ECNA) and the Global Net Exposures accumulated during the previous days (ECN); Da Reintegr. shows the amount of collaterals that the Participant must re-integrate in order to continue conducting his activity; Lim 20% shows the percentage of the Global Net Exposure accumulated; 5

6 SEZIONE II Collaterals This Section describes the reports related to Collaterals. The financial instruments made available by the Participants are analysed during the evening batch and based on the outcomes are reported in one of the following three reports: - Report MAM1, if they have been submitted to the valorisation process. - Report MAM3 if, not being acceptable (or not being anymore acceptable) they must be given back. The return is carried-out the morning after and is shown in the report MAM4 produced in the evening of that day. - Report MAM2 if they are waiting to be valued. These securities, at the end of the valorisation process that normally lasts no more than two day, are either submitted to the valorisation and then included in the report MAM1 or returned. The movements of the financial instruments (that is the movements of securities deposit done by the Participant and securities return done by CC&G) are included in the report MAM4. The requests of return sent by the participants are analysed during the evening batch processing. If the valuation of the securities deposited by the participant less than those to be returned is: - greater than the Global Net Exposure, the security is to be returned and this is shown in the report MAM3 and not in MAM1. The return of the security is carried-out the morning after and will be shown in the report MAM4 in the evening batch of the same day. - less than the Global Net Exposure, the security will not be returned and then will continue to be present in report MAM1. 6

7 RP-MAM1 NewMIC Determination of the Collateral Value The report describes the details of the valorization of the financial instruments deposited by the Participant as collateral for his activity. The financial instruments deposited by the participant and not present in this report are included in report MAM2. Example of Report RP-MAM1 Ader: GKK NewMic-Determinazione Valore di Garanzia RP-MAM1 29 SEP 10 18:56:47 Pag. 1 situazione al : 29 SEP 10 Cat ISIN Descrizione ISIN Scadenza Val Tipo Val Nom Dep QUAL IT CCTS 0 09/01/15 1/09/2015 EUR GOVT ,00 VN Emissione: ,00 % Max Emissione: 40,00% % Emissione: 3,35% TOT VN ,00 Amm.Nom.Min.. : ,00 TOT VN ,00 Prezzo.... : 96, % Hair Cut.. : 1,75% TOT CTV ,75 % Qual.... : 54,90 % Min Cat Qual.: 5,00% % Abbatt. : N/A TOT CTV ,75 % Max Paniere.: N/A % Paniere.: N/A TOT CTV ,75 TOTALE CONTROVALORE ,75 Tot. Titoli QUAL ,75 Cat ISIN Descrizione ISIN Scadenza Val Tipo Val Nom Dep ORD XS MOLISE 0 12/15/33 15/12/2033 EUR CORP ,00 VN Emissione. : ,00 % Max Emissione : 40,00% % Emissione:80,31% TOT VN ,00 Amm.Nom.Min.. : ,00 TOT VN ,00 Prezzo.... : 65, % Hair Cut...: 2,50% TOT CTV ,11 % Qual.... : 54,90 % Min Cat Qual.: 5,00% % Abbatt..: 0,00% TOT CTV ,11 % Max Paniere.: 50,00% %Paniere.: 6,45% TOT CTV ,11 TOTALE CONTROVALORE , ORD XS UBIIM 0 03/31/11 31/03/2011 EUR CORP ,00 VN Emissione. : ,00 % Max Emissione: 40,00% % Emissione 13,33% TOT VN ,00 Amm.Nom.Min.. : ,00 TOT VN ,00 Prezzo.... : 99, % Hair Cut...: 2,50% TOT CTV ,00 % Qual.... : 54,90 % Min Cat Qual.: 5,00% % Abbatt..: 0,00% TOT CTV ,00 % Max Paniere.: 50,00% % Paniere.:13,22% TOT CTV ,00 TOTALE CONTROVALORE , ORD XS UCGIM 0 01/09/13 9/01/2013 EUR CORP ,00 VN Emissione ,00 % Max Emissione: 40,00% % Emissione:12,00% TOT VN ,00 Amm.Nom.Min.. : ,00 TOT VN ,00 Prezzo.... : 97, % Hair Cut...: 2,50% TOT CTV ,00 % Qual.... : 54,90 % Min Cat Qual.: 5,00% % Abbatt..: 0,00% TOT CTV ,00 % Max Paniere.: 50,00% % Paniere.:15,58% TOT CTV ,00 TOTALE CONTROVALORE , Cat ISIN Descrizione ISIN Scadenza Val Tipo Val Nom Dep ORD XS LUSI 4 A 15/09/2048 EUR MTGE ,00 VN Emissione. : ,00 % Max Emissione 40,00% % Emissione:15,82% TOT VN ,00 Amm.Nom.Min.. : ,00 TOT VN ,00 Prezzo.... : 82, % Hair Cut...: 12,00% TOT CTV ,80 % Qual ,90 % Min Cat Qual.: 5,00% % Abbatt..: 0,00% TOT CTV ,80 % Max Paniere.: 50,00% % Paniere.: 9,83% TOT CTV ,80 TOTALE CONTROVALORE ,80 Tot. Titoli ORD ,91 TOT. VALORE DI GARANZIA ,66 Contr. Min.. : , ,66 CTV MAX , ,66 % MAX PN... : 100,00% CTV MAX PatrNet: , ,66 Esp. Compl.. : ,00 ECNA ,66 the report is produced for each Participant and is available before the start of trading; the report shows in the first instance the securities qualified as collateral and then the ordinary collateral securities. column Cat shows the type of security. It can be:: QUAL: qualified security; ORD: ordinary security; column ISIN shows the international security ID; column Descrizione ISIN shows the name of the security; 7

8 column Scadenza shows the end of validity of the single deposit as collateral; column Val shows the security issuing currency; column Tipo shows the type of security. For example: GOVT=GOVERNAMENT, CORP=CORPORATE, MTGE=MORTAGES; column Val Nom Dep shows the nominal value of the security deposited in the single deposit; the term VN EMISSIONE shows the outstanding nominal value of the issue; the term % MAX EMISSIONE shows the max percentage of the issue of the single security type accepted as collateral as the ratio between the maximum nominal value of the security deposited as collateral and the total issue of the security (term VN EMISSIONE ) ; the term % EMISSIONE shows the percentage of the issue present in the reference basket as the ratio between the nominal value of the security in portfolio (term TOT VN ) and the total amount of the issue (term VN EMISSIONE ); the term TOT VN after the term % EMISSIONE shows the nominal amount acceped as collateral for each single security while respecting the constraints given by the term % MAX EMISSIONE ; the term Amm. Nom. Min. shows the minimum nominal amount that can be deposited for each single instrument; the term TOT VN after the term Amm. Nom. Min. shows the nominal amount accepted as collateral while respecting the constraints given by the term Amm. Nom. Min ; the term PREZZO shows the price of the security deposited as collateral; the term % HAIRCUT shows the percentage offset of market price applied by CC&G; the term TOT CTV after the term %HAIRCUT shows, based on the term TOT VN, PREZZO, HAIRCUT, the collateral countervalue for each single security type; the term %QUAL shows the percentage of Qualified securities against the total countervalue of collaterals in the basket; the term % MIN CAT QUAL shows the minimum percentage value of Qualified securities that has to be deposited in the collateral basket; the term Abbatt. shows the percentage of ordinary securities over the total deposited collateral. For the Qualified securities the term shows N/A ; the term TOT CVT after the term Abbatt shows the amount of security in relation to the constraints indicated with the term % MIN CAT QUAL ; the term % MAX PANIERE shows the maximum percentage of the security that can be accepted as collateral in the basket as the ratio between the maximum amount of the single security accepted as collateral and the total amount of the collateral basket. There is no maximum thresholds for securities valued as a Qualified; the term % PANIERE shows the percentage of the security over the total amount of the collateral basket and is equal to the ratio between the amount of the security used as collateral and the total amount of the collateral basket; for the Qualified securities this term shows N/A since the limit %MAX PANIERE does not apply to the qualified securities; the term TOT CVT after the term %PANIERE shows the amount od the security in relation to the constraints indicated with the term % MAX PANIERE; the term TOTALE CONTRAVALORE shows the amount of the security in respect of the above constraints; the term Tot. Titoli QUAL shows the total amount of the qualified securities in respect of the above constraints; the term Tot. Titoli ORD shows the total amount of the qualified securities in respect of the above constraints; 8

9 the term Contr. Min. shows the constraint of the minimum amount of collateral that the Participant will need to have in order to operate; on the same row, the amount on the right shows the countervalue of the security in respect of the constraint at the term Contr. Min. ; the term CTV MAX shows the maximum amount of the collateral basket; on the same row, the amount on the right shows the countervalue of the security in respect of the constraint at the term CTV MAX ; the term % MAX PN shows the maximum percentage of the regulatory capital of the participant usable as maximum collateral amount; the term CTV MAX PatrNet shows the countervalue of the net capital of the participant multiplied by the term % MAX PN ; on the same row, the amount on the right shows the countervalue of the security in respect of the constraints at the term CTV MAX PatrNet ; in case the collateral countervalue is greater than the lower value of the fields CTV MAX PatrNet e CTV MAX before described, this is set to the lower value; the term Esp. Compl. Shows the global net exposure of the Participant at the end of the trading day (ref. Report RP-MTM2 term ECN); the term ECNA shows the final collateral amount of the basket communicated to e-mid for the purpose of determining the operating limit of the start of trading for the next day. The value of ECNA is shown in the report RP-MTM2. 9

10 RP-MA02 NewMIC Collateral The report shows the summary of data relating to guarantees provided to CC&G and the related value. Example of Report RP-MA02 Ader: GKK NewMIC Garanzie collaterali costituite RP-MA02 1 OCT 10 19:15:43 Pag. 1 situazione al : 1 OCT 10 Cat ISIN Descrizione ISIN Scadenza Val Tipo Val Nom Dep Val Nom Usato Controvalore %HairCut QUAL IT CCTS 0 09/01/15 1/09/2015 EUR GOVT , , ,75 1,75% Tot.TITOLI QUAL ,75 ORD XS MOLISE 0 12/15/33 15/12/2033 EUR CORP , , ,11 2,50% ORD XS UBIIM 0 03/31/11 31/03/2011 EUR CORP , , ,00 2,50% ORD XS UCGIM 0 01/09/13 9/01/2013 EUR CORP , , ,00 2,50% ORD XS LUSI 4 A 15/09/2048 EUR MTGE , , ,80 12,00% Tot.TITOLI ORD ,91 TOT. VALORE DI GARANZIA ,66 ECNA ,66 the report is produced for each Participant and is available before the start of trading; the report lists all qualified securities. Column Cat shows the type of security: QUAL: qualified security; ORD: ordinary security column ISIN shows the international ID of the security; column Descrizione ISIN shows the name of the security; column Maturity shows the end of validity of the single deposit as collateral; column Cur shows the security issuing currency; column Type shows the type of security. For example: GOVT=GOVERNAMENT, CORP=CORPORATE, MTGE=MORTAGES; column Val Nom Dep shows the nominal value of the security deposited in the single deposit; column Val Nom Usato shows the nominal amount of the security already used as collateral for other trades; the term % HAIRCUT shows the percentage of the abatement of market price applied by CC&G; the term Tot. Titoli QUAL shows the total amount of the qualified securities in respect of the above constraints; the term Tot. Titoli ORD shows the total amount of the qualified securities in respect of the above constraints; the term ECNA shows the final collateral amount of the basket communicated to e-mid for the purpose of determining the operating limit at the start of trading for the next day. The value of ECNA is shown in the report RP-MTM2. 10

11 RP-MAM2 NewMIC Securities awaiting validation The report shows the Financial Instruments provided to CC&G awaiting validation. Example of Report RP-MAM2 Ader. GKK New MIC-Titoli in attesa di validazione RP-MAM2 10 JUN 10 20:42:30 Pag. 1 situazione al : 11 SET 10 N.RIf ISIN DESCRIZIONE NOMINALE 1111 IT BTP 01 NOV 20104/6/ , IT BTP 01 NOV 20104/6/ , IT CAPINTE 01/02/ , IT CAPINTE 01/02/ ,00 the report is produced for each Participant and is available before the start of trading; column N. Rif shows the reference number of the deposited security awaiting validation; column Isin shows the international security ID; column Descrizione shows the name of the security; column Nominale shows the nominal amount of the deposited security. 11

12 RP-MAM3 NewMIC Securities in return The report shows the Financial Instruments that will be returned by CC&G because unsuitable or no more suitable. Example of Report RP-MAM3 Ader:GKK NewMic-Titoli in restituzione RP-MAM3 28 SEP 10 18:14:06 Pag. 1 In restituzione il: 29 SEP 10 Isin Descrizione Titolo Nominale Descrizione Causale XS STORM 2003 A ,00 MIC001- MIC RESTITUZIONE CAUSALE 001.NON STANZIABILE XS LUSI 4 A ,00 MIC001- MIC RESTITUZIONE CAUSALE 001.NON STANZIABILE the report is produced for each Participant and is available before the start of trading; the report is divided int two sections: a section shows those securities unsuitable to be used as collateral and another section shows those securities that have lost the eligibility requirements to be used as collateral; column ISIN shows the international ID of the security; column Descrizione ISIN shows the name of the security; column Nominale shows the nominal amount of the security not accepted or no more suitable; column Descrizione Causale shows the reason for which the security is no more suitable and then should be returned to the Participant; the reason codes are:: - MIC0001 MIC Return code 001 Not eligible within the Eurosystem - MIC0002 MIC Return code 002 Currency not accepted - MIC0003 MIC Return code 003 Duration shorter than standard limits - MIC0004 MIC Return code 004 Existence of Close links - MIC0005 MIC Return code 005 Security type not accepted - MIC0006 MIC Return code 006 Subordination not allowed - MIC0007 MIC Return code 007 Rating lower than the minimum accepted - MIC0008 MIC Return code 008 Issuing country not allowed - MIC0009 MIC Return code 009 Nominal amount lower than the minimum accepted - MIC0010 MIC Return code 010 Return requested by the Participant 12

13 RP-MAM4 NewMIC Securities deposited/returned The report shows the Financial Instruments deposited at CC&G or returned by CC&G due to participant request or due to loss of the eligibility criteria. Example of Report RP-MAM4 Ader:GKK NewMIC-Titoli depositati/restituiti RP-MAM4 10 JUN 10 20:42:31 Pag. 1 Situazione del: 11 SET 10 Tipo Isin Descrizione Nominale Descrizione Causale D IT CCTS 09/01/ ,00 Deposito Costituito W IT CCTS 09/01/ ,00 MIC010-MIC RESTITUZIONE CAUSALE 010.REST RICHIES DAL MB The report is produced for each participant and is available before the start of trading; the report contains the securities received and returned during the day. column Tipo shows D=Security Deposited W=Security Returned; column ISIN shows the international ID of the security; column Descrizione ISIN shows the name of the security; column Nominale shows the nominal amount of the security; column Descrizione Causale shows the reason code related to the deposit or the return of the security to the participant. 13

14 RP-MAM5 NewMIC Securities deposited - Intraday The report shows the Financial Instruments, for each Participant, that have been given to CC&G, intraday, as collateral. Example of Report RP-MAM5 Mbr:xxxxxx Titoli Depositati - Intraday RP-MAM5 07 FEB 14 14:55:00 Pag: 1 ISIN Descrizione Prezzo Haircut Add-on Qualificato IT BOTS 0 10/14/14 99, ,50,00 Y Valore del titolo = Q * P * (1 - H - addon) Dove: P=Prezzo Q=Valore nominale H=Haircut the report is produced for each Participant and is available after each intraday cycle; the report shows the securities deposited during the current day. 14

15 RP-MAM6 NewMIC Securities to be deposited for re-integration The report shows the Financial Instruments that can be deposited at CC&G for re-integration. Example of Report RP-MAM6 Ader: xxxxxxxxxxxxxxx Titoli Depositabili Per Reintegro RP-MAM6 7 FEB 14 14:59:59 Pag. 1 ISIN Descrizione Qualificato DE000CZ00000 CMZB 0 02/01/17 N IT BTPS 6 05/01/31 Y IT ITALY 2 1/4 07/31/19 Y IT ITALY /31/34 Y IT BTPS 4 1/4 02/01/15 Y IT ITALY 0 07/31/45 Y Ader: xxxxxxxxxxxxxxx Titoli Depositabili Per Reintegro RP-MAM6 7 FEB 14 14:59:59 Pag. 2 ISIN Descrizione Qualificato IT BTPS /22/16 Y IT BTPS 3 1/2 11/01/17 Y IT BTPS 2 3/4 12/01/15 Y IT BTPS /15/18 Y IT ICTZ 0 12/31/14 Y the report is produced for each Participant and is available before the start of trading; the report shows the securities deposited for re-integration purposes. 15

16 SEZIONE III Settlement This Section describes the reports related to the net balances to be settled through Target2 deriving from operations traded on the market. RP-MSM1 NewMIC Net Balances to be settled in T2 The report shows the amount of the net balances to be settled in Target 2 deriving from operations traded on the market. Example of Report RP-MSM1 Ader: GKK New MIC-Saldi netti da regolare in T2 RP-MSM1 15 SEP 10 20:44:26 Pag. 1 Valuta: EURO situazione al: 15 SEP 10 Data Regolamento Tipo Importo Saldo Netto 16/09/2010 T ,74 C 16/09/2010 P ,00- D Totale ,74 17/09/2010 T ,03 C Totale ,03 20/09/2010 T ,22 C Totale ,22 23/09/2010 T ,44- D Totale ,44-29/09/2010 T ,50 C Totale ,50 1/10/2010 T ,74 C P ,00- D Totale ,74 1/10/2010 fee 218,24 D 218,24-8/10/2010 T ,67 C Totale ,67 8/11/2010 T ,50 C Totale ,50 The report is produced for all Participants and is available before the start of trading; Column Data Regolamento is valued only in case of contracts or commissions to be settled in Target2; Column Tipo shows: - The spot operation (P), i.e. the opening of the loan, or - The term operation (T), i.e. the reimbursement of the loan, or - The monthly commissions (Fee) Importo shows:: - If Type=P, the net amount of the spot operations to be settled at settlement date; - If Type=T, the net amount, including the interest, of the term operations (reimbursements) to be settled at the settlement date; - If Type=Fee, the monthly commissions; Saldo Netto shows the amount that the Participant (or his Settlement Agent) must settle in Target2 in relation to the contracts made up to the date of the report. 16

17 On the settlement date of the commissions, in addition to the net balance related to the contracts made, also the amount of the commissions to be settled is shown. In fact, in such a date, CC&G generates and send to Target2 two settlement instructions: one related to the contracts and one to the commissions to be settled. The settlement will be carried-out by debiting/crediting the PM Account of the Participant or of his Settlement Agent by using the ancillary procedure n.3 (c.d. Bilateral Settlement ). 17

18 RP-MSM2 NewMIC Net Balances to be settled (Agent) The report shows the Euro amount that the Settlement Agent has to settle on behalf of the Participant/s. The Participant that settles directly in Target 2 is considered in this report as Settlement Agent of himself. Example of Report RP-MSM2 BANK: KGK New MIC-Saldi netti da regolare (Agente) RP-MSM2 29 SEP 10 20:42:31 Pag. 1 situazione al : 29 SEP 10 Valuta: EURO Data Regolamento Aderente Ragione Sociale Codice Abi Ammontare 29/9/2010 KGK/0123 BANCA BLUE ,00 C 30/9/2010 GKK/0001 GKK ,00 C 1/10/2010 GKK/0001 GKK ,00 D 1/10/2010 BBS/0123 BANCA BLUE ,00 D 3/10/2010 GKK/0001 GKK ,00 D 3/10/2010 KGK/0123 BANCA BLUE ,00 C The report is produced for all Settlement Agents and is available before the start of trading. Bank shows the name of the Settlement Agent; Column Data Regolamento is the Settlement date and is valued only if there are amounts to be settled in Target2; Aderente shows the Participant to which the amount to be settled refers; Ammontare shows the amount to be settled by the Settlement Agent in Target 2 on behalf of the Participant. On the day of the monthly commissions two amounts can be present for the same Participant (see settlement date 1/10/2010). This because CC&G settles separately contracts and commissions. The settlement is carried-out by debiting/crediting the PM account in Target 2 of the Settlement Agent by using the ancillary procedure n.3 (c.d. Bilateral Settlement ). 18

19 RP-MSM3 NewMIC Net instructions intarget 2(/gross detail) The report shows the net instruction sent to Target 2 by CC&G to settle the contracts with the indication of each individual contracts that have contributed to the determination of such net instruction and, on the day of the monthly commissions, of the additional net instruction sent to Target 2 by CC&G to settle the commissions amount. Example of Report RP-MSM3 Mbr: GKK NewMIC-Istr.Nette T2 (dettaglio Lordo) RP-MSM3 01 OCT 10 8:27:15 Pag: 1 del: 01 OCT 10 Settlement Trade ID P/T Lordo Istruzione Netta in Target T ,33 C T ,33 D T ,00 D T ,78 C T ,17 D P ,00 D P ,00 C 156,39 D Fee 125,00 C 125,00 C The report is produced for each Participant and is available before the start of settlement phase. The report is made up of two sections: the first section is related to the instruction sent by CC&G to settle the contracts, the second section is related to the instruction sent by CC&G to settle the monthly commissions. Settlement Trade ID shows the reference numbers of the contracts to be settled during the day; P/T shows (P) for the spot operation, i.e. the opening of the loan or (T) for the term operation, i.e. the reimbursement of the loan. Lordo shows the funds (including the interest) to be paid (D) or received (C) by the Participant during the day related to the contract. Istruzione Netta in Target2 shows: - In the section of the report above the line, the amount of the net instruction that CC&G has sent or is going to send to Target 2 to settle the contracts shown in the column. This amount is equal to the algebraic sum of the amounts of the column Lordo. - In the section of the report under the line, dedicated to the commissions (fee), the amount of the net instruction that CC&G has sent or is going to send to Target 2 to settle the commissions. Commissions are debited on a monthly basis, normally the first day of the month. The details of the commissions is shown in the report dedicated to the commissions MFM1. For the days where the monthly payment of commissions is not due, this item is set to zero and the item lordo is meaningless. 19

20 SECTION IV Commissions This section describes the reports of the commissions at the end of month and the details per each individual day. RP-MFM1 NewMIC Monthly Commissions The report shows the detail and the total amount of the monthly commissions. Example of Report RP-MFM1 Mbr:GKK NewMIC - Commissioni mensili RP-MFM1 30 SEP 10 16:46:05 Pag: 1 Da 01 SEP 10 a 30 SEP 10 Data Simbolo Id Commissione Importo Commissione Valuta 16/09/2010 BUY Clearing Fees,21 EUR 16/09/2010 SELL Clearing Fees 5,42 EUR 17/09/2010 BUY Clearing Fees 2,09 EUR 17/09/2010 SELL Clearing Fees 1,81 EUR 20/09/2010 BUY Clearing Fees 11,88 EUR 20/09/2010 SELL Clearing Fees 7,92 EUR 21/09/2010 BUY Clearing Fees 5,21 EUR 21/09/2010 SELL Clearing Fees 2,09 EUR 22/09/2010 BUY Clearing Fees 1,25 EUR 22/09/2010 SELL Clearing Fees 3,75 EUR 23/09/2010 BUY Clearing Fees 10,01 EUR 23/09/2010 SELL Clearing Fees 11,81 EUR 24/09/2010 BUY Clearing Fees 30,21 EUR 24/09/2010 SELL Clearing Fees 24,44 EUR 30/09/2010 MACMIC Clearing Fees 6,90 EUR Totale: 125,00 The report is produced for all Participants and is available the first day of the month following the month of reference; Column Data shows the date of the contract; Column Simbolo can show: - BUY in case of Receiver or SELL in case of Giver, - ICWS = Technological infrastructure Fees, - REB = Rebate Fees, - BLANK = manual entry, - MACMIC = MIC Market Fees MACMIC is shown the last day of the month, if the amount of the Clearing Fees is less than the monthly MAC). column Id Commissione shows the type of commission to be paid; column Importo Commissione shows the clearing commissions for the contract/s; column Ammontare shows the amount of the deposit/loan; column Valuta shows the currency of the deposit/loan; the row Totale shows the total amount of the monthly commissions for the Participant; 20

21 RP-MFM2 NewMIC Daily Commissions The report shows the detail and the total amount of daily commissions. Example of Report RP-MFM2 Mbr: GKK NewMIC - Commissioni Giornaliere RP-MFM2 31 MAY 10 20:09:40 Pag. 1 Data 31 MAY Numero di riferimento Simbolo Id Commissione Importo Commissione Ammontare Valuta Durata BUY Clearing Fee 31, ,00 EUR BUY Clearing Fee 18, ,00 EUR SELL Clearing Fee 18, ,00 EUR BUY Clearing Fee 31, ,00 EUR SELL Clearing Fee 18, ,00 EUR MACMIC 25, Totale: 125, The report is produced for all Participants and is available before the start of trading; Column Numero di Riferimento shows the univocal ID number of the contract; Columns Simbolo and Id Commissione show the type of commission to be paid: - BUY/SELL Clearing Fees for commissions related to Receiver/Giver, - ICWS Technological infrastructure Fees, - CUSTOD Custody Fees (see. report MFM3 for computation details) - MACMIC MIC Market Clearing Fees MACMIC is shown the last day of the month, if the amount of the Clearing Fees is less than the monthly MAC). - BLANK manual Entry - BUY/SELL Rebate-Clearing Fees for Receiver/Giver Column Importo Commissione shows the amount of the clearing commissions computed for the contract/s Column Ammontare shows the amount of the deposit/loan; column Valuta shows the currency of the deposit/loan; column Durata shows the duration (no. of days of the deposit/loan; the row Totale shows the total amount of commissions for the Participant. 21

22 RP-MFM3 NewMIC Custody commissions The report shows the detail, the average and the fees of the daily custody commissions. Example of Report RP-MFM3 Mbr: xxxx NewMIC Commissioni Custodia RP-MFM3 30 NOV 10 20:09:40 Pag. 1 Data 01 DIC Data Riferimento Valore Nominale Valuta NOV ,00 EUR 02 NOV ,00 EUR 03 NOV ,00 EUR 04 NOV ,00 EUR 05 NOV ,00 EUR 06 NOV ,00 EUR 07 NOV ,00 EUR 08 NOV ,00 EUR 09 NOV ,00 EUR 10 NOV ,00 EUR 11 NOV ,00 EUR 12 NOV ,00 EUR 13 NOV ,00 EUR 14 NOV ,00 EUR 15 NOV ,00 EUR 16 NOV ,00 EUR 17 NOV ,00 EUR 18 NOV ,00 EUR 19 NOV ,00 EUR 20 NOV ,00 EUR 21 NOV ,00 EUR 22 NOV ,00 EUR 23 NOV ,00 EUR 24 NOV ,00 EUR 25 NOV ,00 EUR 26 NOV ,00 EUR 27 NOV ,00 EUR 28 NOV ,00 EUR 29 NOV ,00 EUR 30 NOV ,00 EUR Media: ,58 Fee: 131, The report is produced for all Participants and is available before the start of trading; column Valore Nominale shows the amount of the stock at the reference day; column Valuta shows the currency of the deposit; the row Media shows the average amount in the reference period; the row Fee shows the custody commission computed at month end. 22

23 SECTION V Default Fund This section describes the reports related to contracts currently in the status of Default Fund. RP-MC14 DEFAULT FUND MIC Monthly Contribution The reports shows the monthly summary of the Default Fund contribution. Example of Report RP-MC14 Mbr.: xxxxxxxx DEFAULT FUND MIC - Monthly Contribution RP-MC14 13 MAR 14 10:08:25 Pag. 1 Curr. : EUR - EURO CC&G New-Idem PreProd (PT) MMI/DEFAULT FUND MIC Mbr Total average Contr.Calculate CONTRIB.AMOUNT Prev.Contr.Amount Contr.Adjust AAAA,00, , ,00,00 TOTAL :, , ,00,00 Period : 01 NOV 13 --> 30 NOV 13 The report is only produced for the Direct Participants and is available the day after the adjustment of the contribution amount to the Default Fund. The report contains the summary of the contribution amount computed for the Direct Participants and their all related indirect participants. 23

24 RP-MC15 DEFAULT FUND MIC Calculation Details The report shows the monthly detail of the Default Fund computation. Example of Report RP-MC15 Mbr.: xxxxxxxxxx DEFUALT FUND MIC - Calculation Details RP-MC15 13 MAR 14 10:08:25 Pag. 1 CC&G New-Idem PreProd (PT) MMI/DEFAULT FUND MIC Cur.: EUR Reference period 1 NOV 13 --> 30 NOV 13 Date Total Margin 01 NOV 13,00 04 NOV 13,00 05 NOV 13,00 06 NOV 13,00 07 NOV 13,00 08 NOV 13,00 11 NOV 13,00 12 NOV 13,00 13 NOV 13,00 14 NOV 13,00 15 NOV 13,00 18 NOV 13,00 19 NOV 13,00 20 NOV 13,00 21 NOV 13,00 22 NOV 13,00 25 NOV 13,00 26 NOV 13,00 27 NOV 13,00 28 NOV 13,00 29 NOV 13,00 SUMMARY Total Margin :,00 Average :,00,00 TOT Average Member : ,28 Contribution Calc. :,00 CONTRIBUTION AMOUNT: ,00 * END OF LIST * The report is produced for all Participants and is available the day after the adjustment of the contribution quota to the Default Fund. In the summary section Total Margin shows the sum of the daily amounts; In the summary section Average shows the arithmetic average i.e. the sum of the daily amounts divided by the number of days. The field Tot. Average Member shows the total of the averages for all MIC Clearing Members; The field Contribution Calc. shows the amount, not rounded, of the adjusted contribution quota for the Clearing Member; The field Contribution Amount shows the amount, rounded, of the adjusted contribution quota for the Clearing Member. Ottobre Il presente documento è adottato a norma delle leggi speciali. Cassa di Compensazione e Garanzia S.p.A. non deve essere ritenuta responsabile per eventuali danni, derivanti anche da imprecisioni e/o errori, che possano derivare all utente e/o a terzi dall uso dei dati contenuti nel presente documento. AGREX, BORSA ITALIANA, BORSA ITALIANA ITALIAN STOCK EXCHANGE, BORSA VIRTUALE, BORSAM@T, CITY FOR GOOD, DDM, ELITE, ETFplus, EUROMOT, EXPANDI, EXTRAMOT, IDEM-THE ITALIAN DERIVATIVES MARKET, IDEX, MIB, MIB 30, MIBTEL, MIDEX, MINIFIB, MIV, MOT, MTA, MTF, NIS, SEDEX, STAR, STAR SEGMENTO TITOLI CON ALTI REQUISITI, TECHSTAR nonché il marchio figurativo costituito da tre losanghe in obliquo sono marchi registrati di proprietà di Borsa Italiana S.p.A. CC&G è un marchio registrato di proprietà di Cassa di Compensazione e Garanzia S.p.A. MONTE TITOLI, X-TRM e MT-X sono marchi registrati di proprietà di Monte Titoli S.p.A. MTS, BOND VISION, EUROMTS sono marchi registrati di proprietà di MTS S.p.A. 24

25 October This document is adopted pursuant to relevant laws. Cassa di Compensazione e Garanzia S.p.A. accepts no liability, arising, without limitation to the generality of the foregoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on this document. AGREX, BEST VENUE INDICATOR, BORSA ITALIANA and BORSA ITALIANA s logo, BORSA ITALIANA ITALIAN STOCK EXCHANGE, BORSA VIRTUALE, BORSAM@T, CITY FOR GOOD, DDM, ELITE, ETFplus, EUROMOT, EXPANDI, EXTRAMOT, IDEM-THE ITALIAN DERIVATIVES MARKET, IDEX, MARKET CONNECT, MIB, MIB 30, MIBTEL, MIDEX, MINIFIB, MIV, MOT, MTA, MTF, NIS, SEDEX, STAR, STAR SEGMENTO TITOLI CON ALTI REQUISITI, TECHSTAR are registered trademarks owned by Borsa Italiana S.p.A. CC&G is a registered trademark owned by Cassa di Compensazione e Garanzia S.p.A. MONTE TITOLI, X-TRM, MT-X are registered trademarks owned by Monte Titoli S.p.A. MTS, BOND VISION, EUROMTS are registered trademarks owned by MTS S.p.A. PALAZZO MEZZANOTTE CONGRESS CENTRE AND SERVICES, BEST VENUE INDICATOR, MARKET CONNECT are registered trademarks owned by BIt Market Services S.p.A. London Stock Exchange, the coat of arms device and AIM are registered trademarks of London Stock Exchange plc. FTSE is a trademark of the London Stock Exchange Group companies and is used by FTSE International Limited under licence. GATElab, Traderpath, Algorithmicpath, Exchangepath are registered trademarks owned by Gatelab S.r.l. The above trademarks and any other trademark owned by London Stock Exchange Group cannot be used without express written consent by the Company having the ownership on the same. The Group promotes and offers the post-trading services of Cassa di Compensazione e Garanzia S.p.A. and Monte Titoli S.p.A. in an equitable, transparent and nondiscriminatory manner and on the basis of criteria and procedures aimed at assuring interoperability, security and equal treatment among market infrastructures, to all subjects who so request and are qualified in accordance with national and community legislation, applicable rules and decisions of the competent Authorities. Cassa di Compensazione e Garanzia S.p.A. Via Tomacelli, Roma