Data File e Report Compliance to EMIR European Standard

Transcription

1 Data File e Report Compliance to EMIR European Standard February 7 th, 2014 Version 1.6

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3 Table of contents 1. Introduction 4 2. The environment 5 3. Segregation and Portability 8 Reports common to all types of account 8 House Account 8 Customer Segregated account - ISA 8 Main Omnibus Account - MOA 8 Additional Omnibus Account - AOA 8 Reports common to all types of account 11 Customer Segregated account, or ISA (Individual Segregated Account) 13 Omnibus Account (Main Omnibus) 15 Report for Settlement Agent Collateral valorisation 19 Collateral deposited 19 Collateral with concentration limits 19 Collateral Deposited 20 Collateral with concentration limits Stress test and back test 23 Stress test 23 Report and Data file 23 Stress test report structure 24 Back test 25 Back Test Report for section and single CM Default Fund Management 27 Frequency and access to documentation Trade Repository Public Data 36 Class File 36 Risk Array 37 Collateral concentration limits 39 CFI_Code Attachments 41 Attribute Values 41

4 1. Introduction Cassa Compensazione e Garanzia has updated its procedures and their information systems in order to adapt to the new regulatory structure to the European regulations EMIR (European Market Infrastructure Regulation, EU 648/2012). EMIR has started from March 2013 to facilitate the achievement of new levels of security and transparency in European derivatives markets. This document describes the updates made to the reporting related to the clearing system, to implement the new European regulation. The document describes the changes, of form and content, for the following types of reports: Report Data File Public Data The document integrates other documents issued by Cassa Compensazione e Garanzia and update the information just described in this document. The new functional model is described in the following schema. Caption 1- Functional model Page 4 of 42 Pages

5 2. The environment To improve the readability of the document, the changes made have been divided into five areas: Segregation and Portability: containing documentation updates as a result of the separation of the positions and assets (cash and securities) of the Clearing Member from the Customers1 Collateral valorization: containing documentation updates due to the revision of the securities valorization deposited by Clearing Members, providing an aggregated statement of the amount Collateral amount and a detail of the different types of securities that compose the Collateral Stress test and back test: containing documentation update related to reports generated for stress testing and back testing performed by CC&G Default Fund management: containing documentation updates of the reports generated for Default Funds management activities Trade Repository: containing documentation updates in the data file trade repositories For each field has been described the changes made for the following types of information: report: available in pdf format data file: available as flat file in txt and xml format public data: available as flat file in txt and xml format. The following table shows the updated documentation or made, divided by area and type. Scope Type Document title Addressee Statue Segregation & Portability Segregation & Portability Segregation & Portability Segregation & Portability Segregation & Portability Segregation & Portability Report RP-MS01 Daily summary CM Updated Report Report Report RP-MS11 Financial position used for segregated account and omnibus account RP-MS12 Financial position Main Omnibus details used for omnibus account RP-MS52 Credit/debit Notice with detailed cash call for Segregated Customers CM for each customer that has requested segregation CM for each customer group to segregate CM for each customer except NCM CM for each NCM SA Updated Data file DS05 Daily Summary CM Updated Data file DS07 Financial Position CM for each customer that has requested segregation CM for each customer group to segregate New New Updated 1 According to EMIR definitions, customer is a legal person linked to a Direct Clearing Member by contractual relationship that allows him to compensate its transactions with a CCP and, therefore, this includes the current Non- Clearing and the customers (people legal entities) of the Direct Clearing Member as well. Page 5 of 42 Pages

6 Scope Type Document title Addressee Statue Segregation & Portability Segregation & Portability Collateral valorisation Collateral valorisation Collateral valorisation Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Stress test and Back test Default Fund Management Default Fund Management Data file D07A Daily Summary CM for each customer except NCM CM for each NCM Data file D27A - Credit/debit Notice with detailed cash call for Segregated Customers SA Report RP-MA01 Collateral Deposited CM for house customer, NCM included CM for each customer that has requested segregation CM for each customer group to segregate Report RP-MA03 - Collateral Deposited with segregation limits CM for house customer, NCM included Data file D03A - Collateral Deposited Extended CM for each customer that has requested segregation Report RP-ST01 IDEM+MTA-Fall Scenario CM New Report RP-ST02 IDEM+MTA Rise Scenario Report RP-ST03 Bond-Fall Scenario CM New Report RP-ST04 Bond -Rise Scenario CM New Report RP-ST04 IDEX -Fall Scenario CM New Report RP-ST06 IDEX -Rise Scenario CM New Report RP-ST07 AGREX -Fall Scenario CM New Report RP-ST08 AGREX -Rise Scenario CM New Report Report Report Back Test Report for section and single CM RP-MS14 Default Fund: Monthly Contribution RP-MS15 Default Fund: Calculation detail CM CM CM CM New New Updated New New New New Unmodified Unmodified Page 6 of 42 Pages

7 Scope Type Document title Addressee Statue Default Fund Management Default Fund Management Trade Repository Data file Data file D28A - Default Fund: Monthly Contribution D28B - Default Fund: Calculation details Data file D01R Derivatives Contracts CM New CM CM New New Trade Repository Trade Repository Trade Repository Trade Repository N.a. N.a. N.a. N.a. Data file D12R Trades and Positions Transfers Data file D13R CCP Positions CM New Data file D14R Variation Premium CM New Data file D20R Idex Cascaded Positions CM New Public data Public data Public data Public data CM New Class File Public Updated Risk Array Public Updated Collateral concentration limits Public New CFI_Code Public New Table 1- Updated documentation List Page 7 of 42 Pages

8 3. Segregation and Portability New European regulation EMIR provides that Central Counterparties (CCPs) shall offer to its Direct Clearing Members the possibility to record the positions and assets (cash and securities) of customers, separately from those shares. Below are described the types of accounts: House Account Customer Segregated account, or ISA (Individual Segregated Account) Main Omnibus Account, or MOA (Main Omnibus Account) Addictional Omnibus Account, or AOA (Additional Omnibus Account) CC&G has adjusted the structure of the accounts accordingly to new rules by changing the current ones and developing new reports to allow Direct Clearing Members margins and financial assets reconciliation belonging to each type of account. Reports common to all types of account All the reports have been upgraded to all types of accounts and segregated omnibus, made by report RP-MS01 and the corresponding DS05 data file. The information contained in the report and file data concerns the financial position of the Direct Clearing Member which also includes the financial position of the accounts MOA, ISA and AOA. House Account The account has always been present in the structure of the accounts and the reports do not change to what is already provided by CC&G. Customer Segregated account - ISA The account was introduced to allow Direct Clearing Member to segregate positions and guarantees of individual customers, including Non Clearing Members, in accordance with Article 39 paragraph 3 of EMIR. Report to the Direct Clearing Member consists of RP-MS11 report on the financial position of the customer and the corresponding DS07 data file. The financial position of the customer also includes the management of financial assets that are used by the customer only beneficiary of the account. Main Omnibus Account - MOA This is the Omnibus account related to article 39, 2 of EMIR Regulation available in the clearing system where the non Direct Clearing Members are recorded. It includes an account where client are recorded positions and margins of multiple clients and multiple pairs of Accounts (house and others), where they recorded their positions and margins for Not Direct Clearing Member. Report to the Clearing Members consists of RP-MS12 report on the financial position, and the corresponding D07A data file. The repost MS12 is produced for client and the Direct Clearing Member for all pairs of accounts (house / client) of each customer. The financial position of the customer in this case does not include the management of financial assets that are reported in this case report in Direct clearing member MS11/DS07, these being usable by all customers of the account. Additional Omnibus Account - AOA This is a new additional account, related to articole 39,2 of EMIR Regulation, where multiple clients can be registered, introduced to manage separately, for assets purposes, some customers differently from the others registered in other accounts. Report to the Clearing Members consists of RP-MS12 report on the financial position, and the corresponding D07A data file. Report MS12 is produced for client and the Direct Clearing Member for all pairs of accounts (house / client) Page 8 of 42 Pages

9 of each customer. The financial position of the customer includes financial assets management that are used by the group of customers of the account. Frequency and access to documentation All the documentation is elaborated daily, at the end of daily closure. The modalities of access to the documentation are: ICWS: web application accessible from the link on the web site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Note: The adjustment with the European EMIR made no changes to the frequency and the access to documentation. Each Direct Clearing Member has access to the following documentation: Report RP-MS01, assigned to Direct Clearing Member, showing the final amount in debit / credit for the Direct Clearing Member and the details of the various elements that contribute to the final result. This report is linked to DS05 Data File, which will not be modified from the original version. Report RP-MS11, assigned to Direct Clearing Member, showing, in column "House Account", financial position related to the Clearing Member income Clearing Member and in column "outsourcing", financial position related to all customers (including Clearing Members) of Main Omnibus Account; Report RP-MS11 assigned to each account additional Omnibus, showing the financial position of the group of customers that are part of the same account; Report RP-MS11 assigned to each ISA account, showing the financial position related to each segregated customer. This report will keep the same structure of the current MS11 (with the exception of the last row reporting the cash call) and will be available with report MS01 in order to allow Customers segregated warranties recording. Therefore, this report will display information related to requested margins, used and in excess warranties and cash call for each main Omnibus, AOA and ISA. To Report MS11 is linked DS07 Data File, which will not be modified from the original version. Data file DS05 related to report RP-MS01 Data file DS07 related to report RP-MS11 To Each General Clearing Member is provided the following MOA account relevant documentation: Report RP-MS12, assigned to Direct Clearing Members only, will report financial position related to all customers (excluding Non-Clearing Members) Main Omnibus Account, with detailed information for financial position of Customers and Non Clearing Members. Report RP-MS12 reports the financial position for each Clearing Member Account Main Omnibus; Data file D07A related to report RP-MS12 General Clearing Members may authorize Non Clearing Members to receive, through the Technological Infrastructure BCS / ICWS, the report MS12, related to Direct Clearing Member. Page 9 of 42 Pages

10 In addition, only TO Settlement Agents is provided the following documentation: Report RP-MS52, displaying credit and debit alerts with details of segregation Data file DS7A related to report RP-MS52 Reports are created in PDF format and data files are available in txt (flat file) and xml format. Page 10 of 42 Pages

11 Reports common to all types of account RP-MS01 Daily summary Report, related to DS05 data file, shows the Member s final credit/debit balance and the details of the various component items. Each single item is made by the sum of item detailed in RP-MS11 Note: report does not differ in format from the previous version Caption 2- Report RP-MS01 Page 11 of 42 Pages

12 DS05 Daily Summary Data file contains daily settlement financial information related to the activity of each direct member of CC&G. Note that for CGM, Client Account includes the sum of all NCMs activity. data file is related to RP-MS01report. Note: no changes had been made to the data file as a result of the adjustment to the EMIR regulation. Below, track data, the updated data are highlighted with gray color and the symbol (X) in the first field of the record. Description Len Type Notes Date 8,0 N Format yyyymmdd X ABI code 5,0 N Account 1 A In annex Initial margins 17,2 N Collateral guarantees avail. 17,2 N Initial margins integration 17,2 N Excess collateral guarantees 17,2 N Cash deposited c/o CC&G 17,2 N Uncovered Initial margins 17,2 N Remaining credit 17,2 N Futures variation margins 17,2 N Option variation margins 17,2 N Option premiums 17,2 N Exercised / Assigned 17,2 N Cash transfers 17,2 N Commission 17,2 N Commission on share account 17,2 N Membership fee 17,2 N Interest 17,2 N Net charges 17,2 N Excess cash 17,2 N Credit/debit amount 17,2 N General ABI code 5,0 N Currency 3,0 A Table 2 - Data File - DS05 In particular the changes are in the following fields: ABI code: renamed Member ABI code in ABI code Page 12 of 42 Pages

13 Customer Segregated account, or ISA (Individual Segregated Account) RP-MS11 Financial position Report, related to DS07 data file, shows the Member s financial position and the details of the various component items. Note: Report RP-MS11 has the same scope of previous RP-MS01 report, because collateral segregated will be registered in the same account, also in excess of the amount required by CC&G. Caption 3- Report RP-MS11 Report has been updated with the inclusion of '"amount receivable / assigned" (cash call) in the last line highlighted with the following hatch. Page 13 of 42 Pages

14 DS07 Financial Position The data file contains the daily financial information related the activity of each member of CC&G. Note that the CGM receives a DS07 for itself and for each of its NCM. The data file is related to report RP-MS11. Note: the data file is NOT changed to the EMIR regulation. Track data are explained below. Updated data are highlighted with gray color and the symbol (X) in the first field of the record. Description Len Type Notes Date 8,0 N Format yyyymmdd X ABI code 5,0 N Account 1 A In annex Initial margins 17,2 N Collateral guarantees avail. 17,2 N Initial margins integration 17,2 N Excess collateral guarantees 17,2 N Cash deposited c/o CC&G 17,2 N Uncovered Initial margins 17,2 N Remaining credit 17,2 N Futures variation margins 17,2 N Option variation margins 17,2 N Option premiums 17,2 N Exercised / Assigned 17,2 N Cash transfers 17,2 N Commission 17,2 N Commission on share account 17,2 N Membership fee 17,2 N Interest 17,2 N Net charges 17,2 N Excess cash 17,2 N Credit/debit amount 17,2 N General ABI code 5,0 N Currency 3,0 A Table 3 - Data File DS07 In particular the changes are in the following fields: ABI code: renamed Member ABI code in ABI code Page 14 of 42 Pages

15 Omnibus Account (Main Omnibus) RP-MS12 Financial position Main Omnibus Details Report, related to DS07A data file, is send only to the General Clearing Member. It provides details of the financial position of customers and each Clearing Member's account of the same Omnibus Main General Clearing Members. The aggregated data is provided in the "Client account" of MS11 report assigned to General Clearing Member. Report has been built from scratch to meet the needs of the new European regulation EMIR. Caption 4- Report RP-MS12 Page 15 of 42 Pages

16 D07A Daily Summary Data file contains details of financial positions related to the activities of the General Clearing Member and its clients and the Non-Clearing Members of the Main Omnibus accounts and reports related to RP-MS12. Below is described the new layout file that was created. Description Len Type Notes Date 8,0 N Format yyyymmdd ABI code 5,0 N Account 1 A In annex Initial margins 17,2 N Futures variation margins 17,2 N Option variation margins 17,2 N Option premiums 17,2 N Exercised / Assigned 17,2 N Cash transfers 17,2 N Commission 17,2 N Membership fee 17,2 N Interest 17,2 N Net charges 17,2 N General ABI code 5,0 N Table 4 - Data File DS07A Page 16 of 42 Pages

17 Report for Settlement Agent RP-MS52 Credit and debit notice with segregation Report, related to D27A data file, lists all the debits (except those regarding Intraday Margins) and credits that CC&G will make in the current day on the PM account of the Direct Member or its Settlement Agent in the Target2 System, including whether it is of direct participation or segregated. Report has been built from scratch to meet the needs of the new European regulation EMIR. Caption 5- Report RP-MS52 Page 17 of 42 Pages

18 D27A Credit and debit notice with segregation The data file contains all the debits and credits that CC & G will perform day in TARGET2 system and is related to report RP-MS52. Below is described the new layout file that was created. Description Len Type Notes Date 8,0 N Format yyyymmdd ABI code 5,0 N Account 1 A In annex Membership type 1 A S=Segregated; D=Direct Reason for Payment 15 A Amount 18,2 N Debit/Credit 1 A D=Debit; C=Credit Currency 3 A GCM Abi Code 5,0 N Table 5 - Data File D27A Page 18 of 42 Pages

19 4. Collateral valorisation EMIR Regulation has introduced rules for Collateral Management: CC&G has modified existing reports and add new reports to adhere to those rules: Collateral Deposited Collateral with concentration limits Collateral deposited A report has been made for each Direct Clearing Member on the collateral acknowledged with a detailed view on the government bonds and deposited shares as collateral. There is a RP-MA01 report on the financial position and the corresponding D03A data file. Modifications are shown below. Collateral with concentration limits Report RP-MA03 has been prepared for each Direct Clearing Member on the collateral acknowledged with a detail view on the government bonds and shares deposited as collateral with a breakdown of the concentration limits. Frequency and access to documentation The documentation is prepared twice at day: updating of product prices, at about at the end of the closing day, at about The modalities of access to the documentation are: ICWS: web application accessible from the link on the site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Note: The adjustment with the European EMIR made no changes for frequency and access to documentation. Each Direct Clearing Member has access to the following documents in pdf format: One report RP-MA01 assigned to the Direct Clearing Member, which shows a detail view of government bonds and shares held as collateral One report RP-MA03 assigned to the Direct Clearing Member, which shows a detail view of government bonds and shares deposited as collateral with a breakdown of the concentration limits Data file D03A related to report RP-MA01 Reports are created in PDF format and data files are available in txt (flat file) and xml format. Page 19 of 42 Pages

20 Collateral Deposited RP-MA01 - Collateral Deposited Report, related to D03A data file, shows the types of government securities and shares deposited as collateral. Note: MA01 does not contain the total value of collateral on behalf of and for each Clearing Member Caption 6- Report RP-MA01 Report has been updated with the elimination of collateral total value as evidenced with the following line. Page 20 of 42 Pages

21 D03A Collateral Deposited Extended The data file contains information about the list of securities deposited in CC&G for daily margin requirements and is related to RP-MA01 report. Report has been built from scratch to meet the needs of the new European regulation EMIR. Description Len Type Notes Date 8,0 N Format yyyymmdd Member ABI Code 5,0 N Account 1 A In annex Deposit Type 2 A Isin Code 12 A Description 30 A Face Value 17,2 N Guarantee Value 17,2 N Market Value 17,2 N Haircut Applied 7,4 N General ABI Code 5,0 N Currency 3 A X Country 30 A X Class Code 2,0 N Table 6 - Data File D03A Page 21 of 42 Pages

22 Collateral with concentration limits RP-MA03 - Collateral Deposited with segregation limits Report, related to DC03C data file, is sent to each Clearing Member. It provides details of the securities deposited in CC&G with the relative concentration limits. Report has been built from scratch to meet the needs of the new European regulation EMIR. Caption 7 - Collateral with concentration limits Page 22 of 42 Pages

23 5. Stress test and back test In order to achieve EMIR regulation, CC&G enriched the documentation and reporting provided to Clearing Members for stress testing and back testing activities. Stress test Scenarios details are listed on the site of CC&G in the section Risk Management / Documentation used to carry out stress tests which results are used for determining the amount of the Default Funds for the various sections. The Subscription sections are: Equity and equity derivates (IDEM+MTA) Bond Energy derivates (IDEX) Agricultural commodities derivates (AGREX) Frequency and access to documentation Reports are available to each Clearing Member monthly, with a summary of the stress tests carried out on the positions of the same Clearing Member, separately for each subscription section. The modalities of access to the documentation are:. ICWS: web application accessible from the link on the site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Report and Data file The reports name. RP-ST01 IDEM+MTA-Fall Scenario RP-ST02 IDEM+MTA -Rise Scenario RP-ST03 Bond-Fall Scenario RP-ST04 Bond -Rise Scenario RP-ST04 IDEX -Fall Scenario RP-ST06 IDEX -Rise Scenario RP-ST07 AGREX -Fall Scenario RP-ST08 AGREX -Rise Scenario Page 23 of 42 Pages

24 Stress test report structure Below an example of the new stress test report layout realized. GCM Code GCM Description - Member Code Member Description Scenario Rialzo prezzi Comparto Azionario e Derivati Azionari Date House Cash Call Client Cash Call Non Collateralised Exposure House Initial Margins Client Initial Margins Total Initial Margins 01/10/ , , , , , ,00 02/10/ , , , , , , /10/ , , , , , ,00 Table 8 example of a report stress test - rising prices scenario There are the following item for each Date : House Cash Call : cash call on Clearing Member house account in the stress test scenario Client Cash Call : cash call on Clearing Member client account in the stress test scenario Non Collateralised Exposure : Total exposure of the Participant not covered by guarantees. It s the sum of house cash call and client cash call. Each house cash call credit could be used to cover client cash call debt but not vice versa. House Initial Margins : house initial margin amount in the stress test scenario Client Initial Margins : Client initial margin amount in the stress test scenario Total Initial Margins : House and Client initial margin sum Page 24 of 42 Pages

25 Back test The theoretical cost / benefit of the entire portfolio liquidation of the Clearing Member is calculated to verify the adequacy of Margin required to Clearing Members to the current market prices and compared with the margins collected. If the liquidation theoretical costs are higher than the collected margins, a breach will be reported. Frequency and access to documentation Report is available monthly to each Clearing Member based on the results of daily back testing. The modalities of access to the documentation are: ICWS: web application accessible from the link on the site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Page 25 of 42 Pages

26 Back Test Report for section and single CM The report is dedicated to each Clearing Member and gathers information about breaches its own portfolio, separately for each fund. It gives evidence of the contribution to default funds and any related breaches. The report is produced monthly. Below is an example of the layout of the report: GCM Code GCM Description - Member Code Account Comparto Azionario e Derivati Azionari 3 giorni Date MAX UNCOVERED LOSS INITIAL MARGINS MAX GAIN (-) / LOSS (+) 01/10/ /10/ /10/ Table 9 - Back test report for the sector and single CM There are the following items for each Date : MAX UNCOVERED LOSS : amount of maximum margins excess collected in the next 3 days from the date (number of days could change). The excess occurs when the cost of closing prices of the portfolio positions with the next 3 days prices is greater than the margins collected for the Clearing member / account. INITIAL MARGINS : shows the margins collected for the Clearing Member / account MAX GAIN (-) / LOSS (+) : theoretical maximum loss (+ sign) or less gain (- sign) at closing position in the next 3 days from the date. A report will also be available with the daily breaches recorded on the Clearing Member account. Caption 8- breaches trend Page 26 of 42 Pages

27 6. Default Fund Management Default Fund Management reports have been enriched with 2 new data files: Data file D28A related to report RP-MS14, existing and unchanged Data file D28B related to report RP-MS15, existing and unchanged Frequency and access to documentation Documentation is provided monthly. The modalities of access to the documentation are: ICWS: web application accessible from the link on the site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Each Direct Clearing Member has access to the following documentation: One data file D28A related to report RP-MS14, that shows calculation parameters and Default Fund contribution amount for each Clearing Member. One data file D28B related to report RP-MS15, that shows calculation parameters and Default Fund contribution amount for each Clearing Member. Data files are available in sizes txt (flat file) and xml. Page 27 of 42 Pages

28 D28A Default Fund: Monthly Contribution The data file contains the Default fund Monthly Contribution and is related to RP-MS14 report. Description Len Type Notes Date 8,0 N Format yyyymmdd ABI code 5,0 N Default Fund Code 3 A In annex Montly Margins Average 18,2 N Calculate Amount 18,2 N Due Amount 18,2 N Previous Due Amount 18,2 N Variation 18,2 N Debit/Credit 1 A D=Debit;C=Credit GCM Abi Code 5,0 N Currency 3 A Table 10 - Data File D28A Page 28 of 42 Pages

29 D28B Default Fund: Calculation Details Data file, related to RP-MS15 report, contains the parameters for the calculation and the amount of contribution to the Default Fund paid by the investor. Description Len Type Notes Date 8,0 N Format yyyymmdd Margin Date 8,0 N ABI code 5,0 N Default Fund Code 3 A In annex House Account Margin 18,2 N Client Account Margin 18,2 N Total Margin 18,2 N GCM Abi Code 5,0 N Currency 3 A Table 11 - Data File D28A Page 29 of 42 Pages

30 7. Trade Repository The following changes were introduced in Trade Repository before the start of the new European regulation: Data file D01R Derivatives Contracts Data file D12R Trades and Positions Transfers Data file D13R CCP Positions Data file D14R Variation Premium Data file D20R Idex Cascaded Positions In all the data file has been introduced the UTI (Trade Unique Identifier). The UTI composition criteria are available on the CC&G web site documentation. Frequency and access to documentation EMIR implementation didn t introduce any change to the frequency and access to documentation. The documentation is produced daily. The modalities of access to the documentation are: ICWS: web application accessible from the link on the site BCS: distributed application to Customers FTP: ftp flow SFTP: secure ftp flow Data files are available in the formats txt (flat file) and xml. NOTE: In order to minimize impacts to Participants and allow them to plan their actions in an appropriate time-frame, following data files issuance will be maintained within 6 months as they are, starting for this document date: - D01A, - D12A, - D13A - D18B Page 30 of 42 Pages

31 D01R Derivatives Contracts Data file contains the trades executed on the markets for derivatives. Report has been built from scratch to meet the needs of the new European regulation EMIR. Description Len Type Notes Date 8,0 N Format yyyymmdd Member ABI Code 5,0 N Account 1 A In annex Symbol 6 A Expiry 8,0 N Format aaaammgg Strike price 13,6 N Put/Call 1 A C =Call, P =Put (Valued only for Options) Type 1 A F=Futures, O=Option ISIN Code 12 A Buy/Sell 1 A B=Buy, S=Sell Price 13,6 N Quantity 13,3 N Reference number 12,0 N Negotiator ABI Code 5,0 N General ABI Code 5,0 N SubAccount 4 A Client Code 9 A Client Info 16 A Valued for Give-Up Contracts Open Close Indicator 1 A O=Open C=Close Market Id 2 N In annex Multiplier 6,1 N Contract Time 4 N Format hhmm FeeAmount 10,2 N Currency 3 A Reversal Indicator 1 A In annex Series name 30 A Order Number 8 A Trader ID 8 A Market Contract Number 8,0 N Market Contract State 1 A UTI 52 A Table 12 - Data File D01R Page 31 of 42 Pages

32 D12R Trades and Positions Transfers The data file contains all requests for transfer or exchange of positions or contractual. Description Len Type Notes Date 8,0 N Format yyyymmdd Transfer Type 2 A GU =International Give-up TT =Trade transfer PT =Position Transfer Transfer Side 1 A Member ABI Code 5,0 N Account 1 A Time 6,0 N Position Rettifier flag 1 A D=Deliver; R=Receiver. If Deliver = request time; If Receiver = execution time if Deliver = Y/N if Receiver = Open / Close 1 A Contract Number 10,0 N if Deliver = if Receiver = O/C Contract Date 8,0 N Format yyyymmdd Contract Price 13,6 N Quantity 15,6 N Status 1 A Return code 4 A ISIN Code 12 A Product Type 1 A In annex Symbol 6 A Expiry 6,0 N Strike 13,6 N Put / Call 1 A Counterpart 5,0 N ABI Code Time 6,0 N Client Info 16 A Client Account 9 A Buy/Sell 1 A SubAccount 4 A Market Id 2 N In annex FeeAmount 10,2 N Currency 3 A UTI 52 A Table 13 - Data File D12R H =Hold; P =Processed; R =Rejected; A =Aborted. C=Canceled if Deliver = execution time; if Receiver = request time. B=Buy,S=Sell (Transfer Type GU, TT ) S=Short,L=Long (Transfer Type PT ) Page 32 of 42 Pages

33 D13R CCP Positions The data file contains the net positions for each product (ISIN code). Report has been built from scratch to meet the needs of the new European regulation EMIR. Description Len Type Notes Date 8,0 N Format yyyymmdd Member ABI Code 5,0 N Market Id 2 N In annex Account 1 A In annex Position Type 1 A In annex Symbol 6 A Product Type 1 A In annex Expiry 8 N Format yyyymmdd Option Type 1 A Repo Type 1 A P=Put, C=Call (for Option only) P=Cash Leg,T=Forward Leg(for Repo only) Strike Price 13,6 N (for Options only) Isin Code 12 A Description 20 A Long Position 10,0 N Short Position 10,0 N Long Position Countervalue 17,2 N Short Position Countervalue 17,2 N Long Accrued Coupon 17,2 N Short Accrued Coupon 17,2 N Currency 3 A IT= Italian Lire, EU=Euro Underlying Price 13,6 N General Abi Code 5,0 N Delivery Abi Code 5,0 N Delivery Account 5,0 N Position already delivered 10 N Valore sottostante 13,6 N Fail/Execution 1 A BondShare/Cash 1 A Bonis/Malis 1 A Multiplier 6,1 N SubAccount 4 A Settlement Price 13,6 N UTI 52 A MTM Amount 17,2 N Table 14 - Data File D13R Only Option E/A Short Call already delivered F=Fail,E=Execution (Fail Position only) T=BondShare,C=Cash (Fail Position only) B=Bonis,M=Malis (Fail Position Only) Settlement Price(Derivatives Only) Page 33 of 42 Pages

34 D14R Variation Premium The data file contains the margin variations and premiums. Report has been built from scratch to meet the needs of the new European regulation EMIR. Description Len Type Notes Date 8,0 N Format yyyymmdd Member ABI Code 5,0 N Account 1 A In annex SubAccount 4 A Symbol 6 A Expiry 8,0 N Format aaaammgg Strike 13,6 N Type 1 A Info Type 2 A ISIN Code 12 A Description 20 A Long Positions 10,0 N Long Positions Sign 1 A Short Positions 10,0 N Short Positions Sign 1 A Open/Close 1 A Buy/Sell 1 A Margin value 13,2 N =Futures, C=Call, P=Put PI= Initial Position PC=Position Change PT=Position Transfer TT=Trade Transfer BS=Buy/Sell (valued if Info Type=BS) O=Open, C=Close (valued if Info Type=BS) B=Buy, S=Sell Variation or Premium Margin Value Debit/Credit 1 A D=Debit, C=Credit Reference Number 8 N Price 13,6 N Settlement Price 13,6 N Contract price o Pervious Close Price Reference Date 8 N Format yyyymmdd General ABI Code 5,0 N Market Id 2 N In annex Currency 3 A UTI 52 A Table 15 - Data File D14R Page 34 of 42 Pages

35 D20R Idex Cascaded Positions The data file contains information about the positions subject to IDEX Shifting Procedures in the market. Report has been built from scratch to meet the needs of the new European regulation EMIR. Description Len Type Notes Date 8,0 N Format yyyymmdd Member ABI Code 5,0 N Market Id 2 N In annex Account 1 A In annex SubAccount 4 A Pre-shifting Symbol 6 A Instrument Type 1 A F=Futures, O=Options Expiry 6 N Format yyyymm Strike 13,6 N Option Type 1 A P=Put, C=Call (valued only on Option) Isin Code 12 A Pre-shifting Description 20 A Long Positions 10,0 N Short Positions 10,0 N Post Shifting Symbol 6 A Post-shifting Description 20 A General Abi Code 5,0 N Currency 3 A UTI 52 A Table 16 - Data File D20R Page 35 of 42 Pages

36 8. Public Data The public data are used in all the areas and they have not been modified by the new European regulation EMIR. In order to integrate additional requirements were made the changes described below. Class File The change in the field Market Price resulted in the hiring of VM Multiplier field. Below is the track with the updated data highlighted with gray color and the symbol (X) in the first field of the record. Description Len. Type From to Notes Symbol 6 A 1 6 Description 30 A 7 36 Class group 5 A Product group 3 A Class Type 1 A In annex Product Type 1 A In annex Offset 3 N Spot spread rate 11 9(8)V9(3) Non-spot spread rate 11 9(8)V9(3) Delivery rate 11 9(8)V9(3) Multiplier 16 9(8)V9(8) Product Style 1 A In annex Underlying Code 6 A Underlying Price 11 9(5)V9(6) Underlying Isin Code 12 9(5)V9(6) Margin interval 11 9(5)V9(6) Currency 3 A Exchange rate 15 9(7)V9(8) Currency haircut 2 N Minimum margin 9 9(5)V9(4) Interest rate 7 9(2)V9(5) Days to Settle 2 9(02) Expiry Time 4 9(04) Market Id 2 9(02) In annex SubType 1 A In annex X VM Multiplier 16 9(8)V9(8) Table 17- Class file Page 36 of 42 Pages

37 Risk Array The variation of the Market Price field has resulted in a change in the number of characters from 11.6 to 15.6 to meet the need for insertion of a set of more extensive information. Below is the track with the updated data, highlighted with gray color and the symbol (X) in the first field of the record. Description Len. Type From to Notes Date 8 N 1 8 Class Type 1 A 9 9 In annex Symbol 6 A Year 4 N futures = blank Month 2 N futures = blank Strike price 13 9(7)V9(6) futures = blank P/C 1 A futures = blank Isin code 12 A futures = blank X Mark price 15 9(9)V9(6) Downside (5)V9(6) Sign 1 A = negative Downside (5)V9(6) Sign 1 A = negative Downside (5)V9(6) Sign 1 A = negative Downside (5)V9(6) Sign 1 A = negative Downside (5)V9(6) Sign 1 A = negative Upside (5)V9(6) Sign 1 A = negative Upside (5)V9(6) Sign 1 A = negative Upside (5)V9(6) Sign 1 A = negative Upside (5)V9(6) Sign 1 A = negative Upside (5)V9(6) Sign 1 A = negative Short adjustment 11 9(5)V9(6) Sign 1 A = negative Volatility 5 9(3)V9(2) Open Interest 6 9(6) Page 37 of 42 Pages

38 Description Len. Type From to Notes Cleared Volume 7 9(7) Market Id 2 9(2) In annex Currency 3 A Table 18 - Risk Array Page 38 of 42 Pages

39 Collateral concentration limits Below the track of the new data file containing the concentration limits details of the collateral for each country. Descrizione Lung. Tipo Da a Note Date 8,0 N 1 8 Formato yyyymmdd Country 30 A 9 38 Country Code 2 A Limit 3,0 NA % Table 19- Collateral concentration limits Record with Country Code contains the limit stated by CC&G for total collateral concentration. Page 39 of 42 Pages

40 CFI_Code A new public data file has been created in order to insert the CFI Code (Classification of Financial Instruments). Below is described the new public data. Description Len Type From To Note CFI Code 6 A 1 6 CFI Description 100 A Class Symbol 6 A Class Description 35 A Product Type 1 A In annex Put/Call Code 1 A P=Put, C=Call ISIN 12 A Table 20 - Collateral concentration limits Page 40 of 42 Pages

41 9. Attachments Attribute Values Description Value Account Class Type Default Fund Code Market Id Position Indicator Product Type Reversal Indicator Sub Type P=Proper, C=Client F=Future;O=Option;C=Equity,CEF,ETF;W=Warrant;V=Convertible MDF - Cash e derivates; MMT Bond; MEL Energy Derivates; MAG Agricultural Commodities Agricultural Derivates 02=Idem,03=Equities,04=Wholesale bonds;05=idex; 07=Retail bonds I=In The Money, O=Out The Money F=Future, O=Option, C=Equity, ETC, ETF, V=Convertible, W=Warrant, B=Bond, R=Repo, L=Fail C = Correction; R = Reversal D=Delivery,M=Montly,Q=Quarterly,Y=Yearly (IDEX Market Only) Table 21 Attribute values Page 41 of 42 Pages

42 Luglio 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 non-discriminatory 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 Contacts Membership, Client Services & Business Development client.services@lseg.com Cassa di Compensazione e Garanzia S.p.A. Via Tomacelli 146, Roma Clearing & Settlement clearing.settlement@lseg.com