Data File e Report Compliance to EMIR European Standard

December February 3rd 21st th , 20132014

Formattato: Apice

Version 1.75

Formattato: Inglese (Stati Uniti)

Formattato: Apice

Formattato: Inglese (Stati Uniti)

Table of contents

1.

Introduction

4

2.

The environment

5

3.

Segregation and Portability

8

Reports common to all types of account House Account Customer Segregated account - ISA Main Omnibus Account - MOA Additional Omnibus Account - AOA Reports common to all types of account Customer Segregated account, or “ISA” (Individual Segregated Account) Omnibus Account (Main Omnibus) Report for Settlement Agent

8 8 8 8 8 11 13 15 17

Collateral valorisation

20

Collateral deposited Collateral with concentration limits Collateral Deposited Collateral with concentration limits

20 20 21 23

Stress test and back test

24

Stress test Report and Data file Stress test report structure Back test Back Test Report for section and single CM

24 24 25 26 27

Default Fund Management

28

Frequency and access to documentation

28

7.

Trade Repository

31

8.

Public Data

37

Class File Risk Array Collateral concentration limits CFI_Code

37 38 40 41

Attachments

42

Attribute Values

42

4.

5.

6.

9.

EMIR Compliance

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 43 Pages

EMIR Compliance

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

1

Type

Document title

Addressee

Statue

Segregation & Portability

Report

RP-MS01 Daily summary

CM

Updated

Segregation & Portability

Report

RP-MS11 Financial position used for segregated account and omnibus account

 CM for each customer that has requested segregation  CM for each customer group to segregate

Updated

Segregation & Portability

Report

RP-MS12 Financial position Main Omnibus details used for omnibus account

 CM for each customer except NCM  CM for each NCM

New

Segregation & Portability

Report

RP-MS52 Clearing Member Cash Call DetailsCredit/debit Notice with detailed cash call for Segregated Customers

SA

New

Segregation & Portability

Data file

DS05 – Daily Summary

CM

Updated

Segregation & Portability

Data file

DS07 – Financial Position

 CM for each customer that has requested segregation  CM for each customer group to segregate

Updated

Formattato: Tipo di carattere: (Predefinito) Arial, 8 pt

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 NonClearing and the customers (people legal entities) of the Direct Clearing Member as well. Page 5 of 43 Pages

EMIR Compliance

Scope

Type

Document title

Addressee

Statue

Segregation & Portability

Data file

D07A – Daily Summary

 CM for each customer except NCM  CM for each NCM

New

Segregation & Portability

Data file

D27A - Direct Member Cash Call DetailsCredit/debit Notice with detailed cash call for Segregated Customers

 SA

New

Collateral valorisation

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

Updated

Collateral valorisation

Report

RP-MA03 - Collateral Deposited with segregation limits

 CM for house customer, NCM included

New

Collateral valorisation

Data file

D03A - Collateral Deposited Extended

 CM for each customer that has requested segregation

New

Stress test and Back test

Report

RP-ST01 – IDEM+MTA-Fall Scenario

CM

New

Stress test and Back test

Report

RP-ST02 – IDEM+MTA –Rise Scenario

CM

New

Stress test and Back test

Report

RP-ST03 – Bond-Fall Scenario

CM

New

Stress test and Back test

Report

RP-ST04 – Bond -Rise Scenario

CM

New

Stress test and Back test

Report

RP-ST04 – IDEX -Fall Scenario

CM

New

Stress test and Back test

Report

RP-ST06 – IDEX -Rise Scenario

CM

New

Stress test and Back test

Report

RP-ST07 – AGREX -Fall Scenario

CM

New

Stress test and Back test

Report

RP-ST08 – AGREX -Rise Scenario

CM

New

Stress test and Back test

Report

Back Test Report for section and single CM

CM

New

Default Fund Management

Report

RP-MS14 Default Fund: Monthly Contribution

CM

Unmodified

Default Fund Management

Report

RP-MS15 Default Fund: Calculation detail

CM

Unmodified

Formattato: Tipo di carattere: (Predefinito) Arial, 8 pt

Page 6 of 43 Pages

EMIR Compliance

Scope

Type

Document title

Addressee

Statue

Default Fund Management

Data file

D28A - Default Fund: Monthly Contribution

CM

New

Default Fund Management

Data file

D28B - Default Fund: Calculation details

CM

New

Trade Repository

Data file

D01R – Derivatives Contracts

CM

New

Trade Repository

Data file

D12R – Trades and Positions Transfers

CM

New

Trade Repository

Data file

D13R – CCP Positions

CM

New

Trade Repository

Data file

D14R – Variation Premium

CM

New

Trade Repository

Data file

D20R – Idex Cascaded Positions

CM

New

N.a.

Public data

Class File

Public

Updated

N.a.

Public data

Risk Array

Public

Updated

N.a.

Public data

Collateral concentration limits

Public

New

N.a.

Public data

CFI_Code

Public

New

Table 1- Updated documentation List

Page 7 of 43 Pages

EMIR Compliance

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 43 Pages

EMIR Compliance

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 www.ccg.it



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 43 Pages

EMIR Compliance

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 43 Pages

EMIR Compliance

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

MBR : : GKK 1 Currency: EURO Initial margin Collateral value

Daily Summary

RP-MS01

17 JAN 01 20:50:25 Pag.

CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 17 JAN 01 House Acct. Client Acct. 4.906.908,75 8.451.833,99 ,00 3.829.826,08 --------------------------------------4.906.908,75 4.622.007,91 ,00 ,00 ,00 ,00 3.478.072,50 6.582.326,62 1.428.836,25 ,00 ,00 1.960.318,71

Cash Margin Call Excess collateral Other Activity Cash Margin Call Cash held Uncovered Initial Margin Cash Available Realized liabilities Futures variation 1.050.425,00DR Options variation ,00 Options premium ,00 E/A settlement ,00 Cash adjustments/Buy-In ,00 Clearing Fees ,00 Collateral Fees/Del.Payment ,00 Mship Fees/Clearing Services/Buy-I ,00 Interest ,00 Net realized liabilities 1.050.425,00DR Other Activity Net Realized Liabilities ,00 -------------------Excess cash held ,00 -------------------Cash call

401.141,00DR ,00 2.861,00DR ,00 ,00 ,00 ,00 ,00 ,00 404.002,00DR ,00 -------------------1.556.316,71 -------------------2.479.261,25DR

Caption 2- Report RP-MS01

Page 11 of 43 Pages

EMIR Compliance

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.

X

Description Date

Len 8,0

Type N

ABI code

5,0

N

Account

1

A

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

Sign

1

A

Option variation margins

17,2

N

Sign

1

A

Option premiums

17,2

N

Sign

1

A

Exercised / Assigned

17,2

N

Sign

1

A

Cash transfers

17,2

N

Sign

1

A

Commission

17,2

N

Commission on share account

17,2

N

Membership fee

17,2

N

Interest

17,2

N

Sign

1

A

Net charges

17,2

N

Sign

1

A

Excess cash

17,2

N

Credit/debit amount

17,2

N

Sign

1

A

General ABI code

5,0

N

3,0

A

Currency

Notes Format yyyymmdd In annex

(‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘)

(‘+’,’-‘) (‘+’,’-‘)

(‘+’,’-‘)

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 43 Pages

EMIR Compliance

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. MBR : : GKK Currency: EURO Initial margin Collateral value Cash Margin Call Excess collateral Other Activity Cash Margin Call Cash held Uncovered Initial Margin Cash Available Realized liabilities Futures variation Options variation Options premium E/A settlement Cash adjustments/Buy-In Clearing Fees Collateral Fees/Del.Payment Mship Fees/Clearing Services/Buy-I Interest Net realized liabilities Excess cash held Cash call

Financial Position RP-MS11 CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 17 JAN 01 House Acct. Client Acct. 4.906.908,75 8.451.833,99 ,00 3.829.826,08 --------------------------------------4.906.908,75 4.622.007,91 ,00 ,00 ,00 ,00 3.478.072,50 6.582.326,62 1.428.836,25 ,00 ,00 1.960.318,71

17 JAN 01 20:50:25 Pag.

1

1.050.425,00DR 401.141,00DR ,00 ,00 ,00 2.861,00DR ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 1.050.425,00DR 404.002,00DR --------------------------------------,00 1.556.316,71 2.479.261,25DR ,00DR

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 43 Pages

EMIR Compliance

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.

X

Description

Len

Type

Notes

Date

8,0

N

Format yyyymmdd

ABI code

5,0

N

Account

1

A

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

Sign

1

A

Option variation margins

17,2

N

Sign

1

A

Option premiums

17,2

N

Sign

1

A

Exercised / Assigned

17,2

N

Sign

1

A

Cash transfers

17,2

N

Sign

1

A

Commission

17,2

N

Commission on share account

17,2

N

Membership fee

17,2

N

Interest

17,2

N

Sign

1

A

Net charges

17,2

N

Sign

1

A

Excess cash

17,2

N

Credit/debit amount

17,2

N

Sign

1

A

General ABI code

5,0

N

3,0

A

Currency

In annex

(‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘)

(‘+’,’-‘) (‘+’,’-‘)

(‘+’,’-‘)

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 43 Pages

EMIR Compliance

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. Mbr: XXXXXXXXXXXXXXXX 22:08:54 Page Currency: EUR - EURO Initial margin Realized liabilities Futures variation Options variation Options premium E/A settlement Cash adjustments/Buy-In Clearing Fees Collateral Fees/Del.Payment Mship Fees/Clearing Services/Buy-I Interest Net realized liabilities

Daily Margin Activity - Gross

RP-MS12

9 FEB 14

CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 7 FEB 14 House Acct. Client Acct. 4.859.212,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00

,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00 ,00

Caption 4- Report RP-MS12

Page 15 of 43 Pages

EMIR Compliance

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

Initial margins

17,2

N

Futures variation margins

17,2

N

Sign

1

A

Option variation margins

17,2

N

Sign

1

A

Option premiums

17,2

N

Sign

1

A

Exercised / Assigned

17,2

N

Sign

1

A

Cash transfers

17,2

N

Sign

1

A

Commission

17,2

N

Membership fee

17,2

N

Interest

17,2

N

Sign

1

A

Net charges

17,2

N

Sign

1

A

General ABI code

5,0

N

In annex

(‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘) (‘+’,’-‘)

(‘+’,’-‘) (‘+’,’-‘)

Table 4 - Data File DS07A

Page 16 of 43 Pages

EMIR Compliance

Report for Settlement Agent RP-MS52 Clearing Member Cash Call Details Credit and debit notice with segregation Formattato: Tipo di carattere: 8 pt

Report, related to D27A data file, lists Settlement Agents related accounts details 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.

Formattato: Tipo di carattere: 8 pt, Inglese (Stati Uniti) Formattato: Tipo di carattere: 8 pt

Report has been built from scratch to meet the needs of the new European regulation EMIR. Mbr.: BANU BANCA UNO SPA Bank: BANCA UNO SPA

Clearing Member Cash Call Details Trade date: 17 FEB 14

RP -MS52

17 FEB 14

18:00:02 Page

1

Currency: EUR – EURO Member

Account

type

Company Name

Code

Cash call

Payment reason

BAND BANCA DUE SPA BAND

HOUSE

MOA

BANCA DUE SPA

01123 Account Total:

302.488,42 CR -------------------302.488,42 CR MIF-ADG-

01123-P BAND AAAA AAAA BBBB

CLIENT HOUSE CLIENT CLIENT

MOA ISA ISA AOA

BANCA DUE SPA CLIENT AAAA CLIENT AAAA GROUP OF CLIENTS BBB

01123

5.579.442,91 CR 01111 01111

02222 Account Total:

25.874,12 DR 5.887,63 CR 44.456,88 DR -------------------5.514.999,54 CR MIF-ADG-01123-T

KSIM KAPPA SIM SECURITIES SPA KSIM

HOUSE

MOA

KAPPA SIM SECURITIES SPA

55588 Account Total:

2.400,24 DR -------------------2.400,42 DR

MIF-ADG-55588-P KSIM JKLM

CLIENT HOUSE

MOA ISA

KAPPA SIM SECURITIES SPA CLIENT JKLM

JKLM YURI DAME

CLIENT CLIENT CLIENT

ISA ISA AOA

CLIENT JKLM CLIENT YURI GROUP OF CLIENTS DAME

55588

600.448,20 CR 88666 88666 99777

55444

20.789,00 DR 45.456,88 DR 2.657,02 CR 1.456,23 DR -------------------Account Total: 535.403,11 CR MIF-ADG-

55588-T



Page 17 of 43 Pages

EMIR Compliance

Caption 5- Report RP-MS52

Page 18 of 43 Pages

EMIR Compliance

Formattato: Tipo di carattere: 8 pt

D27A – Direct Member Cash Call DetailsCredit and debit notice with segregation The data file contains the payment informations of the "daily margins settlement" which will be settled in the dayall 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 Date Entity code Account Entity Type Amount Reason Code GCM Currency

Description

Len 8,0 5,0 1 3 17,2 20,0 4,0 3

Type N N A A N A N A

Notes Format yyyymmdd Format yyyymmdd

Len

Type

Notes

Date ABI code

Format yyyymmdd

5,0

N 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

Currency

3

A

5,0

N

GCM Abi Code

Tabella formattata

D=Debit; C=Credit

Table 5 - Data File – D27A

Page 19 of 43 Pages

EMIR Compliance

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 16.00



at the end of the closing day, at about 23.00

The modalities of access to the documentation are: 

ICWS: web application accessible from the link on the site www.ccg.it



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 20 of 43 Pages

EMIR Compliance

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 Mbr: GKK Currency: EURO

Collaterals Deposited CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 24 JAN 01 Account: CLIENT Collateral deposited by the member in the account: D/P Rer.N Type Description Face Value/Unit Market Value 6079 IT0000366903 CCT 01 AGO 2001 2.582.280,00 2.591.834,44 D 11460 IT0001338612 BTP 01 NOV 2009 280.000,00 262.472,00 P 11024 IT0001009890 F ENI ORDINARIE 100.000,00 681.000,00 11432 IT0001137311 O OLIVETTI ORDINARIE 15.000,00 42.450,00 2.426.160,47 Account: HOUSE Collateral deposited by the member in the account: 5654 IT0000367786 BTP 15 SET 2001 309.873,60 315.885,15 Margin value total amount: 268.502,38

RP-MA01

Price 100,37 93,74 6,81 2,83

24 JAN 01 20:59:27 Pag.

Margin Value 2.203.059,27 223.101,20

1

Deposited Maturity 26 NOV 98 1 AUG 01 24 JAN 01 1 NOV 09 18 DEC 00 *Expired 23 JAN 01

Margin value total amount:

101,94

268.502,38 8 SEP 98 15 SEP 01

Caption 6- Report RP-MA01 Report has been updated with the elimination of collateral total value as evidenced with the following line

.

Page 21 of 43 Pages

EMIR Compliance

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.

X X

Description

Len

Type

Notes

Date Member ABI Code Account Deposit Type Isin Code Description Face Value Guarantee Value Market Value Haircut Applied General ABI Code Currency Country Class Code

8,0 5,0 1 2 12 30 17,2 17,2 17,2 7,4 5,0 3 30 2,0

N N A A A A N N N N N A A N

Format yyyymmdd In annex

Table 6 - Data File D03A

Page 22 of 43 Pages

EMIR Compliance

Collateral with concentration limits RP-MA03 - Collateral Deposited with concentration 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. Mbr: 0001 XXXX Collateral with concentration limits RP-MA03 18 FEB 14 19:20:36 Pag. 1 Account: C ____________________________________________________________________________________________________________________________________ Currency: EUR Country: EU - FRANCE Country Concentration Limit: 45,00 % Ser.No Cod. Isin Description Type Face Value Price HC Collateral Value Dep. Date Mat. Date 00001 FR0010163543 OAT APR15 EUR 3,5 BTAN 15.000.000 103,96 7% 14.357.520,00 2014/02/05 2015/04/25 00002 FR0120746609 BTAN TF 1% LG17 EUR BTAN 26.000.000 101,49 7% 24.312.288,00 2014/02/05 2017/07/25 Sum Ctv: 38.669.808,00 Max Country: 79.202,25 CTV Total: 79.202,25 Country Excess: 38.590.605,75 ____________________________________________________________________________________________________________________________________ Currency: EUR Country: EU - ITALY Country Concentration Limit: 45,00 % Ser.No Cod. Isin Description Type Face Value Price HC Collateral Value Dep. Date Mat. Date 00003 IT0004321813 CCTS 0.420 01/12/14 CCT 9.000.000,00 100,19 3,5% 8.688.146,40 2014/02/05 2014/12/01 00004 IT0004953417 BTPS 4.500 01/03/24 BTP 100.000.000,00 107,63 3,5% 89.174.400,00 2014/02/05 2024/03/01 Sum Ctv: 97.862.546,40 Max Country: 79.202,25 CTV Total: 79.202,25 Country Excess: 97.783.344,15 ____________________________________________________________________________________________________________________________________ Total Concentration Limit: 50,00 % Initial Margins: 176.005,00 Sum Total CVT: 158.404,50 Max Total: 88.002,50 Available Collateral: 88.002,50 Excess Collateral: 136.444.351,90

Caption 7 - Collateral with concentration limits

Page 23 of 43 Pages

EMIR Compliance

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 www.ccg.it



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 24 of 43 Pages

EMIR Compliance

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

01/10/2013

-335.633.626,00

-44.025.997,00

-379.659.623,00

675.552.378,00

132.510.445,00

808.062.823,00

02/10/2013

-325.566.895,00

-39.256.253,00

-364.823.148,00

631.255.568,00

115.658.259,00

746.913.827,00

…..

…..

…..

…..

…..

…..

…..

31/10/2013

280.659.856,00

15.258.944,00

280.659.856,00

570.659.689,00

98.568.555,00

669.228.244,00

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 25 of 43 Pages

EMIR Compliance

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 www.ccg.it



BCS: distributed application to Customers



FTP: ftp flow



SFTP: secure ftp flow

Page 26 of 43 Pages

EMIR Compliance

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

01/10/2013

0

6.649.884

2.626.448

02/10/2013

0

6.649.884

1.523.000

….

….

….

….

31/10/2013

0

6.649.884

2.523.000

INITIAL MARGINS

MAX GAIN (-) / LOSS (+)

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 27 of 43 Pages

EMIR Compliance

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 www.ccg.it



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 28 of 43 Pages

EMIR Compliance

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

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

GCM Abi Code

5,0

N

3

A

Currency

In annex

D=Debit;C=Credit

Table 10 - Data File D28A

Page 29 of 43 Pages

EMIR Compliance

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

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

In annex

Table 11 - Data File D28A

Page 30 of 43 Pages

EMIR Compliance

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 www.ccg.it



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 31 of 43 Pages

EMIR Compliance

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

Symbol

6

A

Expiry

8,0

N

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

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

Open Close Indicator

1

A

O=Open C=Close

Market Id

2

N

In annex

Multiplier

6,1

N

Contract Time

4

N

FeeAmount

10,2

N

Currency

3

A

Reversal Indicator

1

A

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

In annex Format aaaammgg

B=Buy, S=Sell

Valued for Give-Up Contracts

Format hhmm

In annex

Table 12 - Data File D01R

Page 32 of 43 Pages

EMIR Compliance

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

D=Deliver; R=Receiver.

Member ABI Code

5,0

N

Account

1

A

Time

6,0

N

If Deliver = request time; If Receiver = execution time

Position Rettifier flag

1

A

if Deliver = Y/N if Receiver = ‘ ’

Open / Close

1

A

if Deliver = ‘ ’ if Receiver = O/C

Contract Number

10,0

N

Contract Date

8,0

N

Contract Price

13,6

N

Quantity

15,6

N

Status

1

A

Return code

4

A

ISIN Code

12

A

Product Type

1

A

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

if Deliver = execution time; if Receiver = request time.

Client Info

16

A

Client Account

9

A

Buy/Sell

1

A

SubAccount

4

A

Market Id

2

N

FeeAmount

10,2

N

3

A

52

A

Currency UTI

Format yyyymmdd

‘H’=Hold; ‘P’=Processed; ‘R’=Rejected; ‘A’=Aborted. C=Canceled

In annex

B=Buy,S=Sell (Transfer Type “GU”,”TT”) S=Short,L=Long (Transfer Type ”PT”) In annex

Table 13 - Data File D12R

Page 33 of 43 Pages

EMIR Compliance

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

P=Put, C=Call (for Option only)

Repo Type

1

A

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

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

F=Fail,E=Execution (Fail Position only)

BondShare/Cash

1

A

T=BondShare,C=Cash (Fail Position only)

Bonis/Malis

1

A

B=Bonis,M=Malis (Fail Position Only)

Multiplier

6,1

N

SubAccount

4

A

Settlement Price

13,6

N

UTI

52

A

MTM Amount

17,2

N

IT= Italian Lire, EU=Euro

Only Option E/A – Short Call already delivered

Settlement Price(Derivatives Only)

Table 14 - Data File D13R Page 34 of 43 Pages

EMIR Compliance

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

Date

8,0

N

Member ABI Code

5,0

N

Account

1

A

SubAccount

4

A

Symbol

6

A

Expiry

8,0

N

Strike

13,6

N

Type

1

A

Notes Format yyyymmdd In annex

Format aaaammgg

‘ ‘=Futures, C=Call, P=Put PI= Initial Position PC=Position Change

Info Type

2

A

ISIN Code

12

A

BS=Buy/Sell

Description

20

A

EX=Exercise AS=Assign

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

Debit/Credit

1

A

Reference Number

8

N

Price

13,6

N

Settlement Price

13,6

N

Reference Date

8

N

General ABI Code

5,0

N

Market Id

2

N

Currency

3

A

52

A

PT=Position Transfer TT=Trade Transfer

UTI

(valued if Info Type=BS) O=Open, C=Close (valued if Info Type=BS) B=Buy, S=Sell Variation or Premium Margin Value D=Debit, C=Credit Contract price o Pervious Close Price

Format yyyymmdd In annex

Table 15 - Data File D14R

Page 35 of 43 Pages

EMIR Compliance

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

Member ABI Code

5,0

N

Format yyyymmdd

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

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

52

A

UTI

P=Put, C=Call (valued only on Option)

Table 16 - Data File D20R

Page 36 of 43 Pages

EMIR Compliance

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

37

41

Product group

3

A

42

44

Class Type

1

A

45

45

In annex

Product Type

1

A

46

46

In annex

Offset

3

N

47

49

Spot spread rate

11

9(8)V9(3)

50

60

Non-spot spread rate

11

9(8)V9(3)

61

71

Delivery rate

11

9(8)V9(3)

72

82

Multiplier

16

9(8)V9(8)

83

98

Product Style

1

A

99

99

Underlying Code

6

A

100

105

Underlying Price

11

9(5)V9(6)

106

116

Underlying Isin Code

12

9(5)V9(6)

117

128

Margin interval

11

9(5)V9(6)

129

139

Currency

3

A

140

142

Exchange rate

15

9(7)V9(8)

143

157

Currency haircut

2

N

158

159

Minimum margin

9

9(5)V9(4)

160

168

Interest rate

7

9(2)V9(5)

169

175

Days to Settle

2

9(02)

176

177

Expiry Time

4

9(04)

178

181

Market Id

2

9(02)

182

183

In annex

SubType

1

A

184

184

In annex

X VM Multiplier

16

9(8)V9(8)

185

200

In annex

Table 17- Class file

Page 37 of 43 Pages

EMIR Compliance

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

X

Len.

Type

Date

8

N

1

8

Class Type

1

A

9

9

Symbol

6

A

10

15

Year

4

N

16

19

futures = blank

Month

2

N

20

22

futures = blank

Strike price

13

9(7)V9(6)

23

34

futures = blank

P/C

1

A

35

35

futures = blank

Isin code

12

A

36

47

futures = blank

Mark price

15

9(9)V9(6)

48

62

Downside 5

11

9(5)V9(6)

63

73

Sign

1

A

74

74

Downside 4

11

9(5)V9(6)

75

85

Sign

1

A

86

86

Downside 3

11

9(5)V9(6)

87

97

Sign

1

A

98

98

Downside 2

11

9(5)V9(6)

99

109

Sign

1

A

110

110

Downside 1

11

9(5)V9(6)

111

121

Sign

1

A

122

122

Upside 1

11

9(5)V9(6)

123

133

Sign

1

A

134

134

Upside 2

11

9(5)V9(6)

135

145

Sign

1

A

146

146

Upside 3

11

9(5)V9(6)

147

157

Sign

1

A

158

158

Upside 4

11

9(5)V9(6)

159

169

Sign

1 11

A 9(5)V9(6)

170 171

170 181

Sign

1

A

182

182

Short adjustment

11

9(5)V9(6)

183

193

Sign

1

A

194

194

Volatility

5

9(3)V9(2)

195

199

Open Interest

6

9(6)

200

205

Upside 5

From

to

Notes

In annex

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

- = negative

Page 38 of 43 Pages

EMIR Compliance

Description

Len.

Type

From

to

Cleared Volume

7

9(7)

206

212

Market Id

2

9(2)

213

214

Currency

3

A

215

217

Notes

In annex

Table 18 - Risk Array

Page 39 of 43 Pages

EMIR Compliance

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

Date

8,0

N

1

8

Country

30

A

9

38

Country Code

2

A

39

40

Limit

3,0

NA

41

43

Note Formato yyyymmdd

%

Table 19- Collateral concentration limits Record with Country Code contains the limit stated by CC&G for total collateral concentration.

Page 40 of 43 Pages

EMIR Compliance

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

7

106

Class Symbol

6

A

107

112

Class Description

35

A

113

147

Product Type

1

A

148

148

In annex

Put/Call Code

1

A

149

149

P=Put, C=Call, F=Future

ISIN

12

A

150

162

Table 20 – CFI Code

Page 41 of 43 Pages

EMIR Compliance

9. Attachments

Attribute Values Description

Value

Account

C=Client F=Firm (House)

Class Type

F=Future;O=Option;C=Equity,CEF,ETF;W=Warrant;V=Convertible

Default Fund Code

MDF - Cash e derivates; MMT – Bond; MEL –Energy Derivates; MAG –Agricultural Commodities Agricultural Derivates

Market Id

02=Idem,03=Equities,04=Wholesale bonds;05=Idex; 07=Retail bonds

Position Indicator

I=In The Money, O=Out The Money

Product Type

F=Future, O=Option, C=Equity, ETC, ETF, V=Convertible, W=Warrant, B=Bond, R=Repo, L=Fail

Reversal Indicator

C = Correction; R = Reversal

Sub Type

D=Delivery,M=Montly,Q=Quarterly,Y=Yearly – (IDEX Market Only)

Table 21 – Attribute values

Page 42 of 43 Pages

© Luglio 2013 - 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 [email protected]

Codice campo modificato

+39 02 72426 501 Clearing & Settlement [email protected] Cassa di Compensazione e Garanzia S.p.A. Via Tomacelli 146 , 00186 Roma www.ccg.it

+39 06 32395 321 +39 06 32395 320

Codice campo modificato