Cassa di Compensazione e Garanzia

Transcription

1 Cassa di Compensazione e Garanzia Tecnical Manual January 12 t, 2015 Version 1.1

2 Contents INTRODUCTION... 6 PART I: CLEARING REPORTS... 6 PART II: DATA FILES... 6 PART I CLEARING REPORTS... 7 SECTION I TRANSACTIONS... 8 RP-MT12 Options Contracts... 8 RP-MT05 Net Positions of Option Contracts... 9 RP-MT02 Options Exercised/Assigned RP-MT04 Pending trades RP-MT14 Options Transferred under Give-Up RP-MT15 Options Received under Give-Up RP-MT62 IDEM Futures Contracts RP-MT63 IDEX Futures Contracts RP-MTG2 AGREX Futures Contracts RP-MT55 Net Positions of IDEM Futures Contracts RP-MTE5 Net Positions of IDEX Futures Contracts RP-MTG5 Net Positions of AGREX Futures Contracts RP-MT64 Futures Transferred under Give-Up RP-MT65 Futures Received under Give-Up RP-MT06 BCS Transfers RP-MC03 Alternative Delivery First Pase RP-MC04 Alternative Delivery Second Pase SECTION II POSITIONS RP-MP01 Option Open Positions in te accounts RP-MP02 Option Open Positions in te subaccounts RP-MS59 Adjusted Options RP-MP11 Expired Options RP-MP51 IDEM Futures Open Positions in te accounts RP-MP52 IDEM Futures Open Positions in te subaccounts RP-MPE1 IDEX Futures Open Positions RP-MPG1 AGREX Futures Open Positions in te Accounts RP-MPG2 AGREX Futures Open Positions in te Subaccounts RP-MPE2 IDEX Futures Positions Pre-Cascading RP-MPE3 IDEX Futures positions - Cascading RP-MX11 IDEX Futures Positions Post-Sifting RP-MP31 Open Positions on Bond Section RP-MP21 Open Positions on Sare Section RP-MC01 AGREX Matced Positions RP-MC02 Settled and Unsettled AGREX Positions RP-MC06 AGREX Sales Positions RP-MC07 AGREX Sales Positions Uncovered RP-MC08 AGREX Contracts Settled in te Day SECTION III COLLATERALS RP-MA01 Collaterals Deposited RP-MA03 Collateral value... 50

3 SECTION IV DAILY SETTLEMENT, MARGINS AND DEFAULT FUND RP-MS49 Request of Payments RP-MS50 Credit Notice RP-MS51 Debit/Credit Notice RP-MS52 Clearing Member Cas Call Details RP-MS01 Daily Summary RP-MS11 Financial Position RP-MS12 MOA Financial Position detail RP-MS22 Initial Margins - Equity Derivatives and Sare Sections RP-MS24 Initial Margins by subaccount - Equity Derivatives and Sare Sections RP-MS42 Initial Margins calculated separately by Section RP-MSE2 Initial Margins Energy Derivatives Section RP-MSE4 Initial Margins - IDEX Positions on Delivery RP-MSE6 Initial Margins by subaccount - IDEX ordinary positions RP-MSE8 Initial Margins by subaccount - IDEX positions on delivery RP-MS61 Calculation of Initial Margins on Bond Section Marginable Positions RP-MS62 Calculation of Initial Margins on Bond Section Mark-to-Market RP-MS63 Calculation of Initial Margins on Bond Section Division into Classes RP-MS64 Calculation of Initial Margins on Bond Section Intra-Class Offset RP-MS65 Calculation of Initial Margins on Bond Section Inter-Class Offset RP-MS67 Calculation of Initial Margins on Bond Section Final Initial Margin RP-MS68 Final Margin calculation RP-MS70 Initial Margins on Bond Section ICSDs RP-MS00 Initial Margins summary RP-MS33 Intraday Margin Call RP-MS35 Intraday Margin Debit Notice RP-MS36 Intraday Amount by GCM/NCM RP-MC09 AGREX Cas Settlement in case of Default RP-MSG1 AGREX Initial Margins on Delivery Matced Positions RP-MSG2 AGREX Initial Margins on Ordinary Positions RP-MSG4 AGREX Initial Margins on Delivery Positions and Increased Initial Margins RP-MS14 Default Fund - Montly Contribution RP-MS15 Default Fund Calculation Details SECTION V FEES AND INTERESTS RP-MS05 Montly accrued Interest RP-MT36 Detail of Carged Services RP-MT37 List of Subscribed Services RP-MT48 Montly Fees RP-MT47 Montly Fees on Fails RP-MFM4 Fees Bond Retail RP-MFM6 Fees Bond Wolesale RP-MFM8 ICSD - Retail Fee Montly RP-MFM9 ICSD - Daily Fees SECTION VI OPTIONS EXPIRY RP-MX01 Expiring Options RP-MX04 Stock Options Assigned at Maturity SECTION VII... SETTLEMENT OF DERIVATIVES UNDERLYING 98 RP-MD01 Options Exercised/Assigned to be settled RP-MD51 Expired Futures Positions to be settled RP-MD55 Sares and countervalue to be settled at te Settlement Service SECTION VIII...FAILS, BUY-IN AND SELL-OUT 101 RP-ME30 Margined fails of te day - Sare and Equity Derivatives Sections RP-ME31 Margined fails of te day - Bond Section and ICSDs Bons Section RP-MP10 Fail Positions - Sare and Equity Derivatives Sections RP-MP13 Fail Positions - Bond Section RP-MP14 Fail Positions - Sare and Equity Derivatives Sections RP-MP15 Fail Positions - Bond Section RP-MS27 Failed Positions Margins - Sare and Equity Derivatives Sections RP-MS97 Failed Positions Margins - Bond Section

4 RP- MS90 Fail Initial Margin Bond Section ICSDs RP- MS91 Contracts in Fail RP- MS92 Calculation of Initial Margins RP- MS93 Margins Calculation Fail RP-ME01 Buy-in Notice - Sare and Equity Derivatives Sections RP-ME02 Buy-in Notice - Bond Section RP-ME03 Sell-Out Notice - Sare and Equity Derivatives Sections RP-ME04 Sell-Out Notice - Bond Section RP-ME05 Notification of execution of Buy-in - Sare and Equity Derivatives Section RP-ME06 Notification of execution of Buy-in - Bond Section RP-ME07 Notification of execution of Sell-Out - Sare and Equity Derivatives Section RP-ME08 Notification of execution of Sell-Out - Bond Section RP-ME09 Outcome of Buy-In/Member in Fail - Sare and Equity Derivatives Sections RP-ME10 Outcome of Buy-In/Member in Bonis - Sare and Equity Derivatives Sections RP-ME11 Outcome of Buy-In/Member in Fail - Bond Section RP-ME12 Outcome of Buy-In/Member in Bonis - Bond Section RP-ME13 Cas Settlement/Member in Fail - Sare and Equity Derivatives Sections RP-ME14 Cas Settlement/Member in Bonis - Sare and Equity Derivatives Sections RP-ME15 Cas Settlement /Member in Fail - Bond Section RP-ME16 Cas Settlement /Member in Bonis - Bond Section RP-ME17 Outcome of Sell-Out - Sare and Equity Derivatives Sections RP-ME18 Outcome of Sell-Out - Bond Section RP-ME21 Compensation of Failed Contractual Positions in Bond Section RP-ME25 Outcome of Buy-In/Member in Bonis - Sare and Equity Derivatives Sections RP-ME26 Outcome of of Buy-In/Member in Bonis - Bond Section RP-MD21 Partial and Splitting Bond Section ICSDs RP-MD22 Partial Bond Section ICSDs for Settlement Agents SECTION IX... SUBACCOUNT 153 RP-MC05 AGREX Subaccounts SECTION X BASILEA III ASSET CLASS RP-MB01 AGREX asset class RP-MB02 Equity Derivate asset class RP-MB03 IDEX asset class RP-MB04 BOND asset class SECTION XI... CORPORATE ACTIONS 158 RP-MS18 Cas instruction Bond Section ICSDs RP MS21 Cas Transfer Bond Section SECTION XII... DEFAULT FUND ACCOUNT STATEMENTS 161 RP-MAG1 DF Agrex - Agricultural Commodities - Account statement RP-MAG2 DF Agrex - Agricultural Commodities Detailed Account statement RP-MDF1 DF Equity - Bit & Derivate Account statement RP-MDF2 DF Equity - Bit & Derivate Detailed Account statement RP-MEL1 DF Idex - Energy Derivate Section - Account statement RP-MEL2 DF Idex - Energy Derivate Section Detailed Account statement RP-MIC1 DF MIC - Int.Collateral Market Account statement RP-MIC2 DF MIC - Int.Collateral Market Detailed Account statement RP-MMT1 DF Bond - MTS Bonds Account statement RP-MMT2 DF Bond - MTS Bonds Detailed Account statement PART II DATA IN PROCESSABLE FORMAT SECTION I SERVER FTP Public data Members data SECTION II TRADING SERVICES Public data Members Data SECTION III DAILY STATEMENT OF PAYMENTS M01 Message

5 M03 Message MT298 Message PART III : TECNOLOGIC TECHNOLOGICAL INFRASTRUCTURE SECTION I BCS SECTION II ICWS SECTION III TECHNOLOGICAL INFRASTRUCTURE FOR PROFILE OF MEMBERSHIP AND SECTION

6 INTRODUCTION Tis Tecnical Manual describes te information and services tat CC&G provides to Members and Settlement Agents and te systems used. Te Manual is divided into two parts. PART I: CLEARING REPORTS Te first part describes te Clearing Reports (indicated as Reports in te Instructions) tat CC&G sends to Clearing Members and Settlement Agents. Tis part is divided in turn into tematic sections eac covering a different pase of te Clearing process; te contents of te clearing reports specific to eac pase are explained in detail. We also describe te systems used to make reports available. Transactions: Positions: Collateral: contracts traded and cleared; net positions; financial instruments (government bonds and sares) deposited as collateral; Daily settlement, Margins and Default Fund: margins calculated by CC&G on open positions; financial position; daily settlement; Fees and Interest: Options expiry: Montly summary of fees due and accrued interest; positions in options exercised or assigned early and at maturity; Settlement of Derivatives Underlying : expired Positions wit an underlying to be settled in te Settlement System; Fail, Buy-in and Sell-out: failed positions and buy-in and sell-out procedures. PART II: DATA FILES Te second part describes te data files tat CC&G makes available to Members and Settlement Agents. Tis part is divided in turn into tematic sections describing te Systems used to provide data files. 6

7 PART I CLEARING REPORTS Clearing Reports are sent to Members and to Settlement Agents troug te Tecnological Infrastructure (ICWS/BCS) and via FTP server (ftp.ccg.it). In bot cases, members are required to subscribe te Request for Services contract, on te BIt Club web site ( Clearing reports are available after te nigt batc. Te ICWS and BCS users manuals are available on CC&G web site, in section: Tecnical Area/ Manuals. To download reports from te FTP server wit automated procedure please refer to te following instructions: Directory: WEBREPORT File Name: YYYYMMDD-XXXX pdf YYYYMMDD-XXXX pdf YYYYMMDD: date XXXX: Reports name (for example: MP21) 99999: Clearing Member ABI code (for example: 09000) 99999: Non Clearing Member ABI code (for example:09001) 7

8 SECTION I Transactions Tis section describes clearing reports on executed and cleared transactions. Te section also describes report specific for te Derivatives instruments on position/trade transfers, give-up and options exercises/assignments: RP-MT12 Options Contracts Te Report sows te options traded by te Member or received in give-up (Market and international). Sample RP-MT12 Report Mbr: GKK OPTIONS Contracts RP-MT12 12 JAN 01 20:27:14 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 12 JAN 01 Executed Trade By Member in te Day: Series Trade Buy/ Number Executed Clearing Contract Price Sell of Lots By Fees Acct: Client *OMN SPG O MAR01 2,50 C 0,1200 S 8 CCFF, MAR01 2,50 C 0,1200 S 2 CCFF, te Report is created for all Members of te Equity Derivatives Section and made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; contracts received under give-up (available in RP-MT15 Report) sow te name of te trading Member in te Executed By column; te Clearing Fees column sows te fees due to CC&G for eac contract. Tese fees are debited to Members on te first working day of te following mont and summarized in te RP-MT48 Report; Contract indicates te univocal identification number of te contract. 8

9 RP-MT05 Net Positions of Option Contracts Te Report sows te amount of premiums and/or daily variation margins to be settled wit CC&G for options business. Sample RP-MT05 Report Mbr: GKK Net Positions of OPTIONS Contracts RP-MT05 10 AUG 05 20:40:33 Page 1 AAB CASSA DI COMPENSAZIONE E GARANZIA Acct: HOUSE *OMN Trade Date: 10 AUG 05 Last Open Positions Buy/ Prv/Trd Settlement Variation Ref Series Activity Sort Long Mkt O/C Sell Price Price Margin Numb ENI JN01 6,80 P TRANSFER 250+ I 0 0,4710,00 Curr. Net Position 250 G JA01 38 P 12JUC ,7380 0,3420,00 G JA01 38 P POS CHG 1- I 0,3420,00 G JA01 38 P POS CHG 1- I 0,3420,00 Curr. Net Position 2 MB FB01 11,50 C 9JUL05 3 0,1525 0,1320,00 MB FB01 11,50 C 1- ESC 0,1320,00 MB FB01 11,50 C 2- I C V 0,2200 0, ,00 CR Curr. Net Position 220,00 CR MS FB01 11,50 P 3JUL05 1 0,1525 0,1210,00 MS FB01 11,50 P 1- I C A 0,1100 0, ,00 DR Curr. Net Position 110,00 DR SPMIB SP P 18JUL ,00 SPMIB SP P TRF TRD 2- I ,00 CR Curr. Net Position 2.600,00 CR TIS JA01 15 C 10JAN01 4 2,3398 2,9866,00 TIS JA01 15 C 2- ASG 2,9866,00 Curr. Net Position 2 TIT1 DC05 2,7746 C 15JUL ,0786 0,0658,00 TIT1 DC05 2,7746 C TRF I 0,0000 0,0658,00 Curr. Net Position Total Variation Adjustment /Premium EU,00 Total Premium EU 2.710,00 CR te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; Transfers of positions are indicated wit: TRANSFER if executed by fax; TRF POS if executed troug BCS; Transfers of contracts, wit te exception of international give up transfers, are indicated wit: TRF TRD. Tese transfers, togeter wit international give up transfers, are also indicated in report (MT06); Positions registered in te member account, received troug Market and international give-up transfers are indicated in te report witout te indication of te transfer. Transfers are indicated in appropriate reports. Repots MT14/ MT15/ MT64/ MT65 for Market give-up transfers, MT06 for international give up transfers; te canges in gross positions on client account (corrections of te O/C codes) are indicated by POS CHG ; 9

10 options exercised and assigned are indicated by ESC and ASG, respectively; te Buy/Sell column contains an B for a purcase or a S for a sale; te Total Variation Adjustment / Premium and Total Premium amounts are included as separate items in te MS11 and MS01 Reports. 10

11 RP-MT02 Options Exercised/Assigned Te Report lists te options te Member as exercised and tose it as been assigned. Sample RP-MT02 Report Ader.: GKK Options Exercised/Assigned RP-MT02 19 JAN 01 20:44:40 Page 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 19 JAN Exercise Value Settle Settle Series Account Exercised Assigned Debit Credit Date Price Type BTP JN C C *OMN Jan ,88 FUT BIP JA01 7,20 C C *OMN 3, ,00 24 JAN 01 7,20 ST ENI JA01 7,20 P C *OMN ,00,00 24 JAN 01 7,20 ST OIB30 JA C C *OMN ,00,00 22 JAN CSH OL JA01 3 P C *OMN ,00,00 24 JAN 01 3 ST OL JA01 3,40 P C *OMN ,00,00 24 JAN 01 3,40 ST SPG JA01 2 C C *OMN ,00,00 24 JAN 01 2 ST , ,00 te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; te Account column sows te account ( H = House, C = Client) and te related section (Omnibus or Subaccount) in wic te option positions ave been exercised or assigned. te Exercise Value - Debit or Credit columns sow: for options tat provide for delivery of te underlying asset, te amount to be paid in te settlement; for options tat provide for te settlement of a differential in cas, te amount to be settled. Te amounts are obtained: for stock options, by multiplying te number of Positions by te settlement price and te number of sares underlying te options contract; for options on te S&P/MIB stock index, by multiplying te number of Positions by te value of te index point (te multiplier of te contract), te differential between te strike price and te settlement price; te Settle Date column sows te settlement day of te asset underlying te option. te Settle Price column: for stock options coincides wit te strike price, for options on te S&P/MIB stock index indicates te value of te index calculated using te first opening prices of te component financial instruments, observed on te last day of trading, and for options on BTP Futures indicates te closing price of te underlying asset. in te Settle Type column, ST indicates tat settlement will be made via te Settlement Service, CSH tat settlement will be made in cas directly wit CC&G; te undertakings tat derive, on settlement day, from te exercise and/or assignment of options tat provide for delivery of te underlying asset are sown in te RP-MD01 Report. te total cas differential to be settled wit CC&G is included under Pagamento E/A in te RP-MS01 Report. General Clearing Members can verify teir own Amounts due, net and tose of eac Non- Clearing Member in te RP-MS11 Report. 11

12 RP-MT04 Pending trades Te report sows all contracts and positions transfers not completed during te day, due to te lack of counterparty acceptance witin due date. Te proposed transfer not accepted by te counterparty are automatically deleted at te end of te day. Sample RP-MT04 Report Mbr: XXXX/XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX Pending Trasfers RP-MT04 4 FEB 14 21:36:04 Page CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 7 FEB 14 D/R Act Time Ret O/C Trd.No Date Price Quantity Sts Cod. O/F Dscription Cnt. Client Info Cli. Acc D C 09:16 N /02/14, H 0000 O TIT4L F80LDN F80LDN D C 09:16 N /02/14, H 0000 O TIT4L F80LDN F80LDN D C 09:17 N /02/14, H 0000 O TIT4L F80LDN F80LDN D C 09:17 N /02/14, H 0000 O TIT4L F80LDN F80LDN te report is produced for all participants and is available before te start of trading; te column "D / R" indicates weter te transfer was not completed at te output ( D = deliver) or incoming (R = receiver ) ; Te column " Act " sows te account from wic te transfer was to be made ; Te column " Contr. " indicates te number of te contract not transferred ; Te column " Date " sows te date te contract not transferred ; te column " Price " sows te price of te contract not transferred ; Te column, " Sts " indicates weter te proposed transfer as been ignored (H), canceled by te Participant wo submitted te (C) or rejected by te receiving party (R) ; Te column " O / F" indicates if te contract as an option (O) or futures (F); te column " CNT " indicates te number of te Participant ENTITY counterparty; te column "Client Info" may contain information relating to te customer; te column " Cli. Acc " may contain te account number. 12

13 RP-MT14 Options Transferred under Give-Up Te Report lists te options traded and transferred under give-up to te Designated Member. Sample RP-MT14 Report Mbr: GKK Options Transferred under Give-up RP-MT14 18 JAN 01 21:29:48 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Contrattazioni Del: 18 JAN 01 Executed Trade By Member in te day: Series Expiry Trade Buy/ Number Cleared Contract Price Sell of Lots by Type Acct: CLIENT *OMN ENI O MAR01 6,40 P 0,1780 B 600 YYYY Intern MAR01 6,40 P 0,1780 S 600 YYYY Intern MAR01 6,40 P 0,1785 B 400 YYYY Intern MAR01 6,40 P 0,1785 S 400 YYYY Market SPMIB O JAN C 30 B 10 YYYY Market JAN C 34 B 5 YYYY Market JAN C 34 B 1 YYYY Intern JAN C 34 B 1 YYYY Intern JAN C 34 B 1 YYYY Intern JAN C 35 B 2 YYYY Market JAN C 30 B 10 YYYY Market JAN C 33 B 100 YYYY Market te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; contracts transferred under give-up sow te name of te Member tat received tem in te Cleared by column; te Type column indicates te give-up type, international or Market; Contract indicates te univocal identification number of te contract. 13

14 RP-MT15 Options Received under Give-Up Te Report lists te options traded by anoter Member and transferred under give-up to te Member receiving te Report. Sample RP-MT15 Report Mbr: GKK Options Received under Give-up RP-MT15 18 JAN 01 21:30:05 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 18 JAN 01 Executed Trade By Member in te day: Series Trade Buy/ Number Executed Clearing Contract Price Sell of Lots by Type fees Acct: CLIENT *OMN ENI O MAR01 6,40 P 0,1780 B 600 YYYY Market 60, MAR01 6,40 P 0,1780 S 600 YYYY Market 60, MAR01 6,40 P 0,1785 B 400 YYXX Intern 40, MAR01 6,40 P 0,1785 S 400 YYXX Intern 40, SPMIB O JAN C 30 B 10 YYCC Intern 4, JAN C 34 B 5 YYCC Market 2, JAN C 34 B 1 VVRR Market, JAN C 34 B 1 VVRR Intern, JAN C 34 B 1 VVRR Market, JAN C 35 B 2 VVRR Intern, JAN C 30 B 10 VVRR Intern 4, JAN C 33 B 100 VVRR Market 41, te Report is created for Designated Members of te Derivatives Section and is made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; te Executed by column indicates te Member tat concluded te contracts received under give-up; te Type column indicates te give-up type, international or Market; te Clearing fees column sows te commissions due to CC&G for eac contract. Tese commissions are debited to Members on te first working day of te next mont and summarized in te RP-MT48 Report; Contract indicates te univocal identification number of te contract. 14

15 RP-MT62 IDEM Futures Contracts Te Report lists te IDEM futures contracts traded by te Member or received under give-up. Sample RP-MT62 Report Mbr: GKK IDEM Futures Contracts RP-MT62 4 JAN 01 20:33:27 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 4 JAN 01 Executed Trade By Member in te day: Series Trade Buy/ Number Executed Clearing Contract Price Sell of Lots By fees Acct: CLIENT *OMN MIB30 F MAR S 2, MAR B 1, MAR S 1, MAR S 1, MAR B 1, MAR B 1, MAR B 2, te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; contracts received under give-up, indicated in te RP-MT65 Report, sow te name of te Member tat received tem in te Executed By column; Contract indicates te univocal identification number of te contract. 15

16 RP-MT63 IDEX Futures Contracts Te Report lists te IDEX futures contracts traded by te Member or received under give-up. Sample RP-MT63 Report Ader.:GKK IDEX Futures Contracts RP-MT63 4 SEP 08 14:44:26 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Currency: EURO Trade date: 28 JAN 08 Contract Delivery Buy/ Number Executed Clearing Contract Mont Price Sell of Lots By fees Account : CLIENT *OMN M02FB F MAR08 68,00 A 150 1, Q01FB F JUN08 66,00 V 200 2, Total Subaccount 3,50 Total Account 3,50 Account : HOUSE *OMN M01FB F FEB08 41,20 A 100 1, Y01FB F DEC09 44,00 A 250 2, Total Subaccount 3,50 Total Account 3,50 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; if te contract is received under give-up, te Executed By column indicates te code of te trader Member. Futures contracts received under give-up are also indicated in te RP-MT65 Report; Contract indicates te univocal identification number of te contract. 16

17 RP-MTG2 AGREX Futures Contracts Te Report lists te AGREX futures contracts traded by te Member or received under give-up on te day of reference. Sample RP-MTG2 Report Mbr: BAN1 BANCA UNO SPA AGREX Futures Contracts RP-MTG2 21 AUG 12 19:47:53 Pag. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Currency: EUR - EURO Trade Date: 21 AUG 12 Executed Trade by Member in te Day: Series Trade Buy / Number Executed Clearing Price Sell of Lots by Fees Contract Acct: CLIENT *OMN DWHEAT F DWHEAT2H 101,03 S 4 BAN2 40, DWHEAT2I 101,25 S 5 BAN5 50, Acct: HOUSE *OMN Total Subaccount 90,00 Total Account 90,00 DWHEAT F DWHEAT2H 101,03 B 3 30, DWHEAT2I 101,25 B 7 70, Total Subaccount 100,00 Total Account 100,00 Te Report is created for all Members of te Agricultural Commodity Derivatives Section and is made available before te start of trading on te following day. Te Series column sows te symbol of te Futures series traded. Te Acct: line sows te Account ("House" or "Client") and any subaccount for wic a contract was traded. Te Trade Price column sows te trade price of te contract. Te Buy / Sell column displays te value B in te case of a purcase or S in te case of a sale. Te Number of Lots column indicates te number of lots traded wit te contract. For contracts received under Give-Up, te Executed by column indicates te alpabetical code of te trading Member. Te Clearing Fees column indicates te clearing fees tat will be applied to te executed contract. Te Contract column indicates te reference number of te contract. 17

18 RP-MT55 Net Positions of IDEM Futures Contracts Te Report sows te amount of daily variation Margins to be settled for futures business on IDEM. Sample RP-MT55 Report Mbr: GKK Net Positions of IDEM Futures Contracts RP-MT55 30 JUN 05 22:04:47 Page 1 CASSA DI COMPENSAZIONE E GARANZIA Acct: CLIENT *OMN Trade Date: 30 JUN 05 Last Open Positions Buy/ Prv/Trd Settlement Variation Ref Series Activity Sort Long Mkt O/C Sell Price Price Margin Numb MINI SP05 29JUN ,00 CR Curr. net Position 5 395,00 CR SPMIB SP05 29JUN ,00 DR SPMIB SP05 2+ I O S ,00 DR SPMIB SP05 2+ I O B ,00 DR SPMIB SP05 TRANSFER 3- I ,00 CR SPMIB SP05 TRF TRD 1+ I ,00 CR SPMIB SP05 TRF POS 1+ I ,00 DR Curr. net Position ,00 DR Total Variation Adjustment EU ,00 DR te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; Transfers of positions are indicated wit: TRANSFER if executed by fax; TRF POS if executed troug BCS; Transfers of contracts, wit te exception of international give up transfers, are indicated wit: TRF TRD. Tese transfers, togeter wit international give up transfers, are also indicated in report (MT06); trades received troug give-up are indicated witout te indication of te transfer. However give-up transfers are indicated in appropriate reports: MT14, MT15, MT64, MT65 and MT06; POS CHG entries are to be understood as indicating interventions by CC&G to transfer futures positions tat are not present in te clearing system because tey are eld net; te Buy/Sell column contains a B for a purcase or a S for a sale; te Prv/Trd Price column indicates: for Positions open at te beginning of te reference day, te previous day s closing price; for contracts concluded during te day, teir prices; on te last day of trading in a Contract, te Settlement Price column sows te settlement price at maturity (te price, establised by te Market Management Company in te Contract, needed for te differential execution of contracts) and te Variation Margin column sows te final variation Margin; te Total Variation Adjustment is sown in te RP-MS11 and RP-MS01 Reports; Ref Number indicates te univocal identification number of te contract. 18

19 RP-MTE5 Net Positions of IDEX Futures Contracts Te Report sows te amount of daily variation Margins to be settled for futures business on IDEX. Sample RP-MTE5 Report Mbr: GKK Net Positions of IDEX Futures Contracts RP-MTE5 22 DEC 07 21:03:09 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE *OMN Trade Date: 21 DEC 07 Last Open position Buy Prv/Trd Settlement Variation Ref. Series Activity Sort Long Mkt O/C Sell Price Price Margin number M01FB JA08 20DEC ,88 61, ,00 DR M01FB JA08 TRANSFER 3-60,88 61, ,00 CR M01FB JA08 TRF POS 1+ 60,88 61,88 744,00 DR NET POSITION ,00 DR Q02FB JN O A 62,25 62, ,36 CR Q02FB JN08 TRF TRD 1-62,25 62,54 633,36 DR NET POSITION ,00 CR Y01FB DC09 20DEC ,20 53, ,00 CR NET POSITION ,00 CR Total Variation Margin EU ,00 CR te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; transfers of positions are indicated wit: TRANSFER if requested by fax; TRF POS if executed troug BCS; transfers of contracts, wit te exception of international give up transfers, are indicated wit: TRF TRD. Tese transfers, togeter wit international give up transfers, are also indicated in report MT06; trades received troug international give-up are indicated witout te indication of te transfer. However tese give-up transfers are indicated in reports MT14, MT15, MT64, MT65 and MT06; POS CHG entries are to be understood as indicating interventions by CC&G to transfer futures positions tat are not present in te clearing system because tey are eld net; te Series column sows te caracteristics of te futures contract; te Last Activity column sows te last date on wic te position was altered; te Open positions column indicates te number of Sort and Long futures open positions; te Buy/Sell column contains a B for a purcase or a S for a sale; 19

20 te Prv/Trd Price column indicates: for positions open at te beginning of te reference day, te previous day s closing price; for contracts concluded during te day, teir prices; Ref Number indicates te univocal identification number of te contract; te Total Variation Margin amount flows in RP-MS11 and RP-MS01 Reports. 20

21 RP-MTG5 Net Positions of AGREX Futures Contracts Te report sows te net position at te start of te day (if present), te contracts traded in te day, te variation margins and net position at te end of te day. Sample RP-MTG5 Report Mbr: BAN1 BANCA UNO SPA Net Positions of AGREX Futures Contracts RP-MTG5 21 AUG 12 19:46:04 Pag. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Currency: EUR - EURO Trade Date: 21 AUG 12 Last Open Positions Buy / Prv/Trd Settlement Variation Ref Series Activity Sort Long Mkt O/C Sell Price Price Margin Number CLIENT *OMN DWHEAT2H 20AUG ,45 101,50 5,00 CR DWHEAT2H 4+ X O S 101,03 101,50 94,00 DR CURRENT NET POSITION 2 89,00 DR DWHEAT2I 20AUG ,65 101,70 10,00 CR DWHEAT2I 5+ X O V 101,25 101,70 112,50 DR CURRENT NET POSITION 1 102,50 DR Total Variation Margin EUR 191,50 DR Te Report is created for all Members of te Agricultural Commodity Derivatives Section and is made available before te start of trading on te following day. Te Last Activity column indicates te last date on wic te contract was traded. Te following items can be seen in te same column: - TRF POS, were positions are transferred to anoter Member ( - sign) or received in transfer from anoter Member ( + sign). - TRF TRD, were contracts are transferred to anoter Member ( - sign) or received in transfer from oter Member ( + sign), wit te exception of tose transferred under International Give-Up. - POS CHG, were te position is adjusted from net to gross. - POS CA1, in te case of first pase Alternative Delivery. - POS CA2, in te case of second pase Alternative Delivery. Te Open Positions Sort Long columns indicate: - Te number of net positions open (if any) at te start of te day. - Te number of lots of eac contract traded in te day. - Te number of net positions open at te end of te day (current net position). Te Mkt column will sow te initials of te Market for contracts traded in te day (X = AGREX). Te Buy/Sell column will contain B in te case of a purcase and S in te case of a sale. 21

22 Te Prv/Trd Price can contain te following values: - te settlement price on te previous day, wen referring to net positions open at te start of te day - te trade price of te contract, wen referring to a contact traded on te day. Te Settlement Price column will contain te daily settlement price of te contract. Te Variation Margin column will contain te variation margin calculated by CC&G on te open position or on te contact of te day. Te Ref Number column will contain te reference number of te contract traded on te day. 22

23 RP-MT64 Futures Transferred under Give-Up Te Report lists te futures traded and transferred to anoter Designated Member under give-up. Sample RP-MT64 Report Mbr: GKK Futures Transferred under Give-up RP-MT64 16 JAN 01 20:58:34 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 16 JAN 01 Executed Trade By Member in te Day: Series Expiry Trade Buy/ Number Cleared Contract Price Sell of Lots by Type Acct: CLIENT *OMN MIB30 F MAR S 5 TTCC Market MAR S 1 TTCC Intern MAR S 1 TTCC Market MAR S 1 TTCC Intern MAR S 1 TTCC Intern MAR S 3 TTCC Market te Report is created for all Members of te Derivatives Section and is made available before te start of trading; te Buy/Sell column contains a B for a purcase or a S for a sale; contracts sow te name of te Member tat received tem under give-up in te Cleared By column and are indicated in te Designated Member s RP-MT62 Report; te Type column indicates te give-up type, international or Market; Contract indicates te univocal identification number of te contract. 23

24 RP-MT65 Futures Received under Give-Up Te Report lists te futures contracts traded by anoter Member and transferred to te Member under giveup. Sample RP-MT65 Report Mbr : GKK Futures Received under Give-up RP-MT65 16 JAN 01 20:58:57 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 16 JAN 01 Executed Trade By Member in te Day: Series Trade Buy/ Number Executed Clearing Contract Price Sell of Lots By Type fees Acct: CLIENT MIB30 F MAR S 5 TTCC Market 1, MAR B 1 TTCC Intern, JUN S 1 TTCC Intern, MAR B 1 TTCC Intern, JUN S 1 TTCC Market, MAR B 1 TTCC Market, JUN S 1 TTCC Market, MAR S 1 TTCC Intern, MAR S 1 TTCC Market, MAR S 1 TTCC Intern, MAR S 1 TTCC Intern, MAR S 2 TTCC Intern, te Report is created for Members of te Derivatives Sections and is made available before te start of trading; contracts sow te name of te Member tat concluded tem in te Executed By column (cf. RP- MT62); te Type column indicates te give-up type, international or Market; te Buy/Sell column contains a B for a purcase or a S for a sale; Contract indicates te univocal identification number of te contract. 24

25 RP-MT06 BCS Transfers Te Report sows transfers of contracts (international give up included) and positions executed troug BCS. Sample RP-MT06 Report Ader: GKK BCS Transfers RP-MT06 28 JUL 05 20:54:35 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Data riciesta:28 JUL 05 D/R Act Ora Ret O/C Contr. Data Prezzo Quantità Sts Cod. O/F Descrizione Cnt. Client Info Cli. Acc D C 11:38 Y /07/ , P 0000 F SPMIB SP AKDESK D C 11:40 Y /07/ , P 0000 F SPMIB SP AKDESK D C 11:42 Y /07/ , P 0000 F SPMIB SP AKDESK D C 11:42 Y /07/ , P 0000 F SPMIB SP AANLP AKDESK D C 11:43 N /07/ , P 0000 F SPMIB SP AKDESK R C 12:18 O /07/ , P 0000 F SPMIB SP U35F R C 12:18 O /07/ , P 0000 F SPMIB SP U35F R C 13:57 O /07/ , P 0000 F SPMIB SP AANLP IT D C 17:02 Y /07/05, P 0000 O ENI DC05 23 C LTOPDE LTOPDE te Report is created for all Members of te Derivatives Sections and is made available before te start of trading; te D/R column contains a D for contracts given out to oter members or a R for contracts received from oter members; te Act column contains a C for client account, H for ouse account; te Ora column contains te time of te transfer; te Ret column contains a Y if, for te execution of te transfer, te member asked to adjust te position, a N if te member did not asked to adjust te position. Te column is blank for contracts received by te member; te O/C column contains a C if te member, in accepting te transfer, asked to close open positions; or a O if te member asked to open new positions; te Contr column, togeter wit te date, spot individua in modo univoco il contratto trasferito, indicando il giorno in cui tale contratto p stato stipultato sul mercato ed il relativo numero di riferimento; te prezzo column sows te price of te transfer; te O/F column contains a O for options; a F for futures; te Cnt. column sows te member counterparty of te transfer. 25

26 RP-MC03 Alternative Delivery First Pase Te report provides information on first pase alternative deliveries made (on day T+1) between te Member's accounts/subaccounts and/or between tose and te accounts/sub-accounts of oter Members. Sample RP-MC03 Report Mbr: BAN1 BANCA UNO SPA Alternative Delivery First Pase RP-MC03 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Trade Date: 12 NOV 11 Te positions listed below ave been subject to Alternative Delivery first pase (CA1): Contract: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Delivery date witin: 30 NOV 11 Op. Sub. Positions in CA1 Sub. Nbr. Mbr. Acc. Acc. Long Sort Mbr. Acc. Acc BAN1 HOUSE *OMN -3 BAN1 CLIENT SUB BAN1 CLIENT SUB1-3 BAN1 HOUSE *OMN 0002 BAN1 CLIENT SUB2-1 BAN8 HOUSE *OMN 0003 BAN1 CLIENT SUB2-5 BAN6 CLIENT SUB BAN1 TERZI SUB2 +5 BAN6 TERZI SUB3 Total -4-3 Te Report is created for all Members of te Agricultural Commodity Derivatives Section and is made available before te start of trading on day T+2. Te Op. Nbr. column indicates te reference number of te transaction; if an alternative delivery is made between two account sections of te same Member, te transaction is sown twice. In te Positions in CA1 Long / Sort columns, te "-" sign indicates a decrease in te Long or Sort positions caused by te "first pase Alternative Delivery", wile te "+" sign indicates a cancellation (revocation) of a "first pase Alternative Delivery" previously entered into te system. Canges in te number of positions caused by "first pase Alternative Deliveries" will also be sown in te MTG5 Report wit te indication POS CA1. 26

27 RP-MC04 Alternative Delivery Second Pase Te Report provides information on second pase Alternative Deliveries" made (on day T+2 or T+3) between te Member's accounts/subaccounts and/or between tese and te accounts/subaccounts of oter linked Members. Sample RP-MC04 Report Mbr: BAN1 BANCA UNO SPA Alternative Delivery Second Pase RP-MC04 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Trade Date: 12 NOV 11 Te positions listed below ave been subject to Alternative Delivery second pase (CA2): Contract: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Delivery date witin: 30 NOV 11 Rif. Sub. Previous Positions Pos. matced Sub. Positions Residual Positions New Rif. Matcing Acct. Acc. Headed to Delivery Purcase to Member Acct. Acc. in CA2 Delivery Purcase Matcing CLIENT SUB1 MARIO BIANCHI 8 BANCA DUE SPA CLIENT ERGO CLIENT SUB2 SERGIO MERLI 10 BANCA UNO SPA CLIENT SUB CLIENT SUB3 MARCO NERI 10 BANCA UNO SPA CLIENT SUB Total: -25 Te Report is created for all Members of te Agricultural Commodity Derivatives Section and is made available before te start of trading of days T+3 and T+4. Te Rif. Matcing column indicates te matcing number tat ave been subject to "second pase Alternative Delivery"; if te alternative delivery is carried out between two account sections of te same Member, te operation is sown twice. Te Headed to column indicates te name and surname or te company name of te owner of te subaccount for wic te "second pase Alternative Delivery" was performed. Te Previous Positions Delivery / Purcase columns indicate te number of positions on delivery and collection open prior to te performance of te "second pase Alternative Delivery". Te Positions in CA2 column indicates te number of positions tat ave been subject to "second pase Alternative Delivery". Any "+" sign in front of tis number indicates te revocation of a "second pase Alternative Delivery" previously entered into te system. Te Residual Positions Delivery / Purcase columns indicate te number of positions in delivery or collection open (not settled) at te end of te execution of te "second pase Alternative Delivery"; only in te case of partial alternative delivery tis number is oter tan zero. Te column New Rif. Matcing indicates te new reference number tat te matcing as assumed following a partial "second pase Alternative Delivery" (for unsettled positions); if te alternative delivery is carried out between two account sections of te same Member, te operation is sown twice. Te variations in te number of positions determined by "second pase Alternative Deliveries" will also be sown MTG5 report wit te indication "POS CA2". 27

28 SECTION II Positions Clearing reports are illustrated in tis section containing information on open positions. RP-MP01 Option Open Positions in te accounts Te Report lists te Member s option open Positions registered in eac account (House and Client). Te details of te option open positions registered in te subaccounts are provided in te Report MP02. Sample RP-MP01 Report Mbr: GKK OPTIONS Open positions in te accounts RP-MP01 22 JAN 01 21:04:46 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Posizioni Iniziali al: 23 JAN 01 Isin Code Series Last CLINET HOUSE Activity Long Sort Long Sort IT MS FB01 14,50 C 19 JAN 01 5 CALLS 5 IT OL MR01 5 C 16 NOV 00 5 CALLS 5 IT TIM FB01 9 C 19 JAN 01 5 CALLS 5 te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; te Series column sows te caracteristics of te options contract, including te strike price and te type of rigt (C = call; P = put); te Last Activity column sows te last date on wic te Position was altered; te Client and House account columns sow te long and/or sort gross Positions; te Report does include neiter Positions in exercised/assigned options, wic are sown in te MT02 Report nor te expired options wic are sown in te MP11 report. 28

29 RP-MP02 Option Open Positions in te subaccounts Te Report lists te Member s option open Positions registered in te accounts and te related subaccounts. Sample RP-MP02 Report Ader: GKK Options Open Positions in te subaccounts RP-MP02 15 JAN 08 17:40 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Posizioni Iniziali al: 15 JAN 08 Acct: CLIENT *OMN Isin Contract Last --- Positions --- Code Activity Long Sort IT ENEL MR08 8,40 C 7 JAN IT ENEL JN08 7,60 P 13 DEC CALLS PUTS 3 15 Acct: CLIENT SUB1 Isin Contract Last --- Positions --- Code Activity Long Sort IT SPMIB DC C 30 OCT IT SPMIB JN P 7 JAN IT SPMIB JN P 6 DEC 07 2 CALLS 18 PUTS Acct: HOUSE *OMN Isin Contract Last --- Positions --- Code Activity Long Sort IT FNC JN08 25 C 3 DEC CALLS 130 te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; at Acct item is indicated te account (House or Client) and te related section (*OMN or subaccount) into wic te positions are registered. te Contract column sows te caracteristics of te option contract, including te strike price and te type of rigt (C = call; P = put); te Last Activity column sows te last date on wic te Position was altered; te Long and Sort columns sow te number of long and/or sort Positions opened for eac option series; te items CALLS e PUTS sow te number of option positions, call and put, long and sort, opened for eac contract. te Report does include neiter Positions in exercised/assigned options, wic are sown in te MT02 Report nor te expired options wic are sown in te MP11 report. 29

30 RP-MS59 Adjusted Options Te Report sows, for adjusted options, open positions before and after te adjustment Sample RP-MS59 Report Ader: GKK Adjusted Options RP-MS59 15 JUL 05 21:12:57 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 15 JUL 05 Acct: CLIENT Old Series Old Long Old Sort New Series New Long New Sort FNC SP05,68 P 0 2 FNC1 SP05 13,60 P 0 2 FNC SP05,70 C 0 1 FNC1 SP05 14 C 0 1 FNC DC05,68 P 0 2 FNC1 DC05 13,60 P 0 2 te Report is created for all Members of te Equity Derivative Section and is made available te day of te adjustment, before te start of trading; te Old series column sows te series (i.e. contract specification) before te adjustment; te Old Long e Old Sort columns sow respectively te long and sort open positions before te adjustment; te New series column sows te series (i.e. contract specification) after te adjustment; le colonne New Long e New Sort columns sow respectively te long and sort open positions after te adjustment. 30

31 RP-MP11 Expired Options Te Report lists te Member s expired Positions in options. Sample RP-MP11 Report Mbr: GKK Expired Options RP-MP11 19 JAN 01 21:09:26 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Starting Positions on: 22 JAN 01 ISIN Code Series Last Client House Activity Long Sort Long Sort IT TIM JA01 9 C 8 JAN 01 5 CALLS 5 te Report is created for all Members of te Equity Derivatives Section and is made available on te day after te maturity day before te start of trading; te Series column sows te caracteristics of te options contract, including te strike price and te type of rigt (C = call; P = put); te Client account column sows te long and sort gross Positions; te House account column sows te long or sort net Positions; te Client and House Long and Sort - columns sow te expired options (i.e. positions in options tat were not exercised/assigned at maturity). 31

32 RP-MP51 IDEM Futures Open Positions in te accounts Te Report lists te Member s IDEM futures open positions registered in eac account (House and Client). Te details of te IDEM futures open positions registered in te subaccounts are provided in te Report MP52. Sample RP-MP51 Report Mbr: : GKK IDEM FUTURES Open Positions in te accounts RP-MP51 3 JAN 01 21:06:39 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Starting positions on: 4 JAN 01 ISIN Code Series Last Client House Activity Long Sort Long Sort IT MIB30 MR01 3 JAN MIB30 55 IT MM30 MR01 3 JAN MM30 24 te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; te Series column sows te caracteristics of te futures contract; te Last Activity column sows te last date on wic te Position was altered. te Client and House account columns sow only te net Positions. te Report does not sow matured futures. 32

33 RP-MP52 IDEM Futures Open Positions in te subaccounts Te Report lists te Member s IDEM futures open Positions registered in te accounts and te related subaccounts. Sample RP-MP52 Report Ader: GKK IDEM FUTURES Open Positions in te subaccounts RP-MP52 15 JAN 08 17:42 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Posizioni Nette Iniziali al: 15 JAN 08 Acct: CLIENT *OMN Isin Contract Last ---- Positions ---- Code Activity Long Sort IT ENI JA08 3 JAN 08 6 IT ENI MR08 21 DEC 07 4 ENI 6 4 Acct: CLIENT SUB1 Isin Contract Last ---- Positions ---- Code Activity Long Sort IT SPMIB MR08 14 JAN IT SPMIB JN08 10 JAN 08 2 SPMIB 49 Acct: HOUSE *OMN Isin Contract Last ---- Positions ---- Code Activity Long Sort IT SPMIB MR08 14 JAN 08 7 IT SPMIB JN08 10 JAN 08 3 SPMIB 7 3 te Report is created for all Members of te Equity Derivatives Section and is made available before te start of trading; at Acct item is indicated te account (House or Client) and te related section (*OMN or subaccount) into wic te positions are registered. te Contract column sows te caracteristics of te futures contract; te Last Activity column sows te last date on wic te Position was altered; te Long and Sort columns sow te number of long and/or sort Positions opened for eac futures series; te report doesn t include te futures expired positions. 33

34 RP-MPE1 IDEX Futures Open Positions Te report lists te IDEX futures open positions on wic CC&G calculates te margins. Sample RP- MPE1 Report Ader: : GKK IDEX Futures Open Positions RP-MPE1 3 JAN 01 21:06:39 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Starting positions on: 4 JAN 01 ISIN Code Series Last Client House Activity Long Corte Long Sort IT M02FB NV07 7 SEP 07 6 M02FB 6 IT Q01FB DC07 7 SEP Q01FB 24 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; te ISIN Code column indicates te ISIN code of te future contract; te Series column sows te caracteristics of te futures contract; te Last Activity column sows te last date on wic te position was altered; te Client and House account columns sow te net futures positions open in eac account; te cascading day, te open positions indicated in tis report consider te cascading effects, indicated wit all features in te report MPE3. Pre-cascading positions are indicated in te report MPE2; te sifting day, te open positions indicated in tis report don t consider sifting effects. positions are indicated in te report MX11. Post-sifting 34