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

35 RP-MPG1 AGREX Futures Open Positions in te Accounts Te report lists te Member's AGREX futures open positions registered in eac account (House and Client). Te details of te AGREX futures open positions registered in te subaccounts are provided in te Report MPG2. Sample RP-MPG1 Report Mbr: BAN1 BANCA UNO SPA AGREX Futures Open Positions in te Accounts RP-MPG1 23 AUG 12 20:09:45 Pag. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 24 AUG 12 ISIN Code Series Last Client House Activity Long Sort Long Sort IT DWHEAT2H 21 AUG IT DWHEAT2I 21 AUG DWHEAT 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 indicates te contract and te relevant maturity. Te Last Activity column indicates te last date on wic te position was altered. Te columns relating to te Client and House accounts indicate te open net, long and sort contractual positions. 35

36 RP-MPG2 AGREX Futures Open Positions in te Subaccounts Te report sows te list of AGREX Futures positions registered in subaccounts (in segregated mode) and in te omnibus sections (*OMN) of te accounts (in unsegregated mode). Sample RP-MPG2 Report Mbr: BAN2 BANCA DUE SPA AGREX Futures Open Positions in te Subaccounts RP-MPG2 23 AUG 12 20:09:45 Pag. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct: CLIENT *OMN Starting Positions on: 24 AUG 12 Isin Contract Last Positions Code Activity Long Sort IT DWHEAT2H 21 AUG IT DWHEAT2I 21 AUG IT DWHEAT2L 3 AUG DWHEAT Mbr: BAN2 BANCA DUE SPA AGREX Futures Open Positions in te Subaccounts RP-MPG2 23 AUG 12 20:09:45 Pag. 2 AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct: CLIENT SUB1 Starting Positions on: 24 AUG 12 Isin Contract Last Positions Code Activity Long Sort IT DWHEAT2H 10 AUG 12 5 IT DWHEAT2I 7 AUG 12 4 DWHEAT Mbr: BAN2 BANCA DUE SPA AGREX Futures Open Positions in te Subaccounts RP-MPG2 23 AUG 12 20:09:45 Pag. 3 AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct: CLIENT SUB2 Starting Positions on: 24 AUG 12 Isin Contract Last Positions Code Activity Long Sort IT DWHEAT2I 7 AUG 12 1 DWHEAT Mbr: BAN2 BANCA DUE SPA AGREX Futures Open Positions in te Subaccounts RP-MPG2 23 AUG 12 20:09:45 Pag. 4 AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct: HOUSE *OMN Starting Positions on: 24 AUG 12 Isin Contract Last Positions Code Activity Long Sort IT DWHEAT2H 21 AUG IT DWHEAT2I 21 AUG IT DWHEAT2L 10 AUG DWHEAT 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 Acct: item indicates te account (HOUSE or CLIENT) and te relevant section (*OMN or subaccount) into wic te positions are registered. Te Contract column indicates te contract and te relevant maturity. Te Last Activity column indicates te last date on wic te position was altered. Te Long and Sort columns indicate te number of net long or sort positions open for te contract in te account section concerned. 36

37 RP-MPE2 IDEX Futures Positions Pre-Cascading Te report lists te IDEX futures open positions before cascading. Sample RP-MPE2Report Mbr: : GKK IDEX Futures Positions Pre-Cascading RP-MPE2 25 SEP 07 21:06:39 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA ISIN Series Last Terzi House Code Activity Long Sort Long Sort IT M02FB NV07 11 SEP 07 1 M02FB 1 IT M03FB DC07 11 SEP M03FB 1 3 IT Q01FB DC07 13 SEP Q01FB 5 3 IT Q03FB JN08 13 SEP Q03FB IT Y01FB DC08 13 SEP 07 3 Y01FB 3 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading of te day following te cascading day; 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 Long and Sort columns indicate te net positions before cascading; te open positions after cascading, used to calculate initial margins, are sown in te report MPE1. Te report MPE3 sows te positions canges due to te cascading. Terefore it links te information reported by MPE2 to te MPE1 s ones. 37

38 RP-MPE3 IDEX Futures positions - Cascading Te report sows all te position canges due to te cascading procedure. Sample RP-MPE3 Report Firm:GKK IDEX Futures Positions - Cascading RP-MPE3 29 OCT 07 16:56:06 Page 1 Account : Terzi Subaccount: CASSA DI COMPENSAZIONE E GARANZIA Data Esecuzione: 29 OCT 07 Pre-Cascading positions: Class L/S Quantity Contract Price Q01FB Long , Post-Cascading positions: Class L/S Quantity Contract Price M01FB Long , M02FB Long , M03FB Long , te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading of te day following te cascading day; te Pre-Cascading positions line sows te IDEX futures positions before te cascading. Te list of all te IDEX futures open positions before te cascading is provided wit te report MPE2; te Post-Cascading positions line sows te new positions canged after te cascading tat replace te ones indicated in te Pre-Cascading positions line. Te list of te IDEX futures positions after te cascading is provided wit te report MPE1; te Class, L/S, Quantity, Contract and Price columns indicate respectively: Class te caracteristics of te contract; L/S te long position (L) or te sort position (S); Quantity te number of open positions; Contract te univocal identification number of te contract; Price te settlement price of te contract. 38

39 RP-MX11 IDEX Futures Positions Post-Sifting Te report lists te open IDEX futures positions after te sifting, te mecanism troug wic positions cange te Class after te Margin calculation. For furter details about sifting, see te MMeL Manual available on CC&G web site ( at section Risk Management - Documentation. Sample RP-MX11 Report IDEX Futures Positions Post-Sifting MX11 28 DEC 07 18:09:30 Page 1 CASSA DI COMPENSAZIONE E GARANZIA GCM : GKK Member: GKK Account: C Subaccount: *OMN Symbol Expiry Strike P/C F/O Open Long Open Sort D01FB , F 100,000 M01FB , F 79,000 M02FB , F 204,000 Q01FB , F 90,000 Q02FB , F 40,000 Y01FB , F 81,000 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading of te day following te sifting day. te Symbol column indicates te clearing acronym of te contract; te Expiry column indicates te expiry year and mont of te contract (format: YYYY MM); te Open Long and Open Sort columns indicate te number of long and sort open positions after te sifting. Pre-sifting positions on wic Margins are calculated are listed in te report MPE1. 39

40 RP-MP31 Open Positions on Bond Section Te report lists all outstanding bonds along wit amount value and countervalue quantity. Sample RP-MP31 Report Mbr: GKK Bond Section Positions MP31 19 DEC 02 17:23:35 Currency:EUR CC&G DI COMPENSAZIONE E GARANZIA Posizioni Nette Iniziali al: 20 DEC 02 Titolo Codice Data Data Ty Ac L/ Quantit Controvalore Controvalore Isin Liquid Contrat pe ct C Rateo BTP 15/01/ % IT DEC DEC 02 P C ,00CR ,50CR BTP 15/12/05 5,25% IT DEC 02 4 DEC 02 T P C ,51CR ,00CR CTZ 02-31/12/03 24M IT DEC DEC 02 P L ,00 Saldo del: 20 DEC 02 Conto PROPRIO ,01CR CCT 01/01/97-04 IT JAN 03 4 DEC 02 T P L , ,00 Saldo del: 06 JAN 03 Conto PROPRIO ,33 CCT 01/01/97-04 IT JAN 03 6 DEC 02 T P 8.461,67CR Saldo del: 10 JAN 03 Conto PROPRIO 8.461,67CR BTP 01/01/04 8,50% IT JAN DEC 02 T P C ,64CR ,00CR CCT 01/01/97-04 IT JAN DEC 02 T P C ,59CR ,00CR CCT 01/03/97-04 IT JAN DEC 02 T P ,74CR Saldo del: 15 JAN 03 Conto PROPRIO ,97CR BTP 01/01/04 8,50% IT JAN DEC 02 T P C ,86CR ,00CR CCT 01/01/97-04 IT JAN DEC 02 T P C ,75CR ,00CR Saldo del: 16 JAN 03 Conto PROPRIO ,61CR te Report is created for all Members of te Bond Section and ICSDs Bond Section and is made available before te start of trading; te open positions are divided for settlement currency and a different page is created for eac currency. Te balance is calculated as sum of te positions wit same currency and same settlement date. te Type column contains a P for te spot leg of te Repo Contract, a S for te forward leg of te Repo Contract, it is blank for cas contract; te Acct column sows te Account (in tis case P=House; T=Client); te L/C column contains a L for te long positions, a C for te sort positions; Te Countervalue sown is inclusive of te rate countervalue, indicated in te column Controvalore Rateo 40

41 RP-MP21 Open Positions on Sare Section Te report lists all outstanding securities along wit amount value and counter value quantity. Sample RP-MP21 Report MBr: GKK Open Position on Sare Section RP-MP21 17 JUL 02 12:40:13 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA For Start of Trading on: 18 JUL 02 Symbol Settlement Trade Acnt Positions Settlement Reference Market Teoretical Date Date L/C Quantity Value Price Value Credit/Debit AL 18 JUL JUL 02 T L ,28 8, ,42 209,86 BMPS 18 JUL JUL 02 T L ,00 3, ,50 325,50CR FNC 18 JUL JUL 02 T L ,00, , ,50CR OL 18 JUL JUL 02 T L ,23 1, , ,33CR SPG 18 JUL JUL 02 T L ,25, ,43 699,18CR TIM 18 JUL JUL 02 T L ,00 4, , ,75CR UC 18 JUL JUL 02 T L ,24 4, , ,51CR Saldo liquidazione del: 18 JUL 02 Conto TERZI ,00 BFI 19 JUL JUL 02 T L ,00 5, ,00 900,00CR ENEL 19 JUL JUL 02 T C ,00CR 5, ,50 55,50CR ENI 19 JUL JUL 02 T C ,90CR 14, ,63 7,73 G 19 JUL JUL 02 T C ,59CR 20, ,23 745,64 MED 19 JUL JUL 02 T L ,00 5, , ,53CR OL 19 JUL JUL 02 T C ,91CR 1, , ,82 SPI 19 JUL JUL 02 T C ,10CR 8, ,60 306,50 SPM 19 JUL JUL 02 T L ,00 6, ,50 184,50CR TI 19 JUL JUL 02 T C ,00CR 8, ,02 715,02 UC 19 JUL JUL 02 T C ,00CR 4, ,00 48,00 UNI 19 JUL JUL 02 T L ,70 4, ,84 1,86 Saldo liquidazione del: 19 JUL 02 Conto TERZI ,80CR BMPS 22 JUL JUL 02 T C ,53CR 3, ,91,62CR FDL 22 JUL JUL 02 T C ,00CR 11, ,00 1,00CR OL 22 JUL JUL 02 T C ,02CR 1, ,10 343,08 TIS 22 JUL JUL 02 T C ,00CR 5, ,85 45,15CR Saldo liquidazione del: 22 JUL 02 Conto TERZI ,55CR te Report is created for all Members of te Sare Section and is made available before te start of trading; te Acnt column sows te Account (P=House; T=Client);; te L/C column contains a L for te long positions, a C for te sort position; Saldo liquidazione stands for settlement countervalue Conto Proprio stands for House Account ; Conto Terzi stands for Client Account. 41

42 RP-MC01 AGREX Matced Positions Te Report lists te linkages made by CC&G at te end of day T+1 on te Member's positions in delivery and collection. Sample RP-MC01 Report Mbr: xxxxxxxxxxxxxxxxxxxx AGREX Matced Positions RP-MC01 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 12 NOV 11 Currency: EURO Series: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Acct: CLIENT Subaccount: MRSS Headed to: MARIO ROSSI Tax Code: MRRRSSTE78K09G873G VAT: Rif. Matcing : Delivery date witin: 30 NOV 11 Site of delivery: SILOS FERRO Positions in Status Positions in Quantity Settlement Pisical Delivery Settlement Cas Settlement Delivery Delivery Witdrawal (Tons) Price Countervalue type Countervalue 10 COVERED , ,00 CR PHI,00 CR INFORMATION ABOUT THE MATCHED MEMBER: BAN2 BANCA DUE SPA Type of Membersip: NON CLEARING MEMBER General Clearing Member: BAN3 BANCA TRE SPA Acct: CLIENT Subaccount: DDDD Headed to: GIOVANNI ROSSI SIM Tax Code: VAT: T FGRT7484 Status Delivery: WITHDRAWAL Te Report is created for all Members of te Agricultural Commodity Derivatives Section and is made available before te start of trading of te day following te linkage day (T+2). Te item Rif. Matcing : indicates te reference number of te matcing. Te Status Delivery column may contain te following values: - COVERED, were te Member's position is on delivery and te latter as notified CC&G of its coverage. - UNCOVERED, were te Member's position is on delivery and te latter as not notified CC&G of its coverage. - WITHDRAWAL, were te Member's position is on collection. Te Quantity (Tons) column indicates te underlying number of tons to be settled. Te Settlement type column may contain te following values: - "PHI", were te Member on delivery as declared tat te position is covered, and will terefore be settled by pysical delivery. - CSH, were te Member in delivery as not declared tat te position is covered, and terefore it will be settled in cas (cas settlement). Te Pisical Delivery Countervalue column indicates te credit (CR) or debt (DR) countervalue of te contract to be settled. 42

43 Te Cas Settlement Countervalue column as a value only if te Member in delivery is in default and terefore as "UNCOVERED" positions to settle in cas (cas settlement). Te Information about te matced Member section will indicate te data of te linked Member provided tat te Member is not in default and does not terefore ave uncovered positions on delivery. In te event of te default of te linked Member, "CC&G" will be indicated in place of its data and te settlement of te position will take place in cas (cas settlement). 43

44 RP-MC02 Settled and Unsettled AGREX Positions Te Report lists te Member's AGREX Futures positions in delivery/collection, bot settled on te day and yet to be settled. Sample RP-MC02 Report Mbr: xxxxxxxxxxxxxxxx SETTLED AND UNSETTLED AGREX POSITIONS RP-MC02 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 12 NOV 11 Currency: EURO Series: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Acct: CLIENT Subaccount: MRSS Headed to: MARIO ROSSI Tax Code: MRRRSSTE78K09G873G VAT: Rif. Matcing: Delivery date witin: 30 NOV 11 Site of delivery: SILOS FERRO Postponement of te delivery date(y/n): N Delivery date postponed to: Positions in Positions in Quantity Settlement Pisical Delivery Settlement Cas Settlement Witdrawn Accepted Settled Delivery Witdrawal (Tons) Price Countervalue Type Countervalue (Y/N) (Y/N) (Y/N) , ,00 CR PHI,00 CR N N N INFORMATION ABOUT THE MATCHED MEMBER: BAN2 BANCA DUE SPA Type of Membersip: NON CLEARING MEMBER General Clearing Member: BAN3 BANCA TRE SPA Acct: CLIENT Subaccount: DDDD Headed to: GIOVANNI ROSSI SIM Tax Code: VAT: T FGRT7484 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 item Rif. Matcing : indicates te reference number of te matcing. Te item Postponement of te delivery date (Y/N) indicates weter te delivery date of te matcing was postponed beyond te original date. Te item Delivery date postponed to: indicates te new delivery date of te matcing, if tis as been delayed beyond te original date. Te Pisical Delivery Countervalue indicates te credit (CR) or debit (DR) countervalue of te contract to be settled. Te Settlement Type column may contain te following values: - "PHI", were te contract is to be settled or as been settled by pysical delivery - CSH, were te contract as been settled for cas (cas settlement) - CA2, were te contract as been settled troug second pase Alternative Delivery. Te Cas Settlement Countervalue column sows a value only were te contract is settled for cas (cas settlement) due to te inadequate quality of te goods delivered and indicates te equivalent credit (CR) or debit (DR) countervalue to be settled wit CC&G. Te Witdrawn (Y/N) column indicates weter te Member in collection as witdrawn te goods Te Accepted (Y/N) column indicates weter te Member in collection as accepted te witdrawn goods (Ritirato = Y, Accettato = Y) or as submitted tem to quality control (Ritirato = Y, Accettato = N). 44

45 Te Settled (Y/N) column indicates weter te contract was settled on te day (Y) or if it is still to be settled (N). Te value will be Y bot in te case of pysical settlement and in te case of cas settlement. Te Information about te matced Member, section will indicate te details of te matced Member unless te contract as been settled for cas (cas settlement); in tis case "CC&G" will be indicated in te place of te Member. 45

46 RP-MC06 AGREX Sales Positions Te Report lists te Member's AGREX Futures sales positions and information on te relevant coverage. Sample RP-MC06 Report Mbr: xxxx AGREX Sales Positions RP-MC06 10 NOV 11 21:23:22 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 10 NOV 11 Series: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Acct.: CLIENT Sub- Sales Site of Covered Uncovered acct. Positions Delivery Positions Positions *OMN 10 SF 8 2 SUB1 5 SF 5 Acct.: HOUSE Sub- Sales Site of Covered Uncovered acct. Positions Delivery Positions Positions *OMN 3 SF 2 1 FIL1 4 SF 4 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 item Acct.: indicates te account (ouse or client) of reference for te sales positions indicated below. Te column Sub-account: indicates te section of te account were te sales positions are registered (omnibus section or subaccount). Te column Sales Positions indicates te number of sales positions registered in te section of te account. Te column Site of Delivery indicates te site of pysical delivery of te commodity underlying positions (SF = Silos Ferro). Te column Covered Positions indicates te number of sales positions tat are covered. Te column Uncovered Positions indicates te number of sales positions tat are not covered. 46

47 RP-MC07 AGREX Sales Positions Uncovered Te Report lists te Member's AGREX Futures sales positions for wic te Member as not notified CC&G of any coverage at te site of delivery and on wic increased initial margins are applied. Sample RP-MC07 Report Mbr: BAN1 AGREX Sales Positions Uncovered RP-MC07 10 NOV 11 21:03:23 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 10 NOV 11 Please note tat te following uncovered positions are subject to Increased Initial Margins. Te positions tat will not be covered by 12:00 CET of 13 NOV 11 will be settled in cas. Series: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Acct.: CLIENT Sub- Sales Site of Covered Uncovered acct. Positions Delivery Positions Positions *OMN 10 SF 8 2 Acct.: HOUSE Sub- Sales Site of Covered Uncovered acct. Positions Delivery Positions Positions *OMN 3 SF 2 1 Te Report is produced for all Members of te Agricultural Commodity Derivatives Section from te fourt day before maturity (T-4) until te day of maturity inclusive (T) and is available before te start of te trading on te following day. In te second row te time and day deadline for notification of coverage is indicated, after wic te positions will be settled by CC&G for cas. Te item Acct.: indicates te account (ouse or client) of reference for te sale positions indicated above. Te column Sub-account: indicates te section of te account were te uncovered sale positions are registered (omnibus section or subaccount). Te column Sales Positions indicates te number of sales positions registered in te section of te account. Te column Site of Delivery indicates te site of pysical delivery of te goods underlying te positions (SF = Silos Ferro). Te column Covered Positions indicates number of sales positions tat are covered. Te column Uncovered Positions indicates te number of uncovered sales positions, to wic increased initial Margins are applied. 47

48 RP-MC08 AGREX Contracts Settled in te Day Te Report lists te AGREX Futures contracts settled in te day. Sample RP-MC08 Report Mbr: BAN1 BANCA UNO SPA AGREX Contracts Settled in te Day RP-MC08 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 12 NOV 11 Currency: EURO Series: DWHEAT DURUM WHEAT FUTURES NOVEMBER 2011 Acct.: CLIENT Subaccount: MRSS Headed to: MARIO ROSSI Tax Code: MRRRSSTE78K09G873G VAT: Rif. Matcing: Delivery date witin: 30 NOV 11 Site of Delivery: SILOS FERRO Postponement of te delivery date (Y/N): N Delivery date postponed to: Positions in Positions in Quantity Settlement Pisical Delivery Settlement Cas Settlement Delivery Witdrawal (Tons) Price Countervalue Type Countervalue , ,00 CR PHI,00 CR INFORMATION ABOUT THE MATCHED MEMBER: BAN2 BANCA DUE SPA Type of Membersip: NON CLEARING MEMBER General Clearing Member: BAN3 BANCA TRE SPA Acct: CLIENT Subaccount: DDDD 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 Settlement Type column may contain te following values: - "PHI", were te contract is to be settled or as been settled by pysical delivery - CSH, were te contract as been settled for cas (cas settlement) - CA2, were te contract as been settled troug second pase Alternative Delivery. Te Information about te matced Member, section will indicate te details of te matced Member unless te contract as been settled for cas (cas settlement); in tis case "CC&G" will be indicated in te place of te Member. 48

49 SECTION III Collaterals Clearing reports are illustrated in tis section containing information on securities (bonds and stocks) deposited as collateral. RP-MA01 Collaterals Deposited Te Report sows te types of government securities and sares deposited as collateral. Sample RP-MA01 Report Mbr: XXXX XXXXXX Collateral Deposited RP-MA01 12 MAY 14 17:22:44 Pag. 1 CC&G - Maintenance - PT Environment Currency: EUR - EURO Trade Date: 9 MAY 14 Collateral deposited by te member in te account : CLIENT D/W Ref.N Type Description Face Value/Unit Price Class Haircut Margin Deposited Maturity Unita' Garanzia IT BTP 01/07/ , ,00% ,00 10 APR 13 1 JUL 14 Margin value total amount : ,00 Collateral deposited by te member in te account : HOUSE D/W Ref.N Type Description Face Value/Unit Price Class Haircut Margin Deposited Maturity Unita' Garanzia IT BTP 01/07/ , ,00% ,00 10 APR 13 1 JUL IT BTPSi 15/09/ , ,00% ,00 26 FEB SEP 16 Margin value total amount : ,00 te Report is prepared for all Members and is made available every day, immediately after te valuation pase (about 18:00), in order to inform Members promptly of te market and collateral values attributed to te government securities tey ave deposited; and before te start of trading, to sow te stock of government securities and sares at te end of te previous trading day; te D/P column sows te government securities and/or sares deposited ( D ) or witdrawn ( P ) during te day specified in te Report; In te Type column, te symbol O indicates tat te financial instrument is used to cover stock options, te symbol F indicates tat te financial instrument is used to cover stock futures; te market and collateral values of securities are calculated by applying te rules on valuation and te frequency tereof laid down in te Instructions. No figure is sown in te Margin Value field for sares in view of te rules on teir use for particular Positions; te Maturity column can indicate: for government securities, te redemption date of te security or Expired if te security as already matured; for sares, te settlement date if tey ave been committed for delivery following an assignment, Expired if tey ave already been witdrawn and delivered by CC&G to te Settlement Service, or left blank in oter cases; Margin value total amount is te sum of te collateral values sown for government securities tat ave been deposited and is also sown in te RP-MS11 and RP-MS01 Reports. 49

50 RP-MA03 Collateral value Te Report provides details of government securities deposited by te Clearing Member into te accounts (MOA, ISA e AOA) sowing te related countervalue and considering te related concentration limits. Sample RP-MA03 Report Mbr: ABCD ABCD COMPANY LTD Countervalue Collaterals RP-MA03 18 FEB 14 19:20:36 Pag. 1 CM: GKK GKK COMPANY Accout: CLIENT Currency: Country: EUR FRANCE Country limit (CL): 45,00 % Ser.No Isin code Description Type Nominal Vakue Price HC Cl Collateral val. Dep. date Exp. date FR OAT APR15 EUR 3,5 OAT ,00 103,66 7,00 % , /02/ /04/ FR BTAN TF 1% LG17 EUR BTAN ,00 101,63 7,00 % , /02/ /07/25 Total Collateral value: ,00 Country Max: ,00 Collateral value usable after CL: ,00 Country excess: ,00 Currency: Country: EUR ITALY Country limit (CL): 45,00 % Ser.No Isin code Description Type Nominal Vakue Price HC Cl Collateral val. Dep. date Exp. date IT CCTS /12/14 CCT ,17 3,5% , /02/ /12/ IT BTPS /03/24 BTP ,60 3,5% , /02/ /03/01 Total Collateral value: ,25 Country Max: ,00 Collateral value usable after CL: ,00 Country excess: ,25 Total Limit (TL): 50,00 % Initial Margins: ,00 Total collateral value after CL: ,00 Max collateral value usable (TL): ,00 Collateral value used after TL: ,00 TL Excess: ,00 Total country excess (CL): ,25 te Report is produced for all Clearing Members accounts (MOA, ISA e AOA) and is made available every day before te start of trading; te field Mbr sows te mnemonic code, te Entity code and te name of te Clearing Member (MOA) or of te related segregated account (ISA o AOA) to wic te report is referred; te field CM is valued only if te report relates to a segregated account (ISA o AOA) and sows te mnemonic code, te Entity code and te name of te Clearing Member; te field Account sows te House or Client account of te subject (Clearing Member or segregated account ISA or AOA) to wic te report is referred; 50

51 te field Country sows te issuing country of te bonds; te field Country Limit (CL) sows te concentration limit for te country, tat is te maximum coverage percentage of te Initial Margins allowed by using te government bonds of tat specific country; te field Collateral value sows te collateral value of eac deposited bond considering te nominal value, te price and te applied aircut; te field country; Total Collateral value sows te global collateral value of te deposited bonds for te te field Country Max sows te maximum collateral value usable for te country considering te Initial Margins and te Country Limit; te field Collateral value usable after CL sows te collateral value usable for te country considering te Country Max; te collateral value tat will be used will depend on te application of te following concentration limit (Total Limit); te field Country Excess sows te collateral value in excess for te country tat may be returned to temember; te field Total Limit (TL) sows te total concentration limit, tat is te maximum coverage percentage of Initial Margin, allowed by using government bonds; te field Initial Marigins sows te amount of Initial Margins calculated for te account; te field Total collateral value after CL sows te collateral value usable after te Country Limit application (sum of te Collateral values usable after CL); te field Max collateral value usable (TL) sows te maximum collateral value usable for Initial Margins coverage, considering te Initial Margins amountand te Total Limit; te field Collateral value used after TL sows te total collateral value used to cover Initial Margins, considering bot limits (CL and TL); te field TL Excess sows te difference between te collateral value usable for te Initial Margins coverage - considering te Country Limits (Total collateral value after CL) - and te collateral value actually used - considering te Total Limit (Collateral value used after TL); te field Total country excess (CL) sows te sum of te collateral valuein excess for all te countries (sum of Country excess). 51

52 SECTION IV Daily settlement, Margins and Default Fund In tis section Clearing reports are illustrated containing information on member s financial position, accrued interests, fees, Default Fund, initial and intraday margins, notice to pay or credit notice. RP-MS49 Request of Payments Te Report sows te amount te General or Individual Clearing Member or Settlement Agent, if any, is required to pay. Sample RP-MS49 Report Ader: GKK Request of Payments RP-MS49 12 JAN 01 20:42:31 Page 1 Bank: GKK Trade Date: 11 JUL 05 Currency: EURO Please credit te following amount on CC&G account Member Account Company Name ABI Code Amount GKK/0001 TERZI GKK GKK 064C ,71 BBS/0123 TERZI BANCA BLUE BBS 064C ,80 Total , Te deposit must be executed wit today value date 15 JAN 01 te Report is created for General and Individual Clearing Members or teir Settlement Agents and is made available before te start of trading. 52

53 RP-MS50 Credit Notice Te Report sows te amount credited to te General or Individual Clearing Member or Settlement Agent, if any. Sample RP-MS50 Report Ader: GKK Credit Notice RP-MS50 4 JAN 01 20:49:31 Page 1 Bank: GKK Trade Date: 11 JUL 05 Currency: We are crediting on your account te following amount: Member Account Company Name ABI Code Amount GKK/0001 TERZI GKK GKK 064C ,00 GKK/0001 PROPRIO GKK GKK 064H 3.442,25 BBS/0123 TERZI BANCA BLUE BBS 064C ,50 BBS/0123 PROPRIO BANCA BLUE BBS 064H ,00 Total , Te credit will be executed wit today value date 5 JAN 01 te Report is created for General and Individual Clearing Members and teir Settlement Agents and is made available before te start of trading. 53

54 RP-MS51 Debit/Credit Notice Te Report lists all te debits (except tose regarding Intraday Margins, listed in te Report MS35) and credits tat CC&G will make in te current day on te PM account of te Direct Member or its Settlement Agent in te Target2 System. Sample RP-MS51 Report Mbr: BANU BANCA UNO SPA Debit/Credit Notice RP-MS51 2 MAY 12 8:15:50 Page 1 Bank: BANCA UNO SPA Trade Date: 30 APR 12 Currency: EUR - EURO Pursuant to Article B of te Regulations, CC&G requires you to ensure tere are sufficient funds in te PM Account in Target2 System from wic te direct debit for te amount indicated below sall be made: Member Account Company Name Code Paym Amount BANU/1122 HOUSE BANCA UNO SPA MIF ADG ,15 BANT/1515 CLIENT BANCA TRE MIF ADG ,44 BANT/1515 HOUSE BANCA TRE MIF ADG ,24 QUAT/1112 CLIENT QUATTRO SIM SPA MIF ADG ,41 QUAT/1112 QUATTRO SIM SPA BOR MDF , Total ,35 Te debit pase starts at. 9:00 CET and ends at. 9:30 CET of: 2 MAY Mbr: BANU BANCA UNO SPA Debit/Credit Notice RP-MS51 2 MAY 12 8:15:50 Page 2 Bank: BANCA UNO SPA Trade Date: 30 APR 12 Currency: EUR - EURO We are crediting on your PM Account te following amounts: Member Account Company Name Code Paym Amount BANU/1122 CLIENT BANCA UNO SPA MIF ADG ,00 BANU/1112 CLIENT BANCA UNO SPA MIF RES ,45 BANT/1515 BANCA TRE BOR IDF ,20 QUAT/1112 QUATTRO SIM SPA BOR RES , Total ,76 Te credit will be executed wit today value date 2 MAY 12 te Report is created for Direct Members or teir cas Settlement Agents and is made available te day of payment, before te start of te debit pase; te Report is divided in two sections. Te first section indicates te debits, te second one te credits; te Report will indicate to te cas Settlement Agent all te debits and credits relative to all te Clearing Members for wic it operates; te column Paym indicates if te payment is related to te daily settlement of margins (MIF ADG), or to permanent requests of cas return (MIF RES), or to te Contribution Quota to Default Funds (BOR MDF, BOR MMT, BOR MEL, BOR RES), or to interests on Default Fund contribution (BOR IDF, BOR IMT, BOR IEL). 54

55 RP-MS52 Clearing Member Cas Call Details Te report, sent to te Settlement Agents only, sows te payments of te "daily settlement of Margins" wic will be settled in te day, on bealf of te Clearing Members. Te report details te "cas call" calculated for eac segregated and non-segregated account. Sample RP-MS52 Report Mbr.: BANU BANCA UNO SPA Clearing Member Cas Call Details RP-MS52 17 FEB 14 18:00:02 Page 1 Bank: BANCA UNO SPA Trade date: 17 FEB 14 Currency: EUR EURO Member Account type Company Name Code Cas call Payment reason BAND BANCA DUE SPA BAND HOUSE MOA BANCA DUE SPA ,42 CR Account Total: ,42 CR MIF-ADG P BAND CLIENT MOA BANCA DUE SPA ,91 CR AAAA HOUSE ISA CLIENT AAAA ,12 DR AAAA CLIENT ISA CLIENT AAAA ,63 CR BBBB CLIENT AOA GROUP OF CLIENTS BBB ,88 DR Account Total: ,54 CR MIF-ADG T KSIM KAPPA SIM SECURITIES SPA KSIM HOUSE MOA KAPPA SIM SECURITIES SPA ,24 DR Account Total: 2.400,42 DR MIF-ADG P KSIM CLIENT MOA KAPPA SIM SECURITIES SPA ,20 CR JKLM HOUSE ISA CLIENT JKLM ,00 DR JKLM CLIENT ISA CLIENT JKLM ,88 DR YURI CLIENT ISA CLIENT YURI ,02 CR DAME CLIENT AOA GROUP OF CLIENTS DAME ,23 DR Account Total: ,11 CR MIF-ADG T Te report is created for te Settlement Agents (of cas) and is available on te payment day, before te start of te debit pase; "Account Total sows te amounts relating to te "daily settlement of margins", on credit (CR) and/or debit (DR), to be settled for te House and Client Accounts of eac Clearing Member. Te amounts are also indicated in te Report RP-MS51 wit te reason "MIF ADG." Te amounts to be settled in Client account are determined as a sum of te "cas call" calculated on eac account of te Clearing Members (MOA = Main Omnibus Account, ISA = Individual Segregated Account, AOA = Additional Omnibus Account). Te report does not contain te amounts of automatic refunds of excess cas, or relating to te Default Fund. All amounts debited and credited by CC&G in te day are indicated on te Report RP-MS51. 55

56 RP-MS01 Daily Summary Te Report sows te Clearing Member s final credit/debit balance. Sample RP-MS01 Report MBR : : GKK Daily Summary RP-MS01 17 JAN 01 20:50:25 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 17 JAN 01 House Acct. Client Acct. Initial margin , ,99 Collateral value, , Cas Margin Call , ,91 Excess collateral,00,00 Oter Activity Cas Margin Call,00,00 Cas eld , ,62 Uncovered Initial Margin ,25,00 Cas Available, ,71 Realized liabilities Futures variation ,00DR ,00DR Options variation,00,00 Options premium, ,00DR E/A settlement,00,00 Cas adjustments/buy-in,00,00 Clearing Fees,00,00 Collateral Fees/Del.Payment,00,00 Msip Fees/Clearing Services/Buy-I,00,00 Interest,00,00 Net realized liabilities ,00DR ,00DR Oter Activity Net Realized Liabilities,00, Excess cas eld, , Cas call ,25DR te Report is created only for Clearing Members and is made available before te start of trading; eac item is calculated as sum of te corresponding values indicated in RP-MS11 reports of te Clearing Members, related to all its open accounts (MOA, ISA, AOA); te field Cas call sows te possible amounts tat te Clearing Member will ave to settle in te daily settlement of margins for all its accounts (MOA, ISA, AOA). Te same values are sown in RP-MS51 report of te cas Settlement Agent. 56

57 RP-MS11 Financial Position Te report sows te financial position related to eac account (MOA, ISA and AOA) of te Clearing Member. Sample RP-MS11 Report MBR : : GKK Financial Position RP-MS11 17 JAN 01 20:50:25 Pag. 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 17 JAN 01 House Acct. Client Acct. Initial margin , ,99 Collateral value, , Cas Margin Call , ,91 Excess collateral,00,00 Oter Activity Cas Margin Call,00,00 Cas eld , ,62 Uncovered Initial Margin ,25,00 Cas Available, ,71 Realized liabilities Futures variation ,00DR ,00DR Options variation,00,00 Options premium, ,00DR E/A settlement,00,00 Cas adjustments/buy-in,00,00 Clearing Fees,00,00 Collateral Fees/Del.Payment,00,00 Msip Fees/Clearing Services/Buy-I,00,00 Interest,00,00 Net realized liabilities ,00DR ,00DR Excess cas eld, , Cas call ,25DR,00DR te report is made available every day before te start of trading; te Clearing Member s report sows te financial position of its House account and Client account MOA; Te report eaded to an ISA or AOA account sows te financial position relative to suc account; All te amounts in RP-MS11 report, eaded to ISA and AOA accounts and tose related to Client account MOA, will be aggregated in te Client account column of te Clearing Member s RP-MS01 report. Te amounts related to te Clearing Member s House account will be sown in te House account column of RP-MS01 report eaded to te same Clearing Member; Te report cannot be used for te purpose of te daily settlement of margins. Infact, amounts to be settled against CC&G are tose reported in te field Cas call of RP-MS01 report, eaded to te Clearing Member. Te amounts sown in te items Collateral Value and Excess collateral are not usable for te request of securities restitution. For tat aim RP-MA03 report can be used (see items Country excess and TL Excess ); Te field Excess Cas eld sows te cas amount tat can be returned from CC&G to te Clearing Member, for te specific account; 57

58 details of te following items of te RP-MS11 Report are sown in te following Reports: Initial margin RP-MS00 Collateral value: RP-MA03 Futures variation: RP-MT55, RP-MTE5 Options variation: RP-MT05 Options premium: RP-MT05 E/A settlement: RP-MT02 Clearing Fees/Collateral Fees/Del.Payment/ Msip Fees/Clearing Services/Buy-In RP-MT48, RP-MT37, RP-MT47, RP-MFM4, RP-MFM8 Interest RP-MS05 58

59 RP-MS12 MOA Financial Position detail Te report provides details on te financial position of te MOA account for eac General Clearing Member. It will be produced for te General Clearing Member and for eac Non-Clearing Member of te Omnibus Account. Sample RP-MS12 Report Mbr: XXXXXXXXXXXXXXXX MOA Financial Position detail RP-MS12 9 FEB 14 22:08:54 Page CASSA DI COMPENSAZIONE E GARANZIA Currency: EUR - EURO Trade Date: 7 FEB 14 House Acct. Client Acct. Initial margin ,00,00 Realized liabilities Futures variation,00,00 Options variation,00,00 Options premium,00,00 E/A settlement,00,00 Cas adjustments/buy-in,00,00 Clearing Fees,00,00 Collateral Fees/Del.Payment,00,00 Msip Fees/Clearing Services/Buy-I,00,00 Interest,00,00 Net realized liabilities,00,00 te report is available every day before te start of trading; te report eaded to te General Clearing Member sows te financial position of te same Member, in House and Client account (not segregated clients), excluding tat of its Non-Clearing Members; te report eaded to te Non-Clearing Member sows tefinancial position of te same Member, excluding tat o te oter Non-Clearing Members and of te General Clearing Member; te aggregated data are available in te "Client account" column of te report RP-MS11 eaded to te General Clearing Member. 59

60 RP-MS22 Initial Margins - Equity Derivatives and Sare Sections Te Report sows te different components of initial Margins related to te Sare and te Derivatives Sections, calculated for eac account (House and Client) on te basis of te Positions, te closing prices and te teoretical prices of te previous trading day. Sample RP-MS22 Report Mbr.: GKK Initial Margins - Equity Derivatives and Sare Sections RP-MS22 10 JAN 01 20:51:51 PAGE 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT *OMN Market Group:NET Trade Date: 15 JUL 05 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin C AL 19 JUL C 229,85C C AL 20 JUL C 6,49 C AL 21 JUL C 3,75C F AL T/A 20 JUL 2005, L 312,00 F AL AG 05 9, L 0,00 O AL JY 05 9 CALL OPEN E/A 20 JUL 05 0,0020 3E 3,00C O AL AG 05 9,5 CALL 0,0287 2C 28,70 O AL AG CALL 0, L 102,50C O AL SP CALL 0, L 236,60C O AL DC 05 8,6 CALL 0, L 6.549,00C O AL DC 05 9 CALL 0, L 3.445,90C O AL DC 05 9,5 CALL 0, L 4.295,25C O AL SP 05 8,6 PUT 0,0770 1C 38,50 ALLEANZA ASS ,16C 0,00 0,00 Prod.Group Offset Minimum Mrg: ,16C 0, , ,18 Tot. Account: CLIENT EURO Currency: 1, ,18 te Report is created for all Members and is made available before te start of trading; Clearing Members, wic ave required as a service, including for information purposes only, tat CC&G calculates te Margins separately for te Sare Section and te Equity Derivatives Section, receive also te MS42 report (see below) indicating te segregated calculation; Clearing Members, wic ave required as a service, including for information purposes only, tat CC&G calculates te Margins separately for eac subaccount, receive also te MS24 report (see below) indicating te segregated calculation; te symbol in te first column indicates te type of contract: F = futures, O = options, C = sares or ETF, W = warrant, V = corporate bonds. Sort futures or call Positions in stock options covered by te deposit of underlying sares ( Position Cov./. column) are not subject to initial Margins; te Report also sows te unsettle futures for wic delivery is to be made/taken (T/A) and te Positions in exercised/assigned options (OPEN E/A) since tey are subject to initial Margins; for more details on te manner of calculating initial Margins of te Sare and te Equity Derivatives Sections, see te TIMS Manual available on CC&G web site ( at section Risk Management Documentation. 60

61 RP-MS24 Initial Margins by subaccount - Equity Derivatives and Sare Sections Te Report sows te different components of initial Margins related to te Sare and te Equity Derivatives Sections calculated for eac account (House and Client) and for eac account section (Omnibus section and subaccounts) on te basis of te Positions, te closing prices and te teoretical prices of te previous trading day. Sample RP-MS24 Report Mbr.:GKK Initial Margins by subaccount MTA-DER RP-MS24 15 JAN 08 00:24:19 PAGE 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Trade Date: 14 JAN 08 Account: CLIENT *OMN Market Group: NET Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin C UBI 29 JAN C 730,00 C UBI 30 JAN C 175,72C C UBI 31 JAN C 170,00C F UBI FB 08 16, L 0,00 O UBI MR PUT 1, C ,00 O UBI JN PUT 1, L ,00C UNIONE BANCHE ITALIANE ,72C 0,00 0,00 Grp.Prod. Offset Minimum Mrg: ,72C 0, , ,47C Account: CLIENT SUB1 Market Group: NET Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F MINI MR S 0,00 O SPMIB JN PUT 860 5S ,00 O SPMIB JN PUT S ,00 O SPMIB DC PUT S ,00 MINIFUTURE SU INDICE DI BORSA ,00 0,00 0,00 Grp.Prod. Offset Minimum Mrg: ,00 0, , ,05 Tot. Account: CLIENT EURO Currency: 1, ,05 te Report is created for all Members and is made available before te start of trading; te symbol in te first column indicates te type of contract: F = futures, O = options, C = sares or ETF, W = warrant, V = corporate bonds. Sort futures or call Positions in stock options covered by te deposit of underlying sares ( Position Cov./. column) are not subject to initial Margins; te Report also sows te unsettle futures for wic delivery is to be made/taken (T/A) and te Positions in exercised/assigned options (OPEN E/A) since tey are subject to initial Margins; for more details on te manner of calculating initial Margins of te Sare and te Equity Derivatives Sections, see te TIMS Manual available on CC&G web site ( at section Risk Management Documentation. 61

62 RP-MS42 Initial Margins calculated separately by Section Tis report sows te result of initial Margins calculated separately for te Sare Section and te Equity Derivatives Section. Sample RP-MS42 Report Ader.: GKK Initial Margins calculated separately by Section RP-MS42 2 APR 03 13:27:33 PAGE 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE *OMN Market Group:DER Trade Date: 18 JUL 05 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F AL T/A 20 JUL 2005, L 312,00 F AL AG 05 9, L 0,00 O AL JY 05 9 CALL OPEN E/A 20 JUL 05 0,0020 3E 3,00C O AL AG 05 9,5 CALL 0,0287 2C 28,70 O AL AG CALL 0, L 102,50C O AL SP CALL 0, L 236,60C O AL DC 05 8,6 CALL 0, L 6.549,00C O AL DC 05 9 CALL 0, L 3.445,90C O AL DC 05 9,5 CALL 0, L 4.295,25C O AL SP 05 8,6 PUT 0,0770 1C 38,50 ALLEANZA ASS ,05C 0,00 0,00 Prod.Group Offset Minimum Mrg: ,05C 0, , ,52 Tot. Account: HOUSE EURO Currency: 1, ,52 Ader.:GKK Settlment separato RP-MS42 2 APR 03 13:27:33 PAGE 2 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE *OMN Market Group:DER Trade Date: 18 JUL 05 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin C AL 19 JUL C 229,85C C AL 20 JUL C 6,49 C AL 21 JUL C 3,75C ALLEANZA ASS 227,11C 0,00 0,00 Prod.Group Offset Minimum Mrg: 227,11C 0, , ,12 Tot. Account: HOUSE EURO Currency: 1, ,12 Tis report is available, after te payment of a montly fee, for Members tat request CC&G to calculate Margins separately for eac of te said Sections but make te payment on te base of te joint calculation (see MS22 report); te report is free of carge for Members tat request CC&G to make te payment on te base of a separated calculation of initial Margins for eac Section. te symbol in te first column indicates te type of contract, terefore te Section. For te Equity Derivatives Section, F = futures and O = options. For te Sare Section, C = sares or ETF, W = warrant, V = corporate bonds. Sort futures or call Positions in stock options covered by te deposit of underlying sares ( Position Cov./. column) are not subject to initial Margins; te Report also sows te unsettle Futures for wic delivery is to be made/taken (T/A) and te Positions in exercised/assigned options (OPEN E/A) since tey are subject to initial Margins; for more details on te manner of calculating initial Margins of te Sare and te Derivatives Sections, see te TIMS Manual available on CC&G web site ( at section Risk Management Documentation. 62

63 RP-MSE2 Initial Margins Energy Derivatives Section Te Report sows te Initial Margins calculated on te IDEX futures open positions. Sample RP-MSE2 Report Mbr.:GKK Initial Margins Energy Derivatives Section RP-MSE2 1 SEP 08 17:32:52 Page 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT *OMN Market Group:IDEX Trade Date: 25 JAN 08 Contract Description Price/ Position Net Premium Straddle Additional Total ITM Amount Cop./Str. Ord. MTM Margin Delivery Margins Margins F M01FB FB 08 39,73 2L 0,00 FUTURE EL MONTH 1 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,62 F M02FB MR 08 67,12 2L 0,00 FUTURE EL MONTH 2 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,03 F Q01FB JN 08 65,87 3L 0,00 FUTURE EL QUARTER 1 0,00 0,00 0,00 F Q02FB SP 08 66,98 3L 0,00 FUTURE EL QUARTER 2 0,00 0,00 0,00 F Q03FB DC 08 58,24 3L 0,00 FUTURE EL QUARTER 3 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,62 Total Account: CLIENT EURO Currency: 1, ,27 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; te Contract Description column indicates te symbol of te futures contract; te Price column indicates te daily settlement price of te futures contract; te Net/Ord column indicates te number of positions Sort (S) or Long (L); te Additional Margins column indicates te amount of te Additional Margins. For furter details about te calculation of tis amount, see te MMeL Manual available on CC&G web site ( at section Risk Management Documentation; te Total Margins column indicates te total amount of Initial Margins calculated as algebric sum between te Mark to Market Margins and te Additional Margins. 63

64 RP-MSE4 Initial Margins - IDEX Positions on Delivery Te Report sows te amount of Initial Margins calculated on IDEX futures positions on delivery. Sample RP-MSE4 Report Mbr.: GKK Initial Margins - IDEX Positions on Delivery RP-MSE4 30 JUL 08 16:46:14 Page 1 CASSA DI COMPENSAZIONE E GARANZIA Currency: EURO Account: CLIENT *OMN Market Group: IDEX Trade Date: 2 JAN 08 Contract Description Price Position Net Margin Straddle Additional Total ITM Amount Cop./Str. Ordin. Premium/MTM Delivery Delivery Margins F D01FB JA 08 50,00 100L ,00 FUTURE EL ON DELIVERY ,00 0,00 0,00 Grp.Prod. Offset Mrg.Minimo: ,00 0, , ,00 Totale Conto: TERZI EURO Valuta: 1, ,00 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; te Contract Description column indicates te trading symbol and te expiry of te IDEX futures contract; te Price column indicates te daily settlement price; te Net/Ord column indicates te net position Sort (S) or Long (L); te Margin Premium / MTM indicates te Mark to Market Margins; te Additional Margin column indicates te Additional Margin. For furter details about te calculation of tis amount, see te MMeL Manual available on CC&G web site ( at section Risk Management Documentation; te Total Margins column indicates te total amount of Initial Margins on IDEX futures positions on delivery calculated as algebric sum between te Mark to Market Margins and te Additional Margins. 64

65 RP-MSE6 Initial Margins by subaccount - IDEX ordinary positions Te Report sows te Initial Margins relative to te Energy Derivatives Section separately calculated in eac account (House and Client) and in eac account section (Omnibus section and subaccounts) on te base of te ordinary positions, closing prices and teoretical values. Sample RP-MSE6 Report Mbr.:GKK Initial Margins by subaccount - IDEX Ordinary Positions RP-MSE6 1 AUG 08 19:11:17 Page 1 CASSA DI COMPENSAZIONE E GARANZIA Currency: EURO Account: CLIENT *OMN Market Group: IDEX Trade Date: 3 JAN 08 Contract Description Price Position Net/ Premium Straddle Additional Total ITM Amount Cov./Str. Ord. Margin/MTM Delivery Margins Margins F M01FB FB 08 35,43 79L 0,00 FUTURE EL MESE 1 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,47 F M02FB MR 08 64,37 204L 0,00 FUTURE EL MESE 2 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,96 F Q01FB JN 08 56,08 90C 0,00 FUTURE EL TRIMESTRE 1 0,00 0,00 0,00 F Q02FB SP 08 61,02 40C 0,00 FUTURE EL TRIMESTRE 2 0,00 0,00 0,00 F Y01FB DC 09 38,97 81L 0,00 FUTURE EL ANNO 1 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,69 Totale Conto: TERZI EURO Valuta: 1, ,12 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; For furter details about te Initial Margins calculation for te Energy Derivatives Section, see te MMeL Manual available on CC&G web site ( at section Risk Management Documentation. 65

66 RP-MSE8 Initial Margins by subaccount - IDEX positions on delivery Te Report sows te Initial Margins relative to te Energy Derivatives Section separately calculated in eac account (House and Client) and in eac account section (Omnibus section and subaccounts) on te base of te positions on delivery, closing prices and teoretical values. Sample RP-MSE8 Report Mbr.:GKK 1 AUG 08 19:11:17 Page 1 COMPENSAZIONE E GARANZIA Currency: EURO Initial Margin by subaccount - IDEX Positions on Delivery RP-MSE6 CASSA DI Account: CLIENT *OMN Market Group: IDEX Trade Date: 3 JAN 08 Contract Description Price/ Position Net/ Premium Straddle Additional Total ITM Amount Cov./Str. Ord. Margin/MTM Delivery Margins Margins F D01FB JA 08 62,06 100L 0,00 FUTURE EL ON DELIVERY 0,00 0,00 0,00 Prod. Group Offset Minimum Margin: 0,00 0, , ,20 Total Account: CLIENT EURO Valuta: 1, ,20 te Report is created for all Members of te Energy Derivatives Section and is made available before te start of trading; For furter details about te Initial Margins calculation for te Energy Derivatives Section, see te MMeL Manual available on CC&G web site ( at section Risk Management Documentation. 66

67 RP-MS61 Calculation of Initial Margins on Bond Section Marginable Positions Report up to MS75, sow details of te initial margins calculated for te Bond Section. In particular tis report sows te marginable positions i.e. positions on wic margin are calculated. Sample MS61 Report Ader: CCG GCM : GKK Currency: EUR Account: C Subaccount: Initial Margins Bond Section AS AT 18 JUL 05 MS61 18 JUL 05 20:50:50 Page 1 SELECTED TRANSACTIONS ISIN Type L/S Transaction Transaction Settlement Quantity Amount Repo Repo Settl Colla Number Date Date Rate Group Group IT BTP L DEC DEC ,00 0,0000 A A IT BTP L DEC DEC ,50 0,0000 A A IT BTP L DEC DEC ,00 0,0000 A A IT BTP S DEC DEC ,50 0,0000 A A IT BTP S DEC DEC ,50 0,0000 A A IT BTP L DEC DEC ,00 0,0000 A A te Report is created for all Members of te Bond Section and te ICSDs Bond Section wic cose CC&G as CCP, te Report is made available before te start of trading; for more details on te manner of calculating initial Margins of te Bond Section and te ICSDs Bond Section, see te MVP Manual available on CC&G web site ( at section Risk Management - Documentation. 67

68 RP-MS62 Calculation of Initial Margins on Bond Section Mark-to-Market Tis report gives details regarding te calculation of te mark-to-market. Semple RP-MS62 Report Ader: CCG GCM : GKK Member : GKK Currency: EUR Account: C Subaccount: Mark to Market Margins Bond Section AS AT 18 JUL 05 MS62 18 JUL 05 20:50:52 Page 1 ISIN L/S Traded MTM Clean Accrued MTM Dirty Index Quantity Traded Revalued Repo MTM Amount Price Coupon Price Ratios Amount Interest Marg IT L ,00 118, , , ,00 0, ,00- IT L ,50 102, , , ,50 0, ,00 IT L ,00 116, , , ,00 0, ,00 IT S ,50 106, , , ,50 0, ,00- IT S ,50 106, , , ,50 0, ,00- IT L ,00 104, , , ,00 0, ,00 Totale Partecipante ,00 equivalent to RP-MS61 Report. 68

69 RP-MS63 Calculation of Initial Margins on Bond Section Division into Classes Depending on te financial instrument and its duration, te report sows te division of positions into classes. Sample RP-MS63 Report Initial Margins Bond Section Division into Classes AS AT 18 JUL 05 MS63 18 JUL 05 20:50:55 Page 1 Ader CCG GCM : GKK Member : GKK Currency: EUR Account: C Subaccount: CLASSIFICATION OF POSITION ISIN Long Sort I.R.R. Duration Class Position Position IT , ,00 0, , IT ,00 0,00 0, , IT ,00 0,00 0, , IT ,50 0,00 0, , IT ,00 0,00 0, , equivalent to RP-MS61 Report. 69

70 RP-MS64 Calculation of Initial Margins on Bond Section Intra-Class Offset Keeping into consideration correlations, long and sort positions witin te same class are decremented by an Offsetting Factor applied to te smaller of te two positions. Sample RP-MS64 Report Initial Margins Bond Section Intra-Class Offset AS AT 22 JUL 05 MS64 22 JUL 05 22:29:00 Page 1 Ader CCG GCM : GKK Member : GKK Currency: EUR Account: C Subaccount: INTRA CLASS OFFSET Class Long Sort Cross Offset Offset long Offset sort Position Position Offsetting Amount Position Position Factor 01 0,00 0,00 20,00% 0, ,00 0,00 60,00% 0, ,00 0,00 55,00% 0, ,00 0,00 55,00% 0, ,00 0,00 75,00% 0, ,00 0,00 80,00% 0, ,00 0,00 70,00% 0, ,00 0,00 80,00% 0, , ,00 75,00% , ,50 0,00 80,00% 0, ,00 0,00 75,00% 0, equivalent to RP-MS61 Report. 70

71 RP-MS65 Calculation of Initial Margins on Bond Section Inter-Class Offset Wen Inter Class Priorities are considered, bot te long and te sort position of one Class will be decremented of an amount equal to pertinent Inter Class Cross-Position Offsetting Factor applied to e smaller between te position itself and te position of opposite sign of te oter Class. Sample RP-MS65 Report Initial Margin Bond Section Inter-Class Offset AS AT 18 JUL 05 MS65 18 JUL 05 20:50:57 Page 1 Ader CCG GCM : GKK Member : GKK Currency: EUR Account: C Subaccount: INTER CLASS OFFSET Class A Class B Priority Class Long Sort Cross Long Sort A -- B Position Position Offsetting Position Position ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% ,00% 0 0 equivalent to RP-MS61 Report. 71

72 RP-MS67 Calculation of Initial Margins on Bond Section Final Initial Margin Te Report sows te final calculation of te Initial Margin, adding to te additional initial Margin Margin te mark-to-market. Sample RP-MS67 Report Initial Margin Bond Section Final Initial Margin AS AT JUL 05 MS67 22 JUL 05 22:29:01 Page 1 GCM : GKK Member : GKK Account: C Subaccount: INITIAL MARGINS Class Long Sort Deposit Non adjusted add Position Position Factor Margin ,05% ,10% ,30% ,35% ,65% ,85% ,40% ,55% ,30% ,80% ,10% 0 Total Non Adjusted Additional Margin Adjustament Factor 0,000 % - Adjusted additional Margin Total MTM Margin Initial Margin equivalent to RP-MS61 Report. 72

73 RP-MS68 Final Margin calculation Te report sows te different components and te final summary of te General Participant margins Sample RP-MS68 Report XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX Initial Margin Calculation AS AT 4 FEB 14 MS68 4 FEB 14 21:46:16 Page 1 Currency: EUR EUR INITIAL MARGIN : G C M MARGIN Client Account House Account XXXX XXXXXXXXXXXXXXXXX, ,00 G C M : Total Client Account,00 G C M : Total House Account ,00 Te report contains a table tat displays te final margins amount Te table sows te total margin in euro. 73

74 RP-MS70 Initial Margins on Bond Section ICSDs Tis report sow details of te initial margins calculated for te Bond Section, te,margins are divided for currency. Sample RP-MS70 Initial Margin Bond Section ICDS 10 DEC 12 MS70 10 DEC 12 10:41:05 Page 1 GCM : GKK Member: GKK Account: F Subaccount: INITIAL MARGIN CUR Ordinary Mark to Market Initial Excange Haircut Initial Margin Margin Margin Rate Margin EUR ,0000, USD ,7696 1, ,23 TOTAL EURO ,23 Te report relates, for eac currency, te margin amount calculated in foreign currency and te same amount in Euro calculated wit te excange rate and aircut applied. Te table indicates te total margin amount in Euro. 74

75 RP-MS00 Initial Margins summary Te Report sows te Initial Margins amounts calculated for all te Sections in wic te Member operates. Sample RP-MS00 Report Initial Margins Summary RP-MS00 8 SEP 08 10:21:54 Page 1 Mbr: GKK CASSA DI COMPENSAZIONE E GARANZIA Currency : EURO Trade Date: 29 JAN 08 Sections - Margins House Account Client Account Report SHARE & EQUITY DERIVATIVES Ordinary 1.500,00 0,00 MS22 SHARE & EQUITY DERIVATIVES Pos.in Fail 800,00 0,00 MS27 ENERGY DERIVATIVES/ICSDs Ordinary 7.474, ,00 MSE2 ENERGY DERIVATIVES/ICSDs - Pos. on Delivery ,20 0,00 MSE4 BOND - Ordinary 700,00 0,00 MS70 BOND Pos. in Fail 0,00 800,00 MS Total: , ,00 MS11 te Report is created for all Members and is made available before te start of trading; te Sections Margins column indicates te concerned Section/s and te type of Initial Margins calculated; te House Account and Client Account columns indicate te amounts of Initial Margins calculated for eac account; te Report column indicates te Report containing te calculation details for te specified Initial Margin type; te item Total: indicates te total Initial Margins amount calculated for eac account of te Member; tis amount is also indicated in te Report MS11 at item Initial Margin. 75

76 RP-MS33 Intraday Margin Call Te Report contains te intraday Margin call sent to te Member. Sample RP-MS33 Report GKK 9999 INTRADAY MARGIN CALL REPORT RP-MS33 12:56:31 Pag. 1 Trade date: 10 DEC 00 URGENT----INTRADAY MARGIN CALL In compliance wit Art. B of te Regulations, CC&G requires you to ensure sufficient funds in te PM Account in Target2 System between..:.. and..:.. (CET) from wic te direct debit sall be made for te amount indicated below. Member : 9999 GKK XXXXXXXXX - Acct CLIENT Amount : Euro ,46 Time: 12:12:20 Payment Code : MIF-INF T We inform you tat failure to direct debit witin te time limit establised erein will result in te Member being declared in default in accordance wit Article B of te Regulations. te Report is created for General and Individual Clearing Members; te Aderente space contains te Member s alpanumeric code and name; te Acct space sows House or Client depending on wic of te Member s accounts te call refers to; te Time space contains te time at wic te prices used to calculate te intraday Margin call were observed; te Payment Code space contains te reason for te payment tat CC&G will enter in te ASI message debiting te PM account of te Member or its Settlement Agent. After MIF-INF. CC&G will enter te company code and account ( House or Client ) of te Member for wic te payment is being made. 76

77 RP-MS35 Intraday Margin Debit Notice Te Report sows te amount of all te intraday margin calls sent over te same day to te Settlement Agent on bealf of te Clearing Members for wom it operates. Sample RP-MS35 Report Bank: BNKA SPA Avviso di Addebito Margini Intraday RP-MS35 16 MAR 11 14:37:12 Pag BNKA CASSA DI COMPENSAZIONE E GARANZIA Ricieste del : 16 MAR 11 Req Mnem Account Description ABI Code Amount 1 GOVA/2111 Terzi BANCA ,31 1 GOVA/2111 Proprio BANCA ,76 1 BAKE/3333 Terzi BANCA , Riquest Number ,41 Req Mnem Account Description ABI Code Amount 2 GOVA/2111 Terzi BANCA ,91 2 BAKE/3333 Proprio BANCA ,84 2 BAKE/3333 Terzi BANCA , Riquest Number ,73 te Report is created for te Settlement Agents (for cas); te Bank field indicates te company name of te Settlement Agent and te related entity and mnemonic codes; te Req field indicates te number of te intraday margin call (given tat in te course of a single day CC&G could send many intraday margin calls to te Settlement Agent); te Mnem/GCM field indicates te Member s alpanumeric code; te Account field indicates te Member s account ( House or Client ); te Request Number field indicates te total amount requested to te Settlement Agent for all te Clearing Members for wom it operates, related to eac intraday margin call. 77

78 RP-MS36 Intraday Amount by GCM/NCM Te report sows all te intraday margin calls sent over te same day to te Clearing Member and te detail of te Initial Margins calculated on its bealf and on bealf of eac Non-Clearing Member. Sample MS-36 Report GCM : GENERAL GROUP SA 1133 AAAA Intraday Amount by GCM/NCM RP-MS36 24 MAR 11 13:01:21 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA situation to : 24 MAR 11 GCM Member Req Account Mnem/MBR Account Description Tot Margin 1 Proprio AAAA/1133 House GENERAL GROUP SA , Asset Value Amount Requested Tot. Account F , , ,67 GCM Member Req Account Mnem/MBR Account Description Tot Margin 1 Client AABB/1122 House ABABI S.A ,79 1 Client CCDD/3344 House CADICO S.A ,00 1 Client CCDD/5566 Client CADICO S.A ,13 1 Client AAAA/1111 Client GENERAL GROUP SA ,83 1 Client GGHH/1212 Client GACICO GROUP LTD ,68 1 Client IILL/1313 House ILIL SA ,44 1 Client MMNN/1414 House MINI GRP LTD , Asset Value Amount Requested Tot. Account C , , ,00 GCM Member Req Account Mnem/MBR Account Description Tot Margin 2 Client AABB/1122 House ABABI S.A ,87 2 Client GGHH/9900 House GACICO GROUP LTD ,61 2 Client GGHH/1212 Client GACICO GROUP LTD ,87 2 Client IILL/1313 House ILIL S.A ,06 2 Client MMNN/1414 House MINI GRP LTD , Asset Value Amount Requested Tot. Account C , , ,00 Te Report is created for te Clearing Members; Te GCM field indicates te company name of te Clearing Member and te related entity and alpanumeric code; Te Req field indicates te sequential number of te intraday margin call (given tat in te course of te same day CC&G could send many intraday margin calls to te Clearing Member); Te field Mnem indicates te Clearing Member s alpanumeric code; Te field Account indicates te Clearing Member s account ( House or Client ); Te field Tot Margin indicates te total amount due (Initial Margins, Variation Margins, Premium) computed for eac account of te Clearing Member and of te related Non Clearing Members; Te field Tot Account F indicates te total amount due (Initial Margins, Variation Margins, Premium) computed for te Clearing Member s House Account; tis amount does not take into account all te available guarantees (Asset Value); so it does not represent te total intraday margins effectively carged on te Clearing Member (reported in te field Amount Requested); 78

79 Te field Tot Account C indicates te total amount due (Initial Margins, Variation Margins, Cas Prize) computed eiter for te Clearing Member s Client Account (customers) or te potential Non Clearing Members accounts (House and Client); tis amount does not take into account all te available guarantees (Asset Value); so it does not represent te total intraday margins effectively carged on te Clearing Member (reported in te field Amount Requested); Te field Asset Value indicates te value of te Clearing Member guarantees; Te field Amount Requested indicates te total intraday margin calls amount requested to te Clearing Member for te indicated account. 79

80 RP-MC09 AGREX Cas Settlement in case of Default Te Report is produced following te activation of one or more cas settlements. Sample RP-MC09 Report Mbr: BAN1 BANCA UNO SPA AGREX Cas Settlement in case of Default RP-MC09 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Starting Positions on: 12 NOV 11 Currency: EURO Acct.: CLIENT Subaccount: MRSS Headed to: MARIO ROSSI Tax Code: MRRRSSTE78K09G873G VAT: POSITIONS NOT IN DELIVERY Series: DWHEAT1L DURUM WHEAT FUTURES DICEMBER Positions Underlying Margin Cas Price Long Sort Quantity Interval % Settlement 150, , ,00 DR Series: DWHEAT2C DURUM WHEAT FUTURES MARCH Positions Underlying Margin Cas Price Long Sort Quantity Interval % Settlement 140, , ,00 DR Total cas settlement positions not in delivery: ,00 DR POSITIONS IN DELIVERY Series: DWHEAT2C DURUM WHEAT FUTURES NOVEMBER 2011 Rif. Matcing: Delivery date witin: 30 NOV 11 Postponement of te delivery date (Y/N): N Delivery date postponed to: Amount A: Positions Underlying Margin Cas Price Long Sort Quantity Interval % Settlement 104, , ,00 DR Amount B: Positions Underlying Margin Cas Price Long Sort Quantity Interval % Settlement 8, ,00 DR Cas settlement positions in delivery: TOTAL: 7.800,00 DR ,00 DR Te Report is produced for a defaulting Member and for (a) Member(s) matced to te defaulting member. It is available before te start of trading on te following day. Te section POSITIONS NOT IN DELIVERY indicates any cas settlements made by CC&G for settlement of te positions not in delivery. Te section POSITIONS IN DELIVERY indicates any cas settlements made by CC&G for positions in delivery. Te sign will be DR (debit) for a defaulting Member and CR (credit) for te relevant matced Member(s). Te total amount of te credit/debit cas settlement to be settled for te Member is indicated in te last line under te eading TOTAL. 80

81 RP-MSG1 AGREX Initial Margins on Delivery Matced Positions Te Report sows te calculation of te Initial Margins on matced positions in delivery. Sample RP-MSG1 Report Mbr.: BAN1 BANCA UNO SPA AGREX Initial Margins on Delivery Matced Positions RP-MSG1 31 AUG 12 20:19:49 PAGE 1 Currency: EUR - EURO AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct.: CLIENT *OMN Market Group: AGRX Trade Date: 31 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHMAD2H 114,00 400C 0,00 DWHEAT DELIVERY ,00 00,00 0,00 Grp.Prod. Offset Minimum Mrg: ,00 00, , ,00 Tot. Account: CLIENT EUR - EURO Currency: 1, ,00 Mbr.: BAN1 BANCA UNO SPA AGREX Initial Margins on Delivery Matced Positions RP-MSG1 31 AUG 12 20:19:49 PAGE 2 Currency: EUR - EURO AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct.: HOUSE *OMN Market Group: AGRX Trade Date: 31 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHMAW2H 114,00 400L 0,00 DWHEAT DELIVERY 00,00 00,00 0,00 Grp.Prod. Offset Minimum Mrg: 00,00 00, , ,00 Tot. Account: HOUSE EUR - EURO Currency: 1, ,00 Te column Series indicates te symbol of te contract and te relevant maturity. Te column Price indicates te price of daily settlement. Te column Ord. Net indicates te number of sort (C) or long (L) positions. Te column Additional Margin indicates te amount of te Initial Margins on matced delivery positions. For furter details on te metods of determining tis amount, see te MMeG Manual available on CC&G website ( in te section entitled Initiatives AGREX. Te column Premium Margin/MTM indicates te amount of any Mark to Market Margins. For furter details on te metods of determining tis amount, see te MMeG Manual available on CC&G website ( in te section entitled Initiatives AGREX. Te column Total Margin indicates te total amount of Initial Margins calculated as algebraic sum between te Margin Premium/MTM and te Additional Margins. 81

82 RP-MSG2 AGREX Initial Margins on Ordinary Positions Te Report indicates te calculation of Ordinary Margins made by CC&G on AGREX Futures positions. Sample RP-MSG2 Report Mbr.: BAN2 BANCA DUE SPA AGREX Initial Margins on Ordinary Positions RP-MSG2 27 AUG 12 19:08:55 PAGE 1 Currency: EUR - EURO AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct.: CLIENT *OMN Market Group: AGRX Trade Date: 27 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHEAT2I 117,00 10L 0,00 F DWHEAT2L 134,00 10L 0,00 DWHEAT DELIVERY 0,00 0,00 0,00 Grp.Prod. Offset Minimum Mrg: 0,00 0, , ,00 Tot. Account: CLIENT EUR - EURO Currency: 1, , Mbr.: BAN2 BANCA DUE SPA AGREX Initial Margins on Ordinary Positions RP-MSG2 27 AUG 12 19:08:55 PAGE 2 Currency: EUR - EURO AGRICULTURAL COMMODITY DERIVATIVES SECTION Acct.: HOUSE *OMN Market Group: AGRX Trade Date: 27 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHEAT2I 117,00 50C 0,00 F DWHEAT2L 134,00 50C 0,00 DWHEAT DELIVERY 0,00 0,00 0,00 Grp.Prod. Offset Minimum Mrg: 0,00 0, , ,00 Tot. Account: HOUSE EUR - EURO Currency: 1, ,00 Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te column Series indicates te symbol of te contract and te relevant maturity. Te column Price indicates te price of daily settlement. Te column Ord. Net indicates te number of sort (C) or long (L) positions. Te Additional Margin column indicates te amount of te ordinary Initial Margins. For furter details on te metods of determining tis amount, see te MMeG Manual available on CC&G website ( in te section entitled Initiatives AGREX. Te Total Margin column sows te total amount of Initial Margins equal to te additional margins. 82

83 RP-MSG4 AGREX Initial Margins on Delivery Positions and Increased Initial Margins Te Report sows te calculation of linked and increased Initial Margins. Sample RP-MSG4 Report Mbr.: BAN2 BANCA DUE SPA AGREX Init. Margins on Delivery Pos. and Increased Init. Margins RP-MSG4 24 AUG 12 18:50:39 PAGE 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Currency: EUR - EURO Acct.: CLIENT *OMN Market Group: AGRX Trade Date: 24 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHINC2H 114,00 280C 0,00 DWHEAT DELIVERY 0,00 0,00 0,00 Grp.Prod. Offset Minimum Mrg: 0,00 0, , ,00 Tot. Account: CLIENT EUR - EURO Currency: 1, , Mbr.: BAN2 BANCA DUE SPA AGREX Init. Margins on Delivery Pos. and Increased Init. Margins RP-MSG4 24 AUG 12 18:50:39 PAGE 2 AGRICULTURAL COMMODITY DERIVATIVES SECTION Currency: EUR - EURO Acct.: HOUSE *OMN Market Group: AGRX Trade Date: 24 AUG 12 Series Price/ Position Ord. Premium Straddle Additional Total ITM Amount Cov./Str. Net Margin/MTM Delivery Margin Margin F DWHDLV2H 114,00 300L 0,00 DWHEAT DELIVERY 0,00 0,00 0,00 Grp.Prod. Offset Minimum Mrg: 0,00 0, , ,00 Tot. Account: HOUSE EUR - EURO Currency: 1, ,00 Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te column Series indicates te symbol of te contract and te relevant maturity. Te column Price indicates te price of daily settlement. Te column Ord. Net indicates te number of sort (C) or long (L) positions. Te column Additional Margin indicates te amount of te Initial Margins on delivery. For furter details on te metods of determining tis amount, see te MMeG Manual available on CC&G website ( in te section entitled Initiatives AGREX. Te Total Margin column sows te total amount of Initial Margins equal to te additional margins. 83

84 RP-MS14 Default Fund - Montly Contribution te Report sows te amount of te Contribution to te Default Fund and te details of te calculation. Sample RP-MS14 Report Mbr: GKK DEFAULT FUND - Montly Contribution MS14 6 NOV 02 18:07:56 Pag. 1 Cur: EURO CASSA DI COMPENSAZIONE E GARANZIA MDF/DEFAULT FUND BIT (DER/MTA) Mbr Total avarage Contr.Calcolate Contr.Amount Prev.Contr,Amount Contr.Adjust 0001 GKK , , , , , AA , , , ,00,00 TOTAL: , , , ,00 Period : 01 JUN 05 --> 30 JUN 05 te Report is created periodically for all te Clearing Members and is made available at te morning of every period; for General Clearing Members, te details referred to teir Non Clearing Members are sown (see Mbr 0002 AA); Te amount of te contribution in indicated in message M01 sent troug Rete Interbank Network RNI, togeter wit te financial position of te member, and in message M03 (Daily statement service). 84

85 RP-MS15 Default Fund Calculation Details te Report sows te amount of te Contribution to te Default Fund and te details of te calculation. Sample RP-MS15 Report Mbr: GKK DEFAULT FUND Calculation details RP-MS15 6 NOV 02 18:07:56 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA MDF/DEFAULT FUND (DER/MTA) Cur.: EURO Reference Period 1 JUN 05 --> 30 JUN 05 Margin date House/Acc.Margin Client/Acc.Margin TOTAL MARGIN 01 JUN , , ,20 02 JUN , , ,61 03 JUN , , ,06 06 JUN , , ,01 07 JUN , , ,45 08 JUN , , ,31 09 JUN , , ,50 10 JUN , , ,29 13 JUN , , ,36 14 JUN , , ,16 15 JUN 05, , ,63 16 JUN 05, , ,77 17 JUN 05, , ,97 20 JUN , , ,19 21 JUN , , ,47 22 JUN , , ,16 23 JUN , , ,03 24 JUN , , ,90 27 JUN , , ,88 28 JUN , , ,95 29 JUN , , ,05 30 JUN , , ,11 SUMMARY Margin : , , ,06 AVARAGE : , , ,54 TOT. Avarage.Member: ,02 Contribution Calc ,65 CONTRIBUTION AMOUNT ,00 C.Days03/MTA : * END OF LIST * te Report is created periodically for all Members and is made available at te morning of every period; te amounts of te contribution calc. and te contribution amount are used as inputs for te report MS14. 85

86 SECTION V Fees and Interests RP-MS05 Montly accrued Interest Te Report sows te amount of interest accrued in te last mont on te cas deposited, wit daily details. Sample RP-MS05 Report Mbr: xxxxxxxxxxxxxxxx Montly accrued Interest RP-MS05 9 DEC 14 17:11:51 Page 1 CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Period from 01 NOV 14 to 30 NOV 14 Cas Accrued Rate Interest Rate Interest Rate Interest Date Balance Interest EUR - EURO 1 NOV ,51 236,03-0, NOV ,51 236,03-0, NOV ,51 642,13-0, NOV ,58 587,84-0, NOV ,49 544,03-0, NOV ,39 572,91-0, NOV ,69 632,78-0, NOV ,69 632,78-0, NOV ,69 632,78-0, NOV ,49 575,72-0, NOV ,45 589,30-0, NOV ,63 651,41-0, NOV ,39 557,33-0, NOV ,39 560,46-0, NOV ,39 560,46-0, NOV ,39 560,46-0, NOV ,39 554,20-0, NOV ,39 538,54-0, NOV ,39 541,67-0, NOV ,39 529,15-0, NOV ,39 467,95-0, NOV ,39 467,95-0, NOV ,39 467,95-0, NOV ,64 461,89-0, NOV ,99 405,88-0, NOV ,87 326,39-0, NOV ,83 385,21-0, NOV ,21 82,52-0, NOV ,21 82,52-0, NOV ,21 82,52-0, TOTALS: ,79- te Report is created only for General and Individual Clearing Members and is made available te first days of te mont following te reference mont. accrued interest is paid/carged on a quarterly basis. te Cas Balance column sows te amount of cas deposited on eac day. te total amount of accrued interest sown at te bottom of te Accrued Interest column is also sown in te RP-MS11 and RP-MS01 Reports. 86

87 RP-MT36 Detail of Carged Services Te Report sows te services and te pertinent fees ant VATs accrued in te previous mont, to be settled on te first working day of te current mont. Sample RP-MT36 report Ader: GKK BANCA GKK Detail of Carged Services RP-MT36 31 JAN 07 21:19:46 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Periodo riferimento 01/2007 GKK Servizio Canone Iva % Importo Iva Canone addebitato Conto GKK BANCA GKK BCS-GCM - PRIMARIA 350,00,00%,00 350,00 P BCS-GCM - PRIMARIA 350,00,00%,00 350,00 P BCS-GCM - ADDIZIONALE 100,00,00%,00 100,00 P BCS-GCM - ADDIZIONALE 100,00,00%,00 100,00 P BCS-API - PRIMARIA 120,00 20,00% 24,00 144,00 P BCS-API - PRIMARIA 120,00 20,00% 24,00 144,00 P REPORT - MARGIN.NE I 500,00 20,00% 100,00 600,00 P SUBACCOUNT- SUBACCOUNT 400,00 20,00% 80,00 480,00 P Totale MEMBER: 2.040,00 228, ,00 AXIO AXIO SIM S.P.A. ICWS BASIC- ADDIZIONALE 100,00,00%,00 100,00 T ICWS BASIC- PRIMARIA 150,00,00%,00 150,00 T ICWS BASIC- PRIMARIA 150,00,00%,00 150,00 T Totale MEMBER: 400,00,00 400,00 Totale C/TERZI: 400,00,00 400,00 Totale C/PROPRIO: 2.040,00 228, ,00 Totale GCM: 2.440,00 228, ,00 te Report is created for Clearing Members and is made available on te first day of te mont following te reference mont; for General Clearing Member te report sows also te services and te pertinent fees and VAT carged for eac Non Clearing Member. te Service column sows te Service carged: BCS-GCM (BCS-WS General Clearing Member), BCS-ICM (BCS-WS Individual Clearing Member), BCS-NMC (BCS-WS Non Clearing Member), BCS-API (BCS Application Program Interface), ICWS basic, REPORT (Report MS42 margins calculated separately for te Sare Section and te Derivatives Section and Report MS24 margins calculated separately for eac subaccount) and SUBACCOUNT (debit for eac subaccount activated by te Member); te Fee column sows fee applied witout VAT; te IVA% column sows te VAT percentage applied to te service; te IVA Amount column sows te VAT amount applied to te service; te Debit Fee column sows te total fee,vat included, carged for te service; te Debit Fee column sows te account used to settle te fee; Services referred to Clearing Members are settled in te House account (H); services referred to Non Clearing Member are settled in te Client account (C) of te General Clearing Member. 87

88 RP-MT37 List of Subscribed Services Te Report sows te services and te pertinent fees ant VATs accrued in te previous mont, to be settled on te first working day of te current mont. Sample RP-MT37 Report Ader: GKK BANCA GKK List of Subscribed Services RP-MT37 31 JAN 07 21:19:48 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Periodo riferimento 01/2007 Servizio Canone Iva % Importo Iva Canone addebitato Conto BCS-GCM - PRIMARIA 350,00,00%,00 350,00 P BCS-GCM - PRIMARIA 350,00,00%,00 350,00 P BCS-GCM - ADDIZIONALE 100,00,00%,00 100,00 P BCS-GCM - ADDIZIONALE 100,00,00%,00 100,00 P BCS-API - PRIMARIA 120,00 20,00% 24,00 144,00 P BCS-API - PRIMARIA 120,00 20,00% 24,00 144,00 P REPORT - MARGIN.NE I 500,00 20,00% 100,00 600,00 P SUBACCOUNT- SUBACCOUNT 400,00 20,00% 80,00 480,00 P Totale MEMBER.. : 2.040,00 228, ,00 te Report is created for all Members and is made available on te first day of te mont following te reference mont; te Service column sows te Service carged: BCS-GCM (BCS-WS General Clearing Member), BCS- ICM (BCS-WS WS Individual Clearing Member), BCS-NMC (BCS-WS Non Clearing Member), BCS-API (BCS Application Program Interface), ICWS basic, REPORT (Report MS42 margins calculated separately for te Sare Section and te Derivatives Section and Report MS24 margins calculated separately for eac subaccount) and SUBACCOUNT (debit for eac subaccount activated by te Member); te Fee column sows fee applied witout VAT; te IVA% column sows te VAT percentage applied to te service; te IVA Amount column sows te VAT amount applied to te service; te Debit Fee column sows te total fee,vat included, carged for te service; te Debit Fee column sows te account used to carge te fee (H= House; C= Client). 88

89 RP-MT48 Montly Fees Te Report sows te commissions accrued in te previous mont, to be settled on te first working day of te current mont. Sample RP-MT48 Report Ader: GKK Montly Fees RP-MT48 29 DEC 00 21:32:52 Page 1 Account: HOUSE *OMN From: 01 JUN 05 To: 30 JUN Clearing Transaction Settle/Exrcise Collat.Fees/ Oter Fees Fees Fees Fees Delay Fees Amount JAN 03 AZA07 V 0,18,00,00 0,18 ENI C 60,00,00,00 60,00 SPMIB F 120,38 54,00,00 174,38 SPMIB O,41,00,00,41 Total : 180,87 54,00,00,00,00 234,87 03 JAN 03 ENEL F 140,00,00,00 140,00 ENI C 2,00,00,00 2,00 MIB30 F 191,62 126,00,00 317,62 TIS O,00 600,00,00 600,00 WEDN W,18,00,00,18 Total : 333,80 726,00,00,00, ,80 06 JAN 03 ENEL O 27,00,00,00 27,00 SPMIB F 230,62 72,00,00 302,62 MM30 F,16,00,00,16 SPI O 3,30,00,00 3,30 TI FAIL,40,00,00,40 TIM O 1,80,00,00 1,80 TIS O,00 600,00,00 600,00 BCS/WS 1.300,00 BCS/API 288,00* REPORT 300,00* SUBACC 400,00* Total : 263,28 672,00,00, ,00 935,28 Currency Total: 778, ,00,00, , ,05 (*) VAT Included te Report is created for all Members and is made available on te first day of te mont following te reference mont. Te Clearing fees column sows, date by date, clearing fees e servizi applied. On te wrigt, it is indicated te type of instrument ( O = Options, F = Futures, C = Sares or ETF, V = corporate bonds, W = warrant, FAIL = positions in fail, etc.); Te transaction fees column sows, date by date, fees referred to transaction instruction (i.e contract or position transfer, open/close) sent to CC&G by BCS or By Fax; te settle/exercise column sows te commissions due for options tat ave been exercised/assigned and for stock futures to be delivered/received ; te Collat.Fees/ Fees Delay column sows te commissions due to cover te cost of andling securities deposited as collateral and fees on late payments; te oter Fees column sows te annual membersip fee (MBRSHIP) and te montly fees carged for Services (details of tese latter fees are sown in RP-MT36 and RP-MT37): BCS Work Station 89

90 (BCS/WS), BCS Application Program Interface (BCS/API), ICWS basic, REPORT (Report MS42 margins calculated separately for te Sare Section and te Derivatives Section and Report MS24 - margins calculated separately for eac subaccount) and SUBACC (debit for eac subaccount activated by te Member); te asterisk indicates tat te amounts are compreensive of Vat; on te settlement day te amounts to be settled are included in te RP-MS11 and RP-MS01 Reports; Details on fees applied to position in fail are given in te report MT47. 90

91 RP-MT47 Montly Fees on Fails Te report sows te fees applied to positions in fail during te reference price. Te fees are settled, togeter wit te oter montly fees, on te first day of te mont following te reference mont in te daily cas call. Sample RP-MT47 Report Gcm: GKK Montly Fees on Fails RP-MT47 30 JUN 05 22:08:23 Page 1 Ader: AAA Sare and Equity Derivates Sections CASSA DI COMPENSAZIONE E GARANZIA From: 01 JUN 05 To: 30 JUN 05 Account: THIRD PARTY Reference ID Settlement Expiry Date CC&G Simbol Security ISIN Date Date Quantity Countervalue Fees 21 JUN 05 UF35HY TOD TOD'S IT JUN JUN ,75 50,00 Fail 22 JUN 05 UF35HY TOD TOD'S IT JUN JUN ,75 50,00 Fail 23 JUN 05 4DDLM7 ENI ENI. IT JUN JUL ,50 200,00 Fail 23 JUN 05 4DDJAY ENI ENI. IT JUN JUL ,08 200,00 Fail 28 JUN 05 9YWW70 LTT LOTTOMATICA IT JUN JUL ,17 50,00 Fail 30 JUN 05 YWGG2U TOD TOD'S IT JUN JUL ,33 150,00 Fail Total 5.450,00 te Report is created for all Members of te Sare and Equity Derivatives Sections and is made available on te first day of te mont following te reference mont; te Reference Dare column sows te date on wic te fee was applied; te ID CC&G column sows te identification number of te fail. 91

92 RP-MFM4 Fees Bond Retail Te report sows te fees details of te Bond Retail fund accrued during te previous mont, to be paid by first business day of te current mont. Sample RP-MFM4 Report Mbr: XXXX XXXXXXXXXXXXXXXXXXXXXXX Fees Bond Retail RP-MFM4 06 JAN 14 10:29:56 Pag: 1 CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT From 01 DEC 13 To 31 DEC 13 2/12/2013 MOT BOT Clearing Fees 0,23 EUR 2/12/2013 MOT BTI Clearing Fees 3,68 EUR 2/12/2013 MOT BTP Clearing Fees 7,59 EUR 2/12/2013 MOT CCT Clearing Fees 0,23 EUR 2/12/2013 MOT MOT Clearing Fees 13,80 EUR 2/12/2013 TLX BTI Clearing Fees 0,46 EUR 2/12/2013 TLX BTP Clearing Fees 0,69 EUR 3/12/2013 MOT BTI Clearing Fees 3,91 EUR 3/12/2013 MOT BTP Clearing Fees 7,59 EUR Tot Account: CLIENT 38,18 Mbr: XXXX XXXXXXXXXXXXXXX Fees Bond Retail RP-MFM4 06 JAN 14 10:29:56 Pag: 2 CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE From 01 DEC 13 To 31 DEC 13 2/12/2013 MOT BTI Clearing Fees 7,82 EUR 2/12/2013 MOT CCT Clearing Fees 0,92 EUR 2/12/2013 MOT MOT Clearing Fees 15,64 EUR 2/12/2013 TLX MOT Clearing Fees 0,92 EUR 3/12/2013 MOT BTI Clearing Fees 4,14 EUR 3/12/2013 MOT BTP Clearing Fees 37,26 EUR 3/12/2013 MOT CCT Clearing Fees 9,66 EUR 30/12/2013 MOT MOT Clearing Fees 11,27 EUR 30/12/2013 TLX MOT Clearing Fees 1,38 EUR Tot Account: HOUSE 89,01 SOURCE TOTALS SOURCE TOTALS MOT 123,74 TLX 3, Total FEE: 127,19 Te report is produced for all Bond Fund participants and is available on te first day of te mont following te mont of reference; te column "date" sows te date on wic te fee as been applied. 92

93 RP-MFM6 Fees Bond Wolesale Te report sows te fees details of te Bond Wolesale fund accrued during te previous mont, to be paid by te first business day of te current mont. Sample RP-MFM6 Report Mbr: XXXX XXXXXXXXXXXXXXXXXXX Fees Bond Wolesale RP-MFM6 06 JAN 14 10:29:04 Pag:1 CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE From 01 DEC 13 To 31 DEC 13 2/12/2013 PCT BTI Clearing Fees 5,78 EUR 2/12/2013 PCT BTP Clearing Fees 18,95 EUR 2/12/2013 PCT CCT Clearing Fees 6,85 EUR 2/12/2013 PCT CTZ Clearing Fees 4,93 EUR 3/12/2013 PCT BTI Clearing Fees 12,30 EUR 3/12/2013 PCT BTP Clearing Fees 19,22 EUR 3/12/2013 PCT CCT Clearing Fees 4,10 EUR 3/12/2013 PCT CTZ Clearing Fees 4,91 EUR 4/12/2013 PCT BTI Clearing Fees 27,11 EUR 4/12/2013 PCT BTP Clearing Fees 608,77 EUR 6/12/2013 PCT CCT Clearing Fees 12,33 EUR 15/12/2013 PCT CTZ Clearing Fees 162,45 EUR 31/12/2013 MAC MAC01A Clearing Fees 678,49 EUR Tot Account: HOUSE 1.391,41 SOURCE TOTALS SOURCE TOTALS MAC 678,49 PCT 712, Total FEE: 1.391,41 Te report is produced for all Bond Wolesale participant and is available on te first day of te mont following te mont of reference; Te column "date" sows te date on wic te fee as been applied. 93

94 RP-MFM8 ICSD - Retail Fee Montly Te report sows te fees details related to Retail bond fund ICSDs positions, accrued during te previous mont, to be paid by te first business day of te current mont. Sample RP-MFM8 Report Mbr: XXXX XXXXXXXXXXXXXXXXXXXXXX icsd - Retail Fee Montly RP-MFM8 06 JAN 14 10:21:36 Pag:1 CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT From 01 DEC 13 To 31 DEC 13 2/12/2013 MEM MOT Clearing Fees 0,40 EUR 2/12/2013 NET MOT Consegna 6,50 EUR 2/12/2013 NET TLX Consegna 5,20 EUR 2/12/2013 TLX MOT Clearing Fees 1,00 EUR 2/12/2013 TLX TLX Clearing Fees 1,80 EUR 3/12/2013 MEM MOT Clearing Fees 1,00 EUR 3/12/2013 NET MOT Consegna 10,40 EUR 3/12/2013 NET TLX Consegna 2,60 EUR 3/12/2013 TLX MOT Clearing Fees 0,20 EUR 3/12/2013 TLX TLX Clearing Fees 1,00 EUR 4/12/2013 MEM MOT Clearing Fees 0,20 EUR 4/12/2013 NET MOT Consegna 6,50 EUR 30/12/2013 MEM MOT Clearing Fees 0,20 EUR 30/12/2013 TLX MOT Clearing Fees 0,80 EUR 30/12/2013 TLX TLX Clearing Fees 0,60 EUR 31/12/2013 NET MOT Consegna 10,40 EUR 31/12/2013 NET TLX Consegna 6,50 EUR Tot Account: CLIENT 55,30 Mbr: XXXX XXXXXXXXXXXXXXXXXXXXXX icsd - Retail Fee Montly RP-MFM8 06 JAN 14 10:21:36 Pag:2 CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE From 01 DEC 13 To 31 DEC 13 2/12/2013 MEM MOT Clearing Fees 3,00 EUR 2/12/2013 NET MOT Consegna 14,30 EUR 2/12/2013 NET TLX Consegna 3,90 EUR 2/12/2013 TLX MOT Clearing Fees 4,60 EUR 2/12/2013 TLX TLX Clearing Fees 0,20 EUR 3/12/2013 MEM MOT Clearing Fees 0,80 EUR 3/12/2013 NET MOT Consegna 16,90 EUR 3/12/2013 NET TLX Consegna 3,90 EUR 3/12/2013 TLX MOT Clearing Fees 2,60 EUR 18/12/2013 FV MOT Consegna 2,60 EUR 24/12/2013 PZ MOT Consegna 3,90 EUR 30/12/2013 TLX TLX Clearing Fees 0,60 EUR 31/12/2013 NET MOT Consegna 20,80 EUR 31/12/2013 NET TLX Consegna 6,50 EUR Tot Account: HOUSE 84,60 SOURCE TOTALS SOURCE TOTALS FV 2,60 MEM 5,60 NET 114,40 PZ 3,90 TLX 13, Total FEE: 139,90 Te report is produced for all ICSDs participants and is available on te first day of te mont following te mont of reference; Te column "date" sows te date on wic te fee as been applied. 94

95 RP-MFM9 ICSD - Daily Fees Te report sows ICSD - Daily Fees. Sample RP-MFM9 Report Mbr: XXXX XXXXXXXXXXXXXXXXXXXXXXXX icsd - Daily Fees RP-MFM9 06 JAN 14 10:21:35 Pag: 1 CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Date 31 DEC ABMMWB01 NET MOT Consegna 1,30 EUR ABMO9B01 NET MOT Consegna 1,30 EUR ABMSWB01 NET MOT Consegna 1,30 EUR ABMVCB01 NET MOT Consegna 1,30 EUR ABMZFS01 NET MOT Consegna 1,30 EUR ABM5QN01 NET MOT Consegna 1,30 EUR ABM6XS01 NET MOT Consegna 1,30 EUR ABNMYS01 NET MOT Consegna 1,30 EUR ABM19B01 NET TLX Consegna 1,30 EUR ABM3YB01 NET TLX Consegna 1,30 EUR ABM53B01 NET TLX Consegna 1,30 EUR ABNCHS01 NET TLX Consegna 1,30 EUR ABNJMS01 NET TLX Consegna 1,30 EUR Tot Account: CLIENT 16,90 Mbr: XXXX XXXXXXXXXXXXXXXXXXXXXXXX icsd - Daily Fees RP-MFM9 06 JAN 14 10:21:35 Pag: 1 CASSA DI COMPENSAZIONE E GARANZIA Account: HOUSE Date 31 DEC ABMJAS01 NET MOT Consegna 1,30 EUR ABM5FS01 NET MOT Consegna 1,30 EUR ABM64B01 NET MOT Consegna 1,30 EUR ABNAIS01 NET MOT Consegna 1,30 EUR ABNGGB01 NET MOT Consegna 1,30 EUR ABNGGS01 NET MOT Consegna 1,30 EUR ABNHQS01 NET MOT Consegna 1,30 EUR ABNHTB01 NET MOT Consegna 1,30 EUR ABNHZS01 NET MOT Consegna 1,30 EUR ABNLRB01 NET MOT Consegna 1,30 EUR ABNL9B01 NET MOT Consegna 1,30 EUR ABNM4B01 NET MOT Consegna 1,30 EUR ABNM4S01 NET MOT Consegna 1,30 EUR ABNP1S01 NET MOT Consegna 1,30 EUR ABNP6B01 NET MOT Consegna 1,30 EUR ABNQQS01 NET MOT Consegna 1,30 EUR ABM7SB01 NET TLX Consegna 1,30 EUR ABNEVS01 NET TLX Consegna 1,30 EUR ABNE9S01 NET TLX Consegna 1,30 EUR ABNF7S01 NET TLX Consegna 1,30 EUR ABNI0S01 NET TLX Consegna 1,30 EUR Tot Account: HOUSE 27,30 SOURCE TOTALS SOURCE TOTALS NET 44, Total FEE: 44,20 Te report is produced daily for all ICSDs Bond Fund participants; Te column "date" sows te date on wic te fee was incurred. 95

96 SECTION VI Options Expiry Clearing reports are illustrated in tis section containing information on maturing options and stock options assignment by exception. RP-MX01 Expiring Options Te Report sows te Member s Positions in options in eac account (House and Client) and in eac account s section (Omnibus section and subaccounts) tat, at te end of trading in te maturing series, CC&G proposes be exercised (in-te-money options, indicated in te Automatic Exercise column) and be abandoned (out-of te money and at-te money options, indicated in te Not-Auto. Exercise column). Sample RP-MX01 Report MBR : GKK Expiring Options RP-MX01 18 JAN 01 22:07:38 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Acct: CLIENT *OMN Trade Date: 14 JUL 05 Today Sort Current Closing Price In/(Out) Amount Automatic Not-Auto. Exercise Series /Exer Posit. Long Underlying Act Of Money In te Money Exercise Exercise Instr. OL JA01 3 P 4 4 2,8640 0, ,00 4 BIP JA01 9 C 3 7,6110 ( 1,3890) 3 OL JA01 3,30 C 1 2,8640 ( 0,4360) 1 ENI JA01 6 P 155 6,7990 ( 0,7990) 155 ********************************************************************** THE CONTRACT INDICATED IN THE "AUTO. EXERCISE" WILL BE AUTOMATICALLY EXERCISED UNLESS DIFFERENT INSTRUCTIONS ********************************************************************** te Report is created for all Members and is made available in te morning of te maturity day before te start of te pases in wic exercise-by-exception instructions may be sent; te Closing Price Underlying Act column sows te price or value of te underlying asset used to determine weter te option is in te money, at te money or out of te money; te In/ (Out)-of-Money column sows te difference between te price or value of te underlying asset and te strike price. A figure between brackets indicates tat te option is out of te money; a zero indicates tat te option is at te money. CC&G proposes abandoning suc options; te Amount In-te-Money column sows te amount in euros, obtained by multiplying te value of te In /(Out)-of-Money column by te value of te index point of te options contract and te number of long Positions; te Automatic Exercise column sows te in-te-money options tat CC&G proposes be exercised automatically; te Not-Auto. Exercise column sows te at-te-money and out-of-te-money options tat CC&G proposes be abandoned; 96

97 RP-MX04 Stock Options Assigned at Maturity Te Report sows tat stock options assigned at maturity. Sample RP-MX04 Report MBR : GKK Stock Options Assigned at Maturity RP-MX04 19 JAN 01 8:56:47 Page 1 Currency: EURO Trade Date: 15 JUL 05 Series Account Assigned Sort Pos. Settlement Value In/Out of te Money Ex by Ex AUT JA01 7,20 P CLIENT *OMN ,00DR I * BIP JA01 8,40 P CLIENT *OMN ,00DR I BIP JA01 8,60 P CLIENT *OMN ,00DR I BRM JA01 1,20 C CLIENT *OMN ,00DR I BRM JA01 1,30 C CLIENT *OMN ,00DR I ENEL JA01 4 P CLIENT *OMN ,00DR I ENEL JA01 4,20 P CLIENT *OMN ,00DR I ENEL JA01 4,40 P CLIENT *OMN ,00DR I F JA01 26 C CLIENT *OMN ,00DR I MS JA01 15,50 P CLIENT *OMN ,00DR I MS JA01 17 P CLIENT *OMN ,00DR I OL JA01 2,90 C CLIENT *OMN ,00CR O * SPG JA01 2,10 C CLIENT *OMN ,00DR I SPG JA01 2,20 C CLIENT *OMN ,00DR I SPG JA01 2,50 P CLIENT *OMN ,00DR I SPI JA01 18 C CLIENT *OMN ,00DR I TI JA01 12 C CLIENT *OMN ,00DR I TI JA01 13 C CLIENT *OMN ,00DR I TI JA01 13,50 P CLIENT *OMN ,00DR I TIM JA01 9 C CLIENT *OMN 1 1,00DR A * TIR JA01 6,40 C CLIENT *OMN ,00DR I TIR JA01 6,60 C CLIENT *OMN ,00DR I Te Report is created for all Members and is made available after te end of te assignment pase effected by CC&G on te maturity day. te Assigned column, sows te number of Positions in te Sort Pos column tat ave been assigned; if te field is blank, it means tat none of te options in question ave been assigned; te Sort Pos. column sows te total number of sort Positions for eac series; te Settlement Value column sows te settlement value of te Positions assigned; te In/Out-of-te-Money column can ave tree values: T, if te series matured in te money; A if it matured at te money; and O if matured out of te money; in te Ex by Ex column, an asterisk indicates tat te option as been assigned or not assigned following an exercise by exception (i.e. exercised at or out of te money in contrast wit CC&G s proposal for abandonment or abandoned in te money in contrast wit CC&G s proposal for automatic exercise); 97

98 SECTION VII Settlement of Derivatives underlying Clearing reports are illustrated in tis section containing information on settlement system obligations stemming from exercised/assigned stock options or matured stock futures RP-MD01 Options Exercised/Assigned to be settled Te Report sows te types of sares to be delivered and/or received at settlement following te exercise/assignment of stock options. Sample RP-MD01 Report Mbr: GKK Options Exercised/Assigned to be settled RP-MD01 18 JUL 05 20:50:30 Page 1 CASSA DI COMPENSAZIONE E GARANZIA As of Date: 18 JUL 05 To To Settlement Already Deliverable Symbol Deliver Receive Value Date Delivered Acct: HOUSE SEAT PAGINE GIALLE SPG A 5.250,00CR 22JAN Total Item : IT To Deliver Value ,00CR te Report is created for all Members to te Equity Derivatives Section and is made available before te start of trading; te Symbol column indicates te type of sare to be delivered or received; te To Deliver and To Receive columns sow te quantity of sares to be delivered or received, respectively. An A indicates tat te Positions ave been assigned, an E tat tey ave been exercised; te Settlement value column sows te settlement value in euros of sares to be delivered or received; te Already Delivered column sows any securities previously deposited by te Member as margin. Te obligation to deliver te securities on te settlement day will tus already ave been fulfilled. 98

99 RP-MD51 Expired Futures Positions to be settled Te Report lists te securities to be delivered and/or received at settlement for stock Futures Positions tat were still open at te close of te last day of trading. Sample RP-MD51 Report Mbr: GKK Expired Futures Positions to be settled RP-MD51 18 JUL 05 20:50:36 Page 1 CASSA DI COMPENSAZIONE E GARANZIA As of Date: 18 JUL 05 To To Settlement Already Deliverable Symbol Deliver Receive Value Date Delivered Acct: CLIENT ENEL ORDINARIE ENEL C ,00 20JUL05 Totale Titolo: IT To Deliver Value: ,00 ENI ORDINARIE ENI C ,00 20JUL05 Totale Titolo: IT To Deliver Value : ,00 Total Value : ,00 te Report is created for all Members to te Equity Derivative Section and is made available in te morning of te day following te maturity day before te start of trading; te Titolo column sows te type of security and its ISIN code; te To Deliver ( To Receive ) columns sow te quantity of Positions giving rise to te obligation to take or make delivery, respectively; te Settlement value column sows te settlement value of sares to be delivered or received; te Settlement Date column sows te settlement date; te Already Delivered column sows any securities previously deposited by te Member as margin. Te obligation to deliver te securities on te settlement day will tus already ave been fulfilled. 99

100 RP-MD55 Sares and countervalue to be settled at te Settlement Service Te Report is available for Settlement Agents and lists, for eac Clearing Member of te Equity Derivatives Section for wic te Agent operates te service, te financial instruments to deliver and/or receive in te settlement system due to exercises/assignments of stock options and/or stock Future open at te maturity. Sample RP-MD55 Report Ader: SSS Sares and countervalue to be settled RP-MD55 15 JUL 05 21:04:48 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Esercizi/Assegnazioni del: 15 JUL 05 Liquidazione del: 20 JUL 05 Conto: Terzi Ritiro Consegna Consegnati Saldo C/R Controvalore 2125/GKK GOLDMAN SACHS INTERNATIONAL IT BANCA NAZIONALE DEL LAVORO R ,00 DR IT ENI R ,00 DR IT FIAT R ,00 DR IT RCS MEDIAGROUP R ,00 DR IT SAN PAOLO IMI R ,00 DR IT TELECOM ITALIA C ,00 CR Totale ,00 DR ACC IT CAPITALIA R ,00 DR IT ENEL ORDINARIE R ,00 DR IT ENI ORDINARIE R ,00 DR Totale ,00 DR te Ader field indicated te Settlement Agent te report is sent to; te Esercizi/Assegnazioni field indicates te date of exercises/assignments of stock options and/or te maturity of te stock Futures. GKK is te client (CC&G direct clearing member) for wom te Settlement Agent is going to settle. Furter on te rigt, it is sown te settlement account te settlement Agent uses to settle te GKK positions; te Rit. And Cons. columns sow te quantity of Positions giving rise to te obligation to take or make delivery, respectively; te Consegnati column sows any securities previously deposited by te Member as margin. Te obligation to deliver te securities on te settlement day will tus already ave been fulfilled. te Controvalore column sows te amount in euros to be paid at settlement. 100

101 SECTION VIII Fails, Buy-in and Sell-out Clearing reports are illustrated in tis section containing information on fails. RP-ME30 Margined fails of te day - Sare and Equity Derivatives Sections Te Report sows te list of margined fails relating to te Sare and Equity Derivatives Sections. Sample RP-ME30 Report Member: GKK Margined Fails of te day RP-ME30 17 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Initial positions at: 18 FEB 04 Account: THIRD PARTY ID ID Date of Fail Securities to Securities to Net DVP Security Symbol ISIN settlement expiry be delivered be received Countervalue 5AU763 1KH6TR Mediaset MS IT FEB FEB , CR 7AD93J 1KH9VF ENI ENI IT FEB FEB DR Account: OWN ID ID Date of Fail Securities to Securities to Net DVP Security Symbol ISIN settlement expiry be delivered be received Countervalue 8UH3W 1KH7YG Fiat F IT FEB FEB DR te form is created for all Members and teir Settlement Agents, and is available before te start of trading; te security column indicates te financial instrument to wic te failed position refers. If te field is not compiled, te failed position relates to a cas balance; te symbol column indicates te clearing acronym of te security subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In/Sell-Out. If te fail is due to lack of cas, or in te case of advance Buy-In activation, CC&G amends te expiry date of te fail, forwarding an appropriate notification to te member (cfr. reports RP-ME01, and RP- ME03). Te new date is indicated in te report in distribution on te day in wic te RP- ME01 and RP-ME03 reports are distributed; te securities to be delivered and securities to be received columns indicate te amount of te financial instruments tat te member in default must deliver or receive ; 101

102 te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 102

103 RP-ME31 Margined fails of te day - Bond Section and ICSDs Bons Section Te Report sows te list of margined fails of te day relating to te Bond Section and ICSDs Bond Section. Semple RP-ME31 Report Member: GKK Margined fails of te day (Bond Section) RP-ME31 17 FEB 04 21:04:46 Pag. 1 Bond Section CASSA DI COMPENSAZIONE E GARANZIA Initial positions at: 18 FEB 04 Currency: EUR Settlement System: ECLR/CEDE Account: HOUSE ID Date Fail Securities to Securities to CCG Security ISIN settlement expiry be delivered be received Countervalue ABCD1S01 BTP 01/05/ % IT FEB FEB 04 50, , CR Currency: EUR Settlement System: MOTI Account: HOUSE ID CCG ID CCG Date Fail Securities to Securities to Net DVP Security ISIN settlement expiry be delivered be received Countervalue 6BG7HJ 1KH96Z BTP 01/05/ % IT FEB FEB 04 50, , CR te form is created for all Members and teir Settlement Agents to te Bond Section and te ICSDs Bond Section, and it is available before te start of trading; te settlement system and te reference currency of te operation are indicated in te upper left of te page; te column ID Net and ID DVP contain te Express II identification code; te column ID CCG sows te TRN of te operation in te case of settlement system Euroclear or Clearstream; te ISIN column indicates te ISIN of te security subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In/Sell-Out. If te fail is generated by te member due to lack of cas, or in te case of advance Buy-In activation, CC&G amends te expiry date of te fail, forwarding an appropriate notification to te member (cfr. reports RP-ME02, and RP-ME04). Te new date is indicated in te report in distribution on te day in wic te RP-ME02 and RP-ME04 reports are distributed. 103

104 te securities to be delivered and securities to be received columns indicate te amount of te financial instruments tat te member in default must deliver or receive ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 104

105 RP-MP10 Fail Positions - Sare and Equity Derivatives Sections Te Report sows te list of failed positions relating to te Sare and Equity Derivatives Sections. Sample RP-MP10 Report Mbr : GKK Fail Positions (Sare & Derivatives) RP-MP10 15 JAN 04 23:08:20 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Failed Positions: 15 JAN 04 Symbol Settlement Expiry Acc. Positions Settlement Market Teoretical Date Date L/S Quantity Value Price Value Credit/Debit MKT TIM 13 JAN JAN 04 C S 9 39,60CR 4, ,87 2,27 MTA TIT 13 JAN JAN 04 C S 5 10,00CR 2, ,09 3,09 MTA Balance: 13 JAN 04 Acc.: CLIENT 49,60CR Settlement Acc.: BFI 15 JAN JAN 04 C S 7 35,42CR 5, ,93,51 MTA EDN 15 JAN JAN 04 C S 1 19,89CR 1, ,00,11 MTA F 15 JAN JAN 04 C S 11 62,15CR 6, ,59 6,44 MTA G 15 JAN JAN 04 C S ,90CR 21, ,60 2,70 MTA LUX 15 JAN JAN 04 C S ,92CR 13, ,18 14,74CR MTA NTV 15 JAN JAN 04 C S ,97CR 14, ,25 22,28 MTA TIT 15 JAN JAN 04 C L 20 50,80 2, ,36 1,56CR MTA Balance: 15 JAN 04 Acc.: CLIENT 865,45CR Settlement Acc.: te form is created for all Members of te Sare and Equity Derivatives Section and is available before te start of trading; te Symbol column indicates te clearing acronym of te security subject to delivery or collection ; te Settlement Date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te Expiry Date column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In; te Acc. column indicates te account, House (H), or Client (C), were te failed position as been generated; te L/S column indicates te type, Long (L), or Sort (S), of te failed position; te Positions Quantity column indicates te quantity of te failed positions; te Value column indicates te value in Euro of te security subject to deliver or collection ; te Settlement Price column indicates te daily settlement price for eac security; te Market Value indicates te value of te security recalculated at te daily settlement price; 105

106 te Teoretical Credit/Debit column indicates te difference between te value and te market value; te MKT column indicates te Section (MTA for Sare, or DER for Derivatives) were te failed positions ave been generated. 106

107 RP-MP13 Fail Positions - Bond Section Te Report sows te list of failed positions relating to te Bond Section and ICSDs Bond Section. Sample RP-MP13 Report MBR : GKK Fail Positions (Bond) RP-MP13 15 JAN 04 21:50:57 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Failed Positions: 15 JAN 04 Currency: EUR Settlement System: ECLR/CEDE Description Isin Settlement Expiry Ty Ac L/ Quantity CTV Accrued Code Date Date pe ct S Coupon BTP 15/03/04 4,50% IT JAN JAN 04 C S ,93CR BTP 15/07/05 4,00% IT JAN JAN 04 C S ,78CR Balance: 15 JAN 04 Acc.: CLIENT ,71CR te form is created for all Members of te Bond Section and ICSDs Bond Section and is available before te start of trading; te Description column indicates te description of te security relative to te failed position; te Isin Code column indicates te ISIN code of te financial instrument subject to delivery or witdrawal ; te Settlement Date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te Expiry Date column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In; te Type column is filled in only in case of Repo transactions and can contain te symbol P, for te cas leg, or T, for te forward leg ; te Acct column indicates te account, House (H), or Client (C), were te failed position as been generated; te L/S column indicates te type, Long (L), or Sort (S), of te failed position; te Quantity column indicates te quantity of securities to deliver or collect; te CTV column indicates te countervalue in Euro of te securities to deliver or collect and compreends te Accreud Coupon of te last column. 107

108 RP-MP14 Fail Positions - Sare and Equity Derivatives Sections Te Report sows te list of failed positions relating to te Sare and Equity Derivatives Sections. Sample RP-MP14 Report Mbr: GKK Fail positions MTA-DER RP-MP14 3 MAY 12 21:15:03 Pag 1 CASSA DI COMPENSAZIONE E GARANZIA Failed Positions al:' 3 MAY 12 Symbol Settlement Expiry Acc. Positions Settlement Market Teoretical Date Date L/S Quantity Value Price Value Credit/Debit MKT Gcm : PHHHH CVAL 02 MAY MAY 12 T L ,59 1, , ,59 MTA PIA 02 MAY MAY 12 T L ,75 2, , ,25CR MTA Balance: 10 MAY 12 Acc.: CLIENT ,34 Settlement Acc : MOL 03 MAY MAY 12 T L ,15 3, ,47 106,32CR MTA SEML 03 MAY MAY 12 T L ,00 73, ,00 455,00CR MTA Balance: 10 MAY 12 Acc.: CLIENT ,15 Settlement Acc : Te form is created for all Settlement Agents and is available before te start of trading; Mbr indicates te Settelement Agents of te failing Members; te Symbol column indicates te clearing acronym of te security subject to delivery or collection ; te Settlement Date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te Expiry Date column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In; te Acc. column indicates te account, House (H), or Client (C), were te failed position as been generated; te (Position) L/S column indicates te type, Long (L), or Sort (S), of te failed position; te Positions Quantity column indicates te quantity of te failed positions; te Value column indicates te value in Euro of te security subject to deliver or collection ; te Settlement Price column indicates te daily settlement price for eac security; te Market Value indicates te value of te security recalculated at te daily settlement price; 108

109 te Teoretical Credit/Debit column indicates te difference between te value and te market value; te MKT column indicates te Section (MTA for Sare, or DER for Derivatives) were te failed positions ave been generated. 109

110 RP-MP15 Fail Positions - Bond Section Te Report sows te list of failed positions relating to te Bond Section and ICSDs Bond Section. Sample RP-MP15 Report Mbr : GKK Fail Positions (Bond) RP-MP15 15 JAN 04 21:50:57 Pag. 1 CASSA DI COMPENSAZIONE E GARANZIA Failed Positions: 15 JAN 04 Curr: EUR Description Isin Settlement Expiry Ty Ac L/ Quantity CTV Accrued Code Date Date pe ct S Coupon Gcm : RXXXXX BTP 15/03/04 4,50% IT JAN JAN 04 C S ,93CR BTP 15/07/05 4,00% IT JAN JAN 04 C S ,78CR Balance: 15 JAN 04 Acc.: CLIENT ,71CR Te form is created for all Settlement Agents for te Bond Section and te ICSDs Bond Section wit fail positions and it is available before te start of trading; Mbr indicates te Settelement Agents of te failing Members; te Description column indicates te description of te security relative to te failed position; te Isin Code column indicates te ISIN code of te financial instrument subject to delivery or witdrawal ; te Settlement Date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te Expiry Date column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In; te Type column is filled in only in case of Repo transactions and can contain te symbol P, for te cas leg, or T, for te forward leg ; te Acct column indicates te account, House (H), or Client (C), were te failed position as been generated; te L/S column indicates te type, Long (L), or Sort (S), of te failed position; te Quantity column indicates te quantity of securities to deliver or collect; te CTV column indicates te countervalue in Euro of te securities to deliver or collect and compreends te Accreud Coupon of te last column. 110

111 RP-MS27 Failed Positions Margins - Sare and Equity Derivatives Sections Te Report sows te initial margins applied on te failed positions of te Sare and Equity Derivatives Sections. Sample RP-MS27 Report MBR :GKK Failed Positions Margins MTA-DER RP-MS27 16 JAN 04 10:46:05 PAGE 1 Currency: EURO CASSA DI COMPENSAZIONE E GARANZIA Account: Market Group: NET Trade Date: 15 JAN 04 Description Price/ Net/ MTM Additional Total ITM Amount Ordin. Margins Margins Margins C AL 16 JAN S 9.195,50 ALLEANZA ASS 9.195,50 0,00 Grp.Prod. Offset Mrg.Minimo: 9.195, , ,71 Account Total: CLIENT EURO Valuta: 1, ,71 te form is created for all Members of te Sare and Equity Derivatives Sections wit positions in fail and is available before te start of trading; te Description column indicates te symbol and te description of te sare relative to te failed position; te Net/Ordin. column indicates te quantity and te type of te failed positions (S or L, for Sort or Long position); te MTM margins column indicates te Mark to Market margins; te Additional Margins column indicates te additional margins calculated for te product/class group; te Total Margins column indicates te total margins calculated for eac product/class group registered on eac account (House and Client); 111

112 RP-MS97 Failed Positions Margins - Bond Section Te Report sows te initial margins applied on te failed positions of te Bond Section and ICSDs Bond Section. Sample RP-MS97 Report Failed Positions Margins Bond Section AL 10 SEP 08 MS97 10 SEP 08 21:08:15 Page 1 GCM: GKK Mbr: GKK Account: C Subaccount: Increasing percentage 10% ID Num. Class Long Sort Deposit Non adjusted Adju. Adjus. Markto-Market RRG-REL gg/fail Position Position factor add. margin factor add.margin Margin 02L3BA , ,17-0LIAXW , ,27- TOTAL , Initial Margin te form is created for all Members of te Bond Section and ICSDs Bond Section wit positions in fail and is available before te start of trading; te column ID RRG-REL indicates te position code assigned by te Express II te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream; te column Num. gg/fail indicates from ow many days te position is in fail; te column Class indicates te class code of te financial instrument; for more details on te manner of calculating initial Margins of te Bond Section, see te MVP Manual available on CC&G web site ( at section Risk Management - Documentation. 112

113 RP- MS90 Fail Initial Margin Bond Section ICSDs Te report sows te different components of te initial margins on failed positions calculated for te Bond Section and te ICSDs Bond Section, divided for currency. Sample RP-MS90 Report Page 1 Fail Initial Margin Bond Section ICSDs 10 DEC 12 S90 10 DEC 12 10:41:05 GCM : GKK Member: GKK Account: F Subaccount: INITIAL MARGIN CUR Ordinary Mark to Market Initial Excange Haircut Initial Margin Margin Margin Rate Margin EUR ,0000, ,00 USD ,7696 1, ,60 TOTAL EURO 8.327,60 Te Report indicates, for eac currency, te margin amount on failed positions calculated in foreign currency, te same amount in Euro calculated wit te excange rate and te applied aircut. Te table will relate te total margin amount in Euro. 113

114 RP- MS91 Contracts in Fail Te report sows te Contracts in Fail for General Clearing Members, Participants, account and currency. Sample RP-MS91 Report Member: CCG Margins Calculation Fail AS AT 4 FEB 14 MS91 4 FEB 14 21:46:19 Page 1 SELECTED CONTRACTS GCM : XXXX XXXXXXXXXXXXXXXXX Member : XXXX XXXXXXXXXXXXXXXXX Account : C Subaccount: Currency: EUR EUR ISIN Type L/S Identif.Op Date Settl. End of Quantity Value Group Gro RRG-REL RRG-REL Date validity coll IT BTI S R320PB 04 FEB FEB FEB , ,72 BOND A IT BTI S R320P9 04 FEB FEB FEB , ,72 BOND A IT BTI S R320PD 04 FEB FEB FEB , ,72 BOND A IT BTI S R320PF 04 FEB FEB FEB , ,72 BOND A IT BTI S R320PJ 04 FEB FEB FEB , ,76 BOND A IT BTI S R320PH 04 FEB FEB FEB , ,72 BOND A XS MOT S ACPR5S 04 FEB FEB FEB , ,73 BOND A Te daily report is created for eac currency for te selected contracts. 114

115 RP- MS92 Calculation of Initial Margins Te report sows te Initial Margins Calculation. Sample RP-MS92 Report Member : CCG Calculation of Initial Margins AT 12 FEB 14 MS92 12 FEB 14 22:07:20 Page 1 GCM : XXXX XXXXXXXXXXXXXXXXX Aderente: XXXX XXXXXXXXXXXXXXXXX Account : C Subaccount: Currency: EUR EUR Mark-to-Market Margins ISIN L/S Identif.Op Traded MTM Quantity Revalued Mark-to-Mark RRG-REL Countervalue Price Traded Countervalue Marg IT S R320PB ,72 102, , , ,7 IT S R320P ,72 102, , , ,7 IT S R320PD ,72 102, , , ,7 IT S R320PF ,72 102, , , ,7 IT S R320PJ ,76 102, , , ,7 IT S R320PH ,72 102, , , ,7 XS S ACPR5S ,73 109, , , ,7 Te report is produced daily. 115

116 RP- MS93 Margins Calculation Fail Te report sows te Margins calculation fail details. Sample RP-MS93 Report Member : CCG Margins Calculation Fail AL 4 FEB 14 MS93 4 FEB 14 21:46:25 Page GCM : XXXX XXXXXXXXXXXXXXXXX Member : XXXX XXXXXXXXXXXXXXXXX Account : C Subaccount: Currency: EUR EUR Class Attribution ISIN Long Sort Total Duration Class Position Position Performance IT , ,00 0, , XS , ,00 0, , Te report is produced daily. 116

117 RP-ME01 Buy-in Notice - Sare and Equity Derivatives Sections Te form sows te list of failed positions for wic te Buy-In relating to te Sare and Equity Derivatives Sections is activated. Sample RP-ME01 Report Member: GKK Buy-in Notice - Sare and Equity Derivatives Sections RP-ME01 20 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Buy-in activation from 21 FEB 04 Please note tat CC&G as activated te Buy-in procedure for te failed positions indicated below. If tese positions are not settled by: 25 February 04, CC&G sall proceed to teir compulsory closure by execution of te Buy-In as provided by te Instructions. Account: HOUSE ID ID Date of Fail Securities to Net DVP Security Symbol ISIN settlement expiry be delivered Countervalue 5AU763 1KH6TR Mediaset MS IT FEB FEB 04 1,000 8, CR te form is created for Members in default in te event of activation of te Buy-In and teir Settlement Agents, and is available on te morning of te day te Buy-In is activated; te security column indicates te financial instrument to wic te failed position refers; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Date of settlement column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In. te securities to be delivered and securities to be witdrawn columns indicate te amount of te financial instruments tat te member in default must deliver or witdraw ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 117

118 RP-ME02 Buy-in Notice - Bond Section Te form sows te list of failed positions for wic te Buy-In relating to te Bond Section as been activated. Sample RP-ME02 Report Member: GKK Buy-in Notice RP-ME01 17 FEB 04 21:04:46 Pag. 1 Bond Section CASSA DI COMPENSAZIONE E GARANZIA buy-in activation from 18 FEB 04 Curr: EUR Settlement System : 51 ECLR/CEDE Please note tat CC&G as activated te Buy-In procedure for te failed positions indicated below. If tese positions are not settled by: 23 FEB 04, CC&G sall proceed to teir compulsory closure by execution of te Buy-In as provided by te Instructions. Account: HOUSE ID ID Settlement Fail Securities Net DVP Security ISIN date expiry to be delivered Countervalue E36PUN 1KH064 BTP 01/05/ % IT FEB FB 04 50, , CR te form is created for Members of te Bond Section and te ICSDs Bond Section wit a fail position in te event of activation of te Buy-In and teir Settlement Agents, and is available on te morning of te day te Buy-In is activated; te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); te security column indicates te financial instrument to wic te failed position refers; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te security subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Buy-In. 118

119 te securities to be delivered and securities to be witdrawn columns indicate te amount of te financial instruments tat te member in default must deliver or witdraw ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit; 119

120 RP-ME03 Sell-Out Notice - Sare and Equity Derivatives Sections Te form sows te list of failed positions for wic te Buy-In relating to te Sare and Equity Derivatives Sections is activated. Sample RP-ME03 Report Member: ASG Sell-out Notice RP-ME03 16 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Buy-in activation from 17 FEB 04 Please note tat CC&G as activated te Sell-Out procedure for te failed positions indicated below. If tese positions are not settled by: today, CC&G sall proceed to teir compulsory closure by execution of te Sell-Out as provided by te Instructions. Account: CLIENT ID ID Settlement Fail Securities to Net DVP Security Symbol ISIN date expiry be witdrawn Countervalue I114EW 9HLTL9 Mediaset MS IT FEB FB 04 1,000 8, DR te form is created for Members in default in te event of activation of te Sell-Out and teir Settlement Agents, and is available on te morning of te day te Sell-Out is activated; te security column indicates te financial instrument to wic te failed position refers; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Sell-Out. te securities to be delivered and securities to be witdrawn columns indicate te amount of te financial instruments tat te member in default must deliver or witdraw ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 120

121 RP-ME04 Sell-Out Notice - Bond Section Te form sows te list of failed positions for wic te Sell-Out relating to te Bond Section as been activated. Sample RP-ME04 Report Member: GKK Sell-out Notice RP-ME04 16 FEB 04 21:04:46 Pag. 1 Bond Section CASSA DI COMPENSAZIONE E GARANZIA Sell-out activation from 17 FEB 04 Please note tat CC&G as activated te Sell-Out procedure for te failed positions indicated below. If tese positions are not settled by: today, CC&G sall proceed to teir compulsory closure by execution of te Sell-Out as provided by te Instructions. Account: HOUSE ID ID Settlement Fail Securities to Net DVP Security ISIN date expiry be witdrawn Countervalue D4RO3P 1KFNFF BTP 01/05/ % IT FEB FB 04 50, , DR te form is created for Members of te Bond Section and te ICSDs Bond Section wit a fail position in te event of activation of te Sell-Out and teir Settlement Agents, and is available on te morning of te day te Sell-Out is activated te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); te security column indicates te financial instrument to wic te failed position refers. If te field is not compiled, te failed position relates to a cas balance; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry column indicates te deadline by wic te failed position may be settled. Wen tis deadline as expired, CC&G executes te Sell-Out. te securities to be delivered and securities to be witdrawn columns indicate te amount of te financial instruments tat te member in default must deliver or witdraw ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 121

122 RP-ME05 Notification of execution of Buy-in - Sare and Equity Derivatives Section Te form sows te list of failed positions relating to te Sare and Equity Derivatives Sections for wic te Buy-In as been executed. Sample RP-ME05 Report Member: GKK Notification of execution of Buy-in RP-ME05 25 FEB 04 21:04:46 Pag. 1 (Sare and Equity Derivatives Sections) CASSA DI COMPENSAZIONE E GARANZIA Buy-in activation of 26 FEB 04 Please note tat, pursuant to te instructions, from today te execution of te Buy-In as been activated for te failed positions indicated below: Account: CLIENT ID CCG ID CCG Settlement Fail Securities to Net DVP Security Symbol ISIN date expiry be delivered Countervalue 5AU763 1KH6TR Mediaset MS IT FEB FEB 04 1,000 8, CR Te form is created for Members in default or teir Settlement Agents in te event of execution of te Buy-In, and is available on te morning of te day of activation of te Buy- In; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); te security column indicates te financial instrument to wic te failed position refers; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme. te fail expiry (end of validity date) column indicates te deadline by wic te failed position could ave been settled. te securities to be delivered column indicate te amount of te financial instruments tat te member in default must deliver ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered CR indicates tat te Member is in credit; 122

123 In case te Member activates a partial delivery, te form sows two additional sections: Member: GKK Notification of execution of Buy-in RP-ME05 23 NOV 09 21:04:46 Pag. 1 (Sare and Equity Derivatives Sections) CASSA DI COMPENSAZIONE E GARANZIA Buy-in activation of 24 NOV 09 Please note tat, pursuant to te instructions, from today te execution of te Buy-In as been activated for te failed positions indicated below: Account: CLIENT ID ID Settlement Fail Securities to Net DVP Security Symbol ISIN date expiry be delivered Countervalue 4T5S3G ELNGAW ETF FTSE E IUSP IE00B1FZSF77 13 NOV NOV , ,09 CR FOR THE ABOVE FAIL POSITION, CC&G HAS AUTHORIZED THE PARTIAL DELIVERY OF THE FOLLOWING SECURITIES QUANTITY: Securities Security Symbol ISIN delivered Countervalue ETF FTSE E IUSP IE00B1FZSF , ,38 CR SECURITIES QUANTITY FOR THE EXECUTION OF THE BUY IN: Securities to Security Symbol ISIN be delivered Countervalue ETF FTSE E IUSP IE00B1FZSF , ,71 DR Te partial delivery countervalue will be settled by CC&G during te overnigt process of 26t NOV 09 Execution Settlement Expiry date Securities to be ISIN date date delivered Countervalue IT NOV NOV NOV 06 0, ,38 CR * Second part Partial Delivery: te symbol column indicates te clearing acronym of te financial instrument subject to partial delivery ; te security column indicates te financial instrument subject to partial delivery ; symbol column indicates te clearing acronym of te financial instrument subject to partial delivery ; te ISIN column indicates te ISIN of te financial instrument subject to partial delivery ; te securities delivered column indicates te amount of te financial instruments of te partial delivery ; 123

124 te Countervalue column indicates te original countervalue in Euro of te financial instruments of te partial delivered ; CR indicates tat te Member is in credit; * Second part Securities of te Buy-In Execution: te security column indicates te financial instrument to wic te execution of Buy-In refers; te symbol column indicates te clearing acronym of te financial instrument to wic te execution of Buy-In refers; te ISIN column indicates te ISIN of te financial instrument subject to partial delivery ; te securities to be delivered column indicates te amount of te financial instruments to wic te execution of Buy-In refers; te Countervalue column indicates te original countervalue in Euro of te financial instruments to wic te execution of Buy-In refers; CR indicates tat te Member is in credit. * Tird part - Settlement instruction (so called compenso ) to be settled in te nigtly net settlement cycle: te ISIN column indicates te ISIN of te cas settlement instruction to settle; te Execution date column indicates te date of te input of te cas settlement instruction made by CC&G; te Execution date column indicates te date of te input of te cas settlement instruction made by CC&G; te Settlement date column indicates te settlement date by wic te position sould ave been settled; te fail expiry (end of validity date) column indicates te deadline by wic te position could ave been settled. te securities to be delivered column indicates te amount of te financial instruments to be delivered by te Member in fail; te Countervalue column indicates te original countervalue in Euro of te financial instruments of te partial delivery ; CR indicates tat te Member is in credit; 124

125 RP-ME06 Notification of execution of Buy-in - Bond Section Equivalent to RP-ME05 report te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); If te currency of te settlement instruction is different by Euro, in case of partial delivery te report will inform about te settlement term of te partial instruction. 125

126 RP-ME07 Notification of execution of Sell-Out - Sare and Equity Derivatives Section Te form sows te list of failed positions relating to te Sare and Equity Derivatives Sections, for wic te Sell-Out will be executed. Sample RP-ME07 Report Member: GKK Notification of execution of Sell-Out RP-ME07 17 FEB 04 10:04:46 Pag. 1 (Sare and Equity Derivatives Sections) CASSA DI COMPENSAZIONE E GARANZIA Sell-Out activation of 17 FEB 04 Please note tat, pursuant to te Instructions, from ours today te execution of te failed positions indicated below is in course. Account: CLIENT ID ID Settlement Fail Securities to Net DVP Security Symbol ISIN date expiry be witdrawn Countervalue I114EW 9HLTL9 Mediaset MS IT FEB FB 04 1,000 8, DR te form is created for Members in default in te event of execution of te Sell-Out and teir Settlement Agents, and is available on te morning of te day of activation of te Sell-Out; te security column indicates te financial instrument to wic te failed position refers. Fails may be generated from positions relating to eiter te Sare Section or te Equity Derivatives Section; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te fail expiry column indicates te deadline by wic te failed position sould ave been settled. te securities to be delivered and securities to be witdrawn columns indicate respectively te amount of te financial instruments to deliver and to witdraw ; te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit. 126

127 RP-ME08 Notification of execution of Sell-Out - Bond Section Te form sows te list of failed positions relating to te Bond Section, for wic te Sell-Out will be executed. Sample RP-ME08 Report Member: GKK Notification of execution of Sell-Out RP-ME08 17 FEB 04 10:04:46 Pag. 1 Bond Section CASSA DI COMPENSAZIONE E GARANZIA Sell-Out activation of 17 FEB 04 Please note tat te Sell-Out procedure is executed for te following failed positions: Account: HOUSE ID ID Settlement Fail Securities to Net DVP Security ISIN date expiry be witdrawn Countervalue D4RO3P 1KFNFF BTP 01/05/ % IT FEB FB 04 50, , DR te form is created for Members in default in te event of execution of te Sell-Out and teir Settlement Agents, and is available on te morning of te day of activation of te Sell-Out; te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); te security column indicates te financial instrument to wic te failed position refers. Fails may be generated from positions relating to eiter te Sare Section or te Derivatives Section; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te fail expiry column indicates te deadline by wic te failed position sould ave been settled. te securities to be delivered and securities to be witdrawn columns indicate respectively te amount of te financial instruments to deliver and to witdraw ; 127

128 te Countervalue column indicates te countervalue in Euro of te financial instruments to be delivered or witdrawn ; CR indicates tat te Member is in credit; DR indicates tat te Member is in debit; 128

129 RP-ME09 Outcome of Buy-In/Member in Fail - Sare and Equity Derivatives Sections Te form sows te list of positions undergoing execution of a Buy-In relating to te Sare and Equity Derivatives sections for wic a compulsory repurcase as taken place, including te differential tat te member in default must pay to CC&G. Sample RP-ME09 Report Member: GKK Outcome of Buy-In/Member in Fail RP-ME09 26 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Position undergoing Buy-In execution : Net ID: I114EW ID DVP: 9HLTL9 Settlement Buy-in Securities to Original Securities Securities Securities Securities Symb ISIN date execution be purcased countervalue be purcased purcased still to subjected to date originally in previous today be purcased cas settlement days MS IT FEB FEB 04 1,000 8, CR details of securities purcased today: security Symbol ISIN quantity countervalue Mediaset MS IT , DR Mediaset MS IT , DR Total 700 6, DR Differential: MS IT original countervalue relating to: 700 securities: 5, CR MS IT countervalue of purcases 6, DR differential DR (1) If te differential is in debit te following item is displayed: (1) Te differential will be debited in tomorrow's daily settlement If te differential is in credit te following item is displayed: (1) Te differential is deducted by CC&G te form is created for all members in default and teir Settlement Agents and is available in te morning, before te start of trading on te days falling between te execution of te Buy- In and its successful outcome or any cas settlement; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; 129

130 te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te securities to be purcased originally column indicates te total quantity of securities to be purcased in order to execute te Buy-In. te original countervalue indicates te original countervalue of te failed position. Te securities purcased in previous days column indicates te quantity of securities already purcased for te Buy-In. Te securities purcased today column indicates te quantity of securities purcased on te day to wic te report from te Buy-In Agent refers. te securities still to be purcased column indicates te total quantity of securities still to be purcased in order to complete te Buy-In. Te securities subject to cas settlement column indicates te quantity tat ave not been purcased by te Buy-In Agent in te time provided and wic terefore ave been subjected, as sown in te ME09 report, to cas settlement. te details of securities to be purcased today section indicates te securities purcased by te Buy-In Agent on te day including te relevant countervalue. te Differential section sows te calculation of te differential tat te member in default owes to CC&G or tat CC&G deducts as a commission. 130

131 RP-ME10 Outcome of Buy-In/Member in Bonis - Sare and Equity Derivatives Sections Te form sows te list of positions undergoing te execution of a Buy-In relating to te Sare and Equity Derivatives sections for wic a compulsory repurcase as taken place, including te payments between CC&G and te member in bonis entered in net Settlement. Sample RP-ME10 Report Member: GKK Outcome of Buy-In/Member in Bonis RP-ME10 26 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Position undergoing Buy-In execution : Net ID: FWT3AD ID DVP: 1KH1PL Settlement Buy-In Securities to Original Securities Securities Securities Securities Symb ISIN date execution be purcased countervalue purcased purcased still to subjected to date originally in previous today be purcased cas settlement days MS IT FEB FEB 04 1,000 8, CR Payments entered in Net RRG Execution Settlement End date Securities Security Symbol ISIN date date validity witdraw Countervalue Mediaset MS IT FEB 04 2 MAR MAR , DR te form is created for all members in bonis and teir Settlement Agents and is available in te morning, before te start of trading on te days falling between te execution of te Buy- In and its successful outcome or any cas settlement; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te securities to be purcased originally column indicates te total quantity of securities to be purcased in order to execute te Buy-In. te original countervalue indicates te original countervalue of te failed position. 131

132 Te securities purcased in previous days column indicates te quantity of securities already purcased for te Buy-In. Te securities purcased today column indicates te quantity of securities purcased on te day to wic te report from te Buy-In Agent refers. te securities still to be purcased column indicates te total quantity of securities still to be purcased in order to complete te Buy-In. Te securities subject to cas settlement column indicates te quantity of securities tat, due to expiry of time limits, will not be purcased by te Buy-In Agent and for wic te cas settlement procedure is proceeded wit. te payments entered section indicates CC&G/Member in bonis payments tat are entered following purcases effected by te Buy-In Agent. 132

133 RP-ME11 Outcome of Buy-In/Member in Fail - Bond Section Equivalent to RP-ME09 report te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); In case of differential is in debit, in te report is specify te amount in euro debited by CC&G in Target2. 133

134 RP-ME12 Outcome of Buy-In/Member in Bonis - Bond Section Equivalent to RP-ME10 report te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); 134

135 RP-ME13 Cas Settlement/Member in Fail - Sare and Equity Derivatives Sections Te form sows te list of positions undergoing te execution of a Buy-In relating to te Sare and Equity Derivatives Sections closed by means of cas settlement. Sample RP-ME13 Report Member: GKK Cas Settlement/Member in Fail RP-ME13 28 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Position undergoing Buy-In execution closed troug cas settlement Net ID: FWT3AD ID DVP: 1KH1PL Settlement Buy-In Securities to Original Securities Securities Securities Securities Symbol ISIN date execution be purcased countervalue purcased purcased still to subjected to date originally in previous today be purcased cas settlement days MS IT FEB FEB 04 1,000 8, CR Determination of cas settlement: Amount A Reference price Nr. securities Countervalue Percentage Amount A execution day , % Amount B Last price Nr. securities Countervalue Original Amount B reference countervalue , Cas settlement = DR Position undergoing Buy-In execution closed troug cas settlement Net ID: FWT3AD ID DVP: 1KH7GK Buy-In Original Securities from countervalue securities securities securities Securities Symbol ISIN settlement execution purcase original purcased purcased still to subjected to date date in previous today be purcased cas settlement days ENI IT FEB FEB 04 1,000 13, CR Determination of cas settlement: Amount A Reference price Nr. securities Countervalue Percentage Amount A 135

136 execution day ,000 13, % 1, Amount B Last price Nr. Securities Countervalue Original Amount B reference countervalue ,000 13, , Cas settlement = DR te form is created for all Members in default and teir Settlement Agents and is available in te morning, before te start of trading, of te day te Buy-In is closed by cas settlement; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te securities to be purcased originally column indicates te total quantity of securities to be purcased in order to execute te Buy-In. Te securities purcased in previous days column indicates te quantity of securities already purcased for te Buy-In. te securities still to be purcased column indicates te total quantity of securities still to be purcased in order to complete te Buy-In. Te securities subject to cas settlement column indicates te quantity of securities tat, due to expiry of time limits, will not be purcased by te Buy-In Agent and for wic te cas settlement procedure is proceeded wit. te Determination of cas settlement section sows te calculation of te amount of cas settlement. 136

137 RP-ME14 Cas Settlement/Member in Bonis - Sare and Equity Derivatives Sections Te form sows te list of positions undergoing te execution of a Buy-In relating to te Sare and Equity Derivatives Sections closed by means of cas settlement. Sample RP-ME14 Report Member: GKK Cas Settlement/Member in Bonis RP-ME14 28 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Position undergoing Buy-In execution closed troug cas settlement Net ID: FWT3AD ID DVP: 1KH1PL Settlement Buy-In Securities to countervalue securities securities securities securities Symbol ISIN date execution be purcased original purcased purcased still to subjected to date originally in previous today be purcased cas settlement days MS IT FEB FEB 04 1,000 8, CR Determination of cas settlement: Amount A Reference price Nr. securities Countervalue Percentage Amount A execution day , % Amount B Last reference Nr. Securities Original Countervalue Amount B price countervalue , Cas settlement = DR Position undergoing Buy-In execution closed troug cas settlement Net ID: FWT3AD ID DVP: 1KH7GK Settlement Buy-In Securities to countervalue securities securities securities securities Symbol ISIN date execution be purcased original purcased purcased still to subjected to date originally in previous today be purcased cas settlement days ENI IT FEB FEB 04 1,000 13, CR Determination of cas settlement: Amount A Reference price Nr. securities Countervalue Percentage Amount A 137

138 execution day ,000 13, % 1, Amount B Last reference Nr. Securities Countervalue Original Amount B price countervalue 13,20 1,000 13, , Cas settlement = DR te form is created for all Members in bonis and teir Settlement Agents and is available in te morning, before te start of trading, of te day te Buy-In is closed by cas settlement; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te securities to be purcased originally column indicates te total quantity of securities to be purcased in order to execute te Buy-In. Te securities purcased in previous days column indicates te quantity of securities already purcased for te Buy-In. te securities still to be purcased column indicates te total quantity of securities still to be purcased in order to complete te Buy-In. Te securities subject to cas settlement column indicates te quantity of securities tat, due to expiry of time limits, will not be purcased by te Buy-In Agent and for wic te cas settlement procedure is proceeded wit. te Determination of cas settlement section sows te calculation of te amount of cas settlement. 138

139 RP-ME15 Cas Settlement /Member in Fail - Bond Section Equivalent to RP-ME13 report te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); in te report is indicated te amount in euro in te report is specify te amount in euro debited by CC&G in Target2. 139

140 RP-ME16 Cas Settlement /Member in Bonis - Bond Section Equivalent to RP-ME14 report te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); in te report is indicated te amount in euro in te report is specify te amount in euro debited by CC&G in Target2 140

141 RP-ME17 Outcome of Sell-Out - Sare and Equity Derivatives Sections Te form sows te list of positions undergoing te execution of a Sell-Out relating to te Sare and Equity Derivatives sections for wic a compulsory sale as taken place, including te differential tat te member in default must pay to CC&G. Sample RP-ME17 Report Member: GKK Outcome of Sell-Out RP-ME17 17 FEB 04 21:04:46 Pag. 1 Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: CLIENT Position undergoing Sell-Out execution : Net ID: I114EW ID DVP: 9HLTL9 Settlement Sell-Out Securities to Original Securities Securities Securities Securities Symbol ISIN date execution sell countervalue sold sold still to subject to date originally in previous today be sold return days MS IT FEB FB 04 1,000 8, DR details of securities purcased today: Security Symbol ISIN Quantity Countervalue Mediaset MS IT , CR Mediaset MS IT , CR Total 700 5, CR Differential: MS IT original countervalue relating to: 700 securities: 5, DR MS IT countervalue sold 5, CR differential DR (1) If te differential is in debit te following item is displayed: (1) Te differential will be debited in tomorrow's daily settlement If te differential is in credit te following item is displayed: (1) Te differential is deducted by CC&G te form is created for all Members in default and teir Settlement Agents and is available: in te morning, before te start of trading on te day of execution of te Sell-Out; in te afternoon on te day following te execution of te Sell-Out; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or witdrawal ; 141

142 te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring. te securities to be sold originally column indicates te total quantity of securities to be purcased in order to execute te Sell-Out. te original countervalue indicates te original countervalue of te failed position. Te securities sold in previous days column indicates te quantity of securities already sold for te Sell-Out. Te securities sold today column indicates te quantity of securities sold by te Sell-Out Agent on te day to wic te report refers. te securities still to be sold column indicates te total quantity of securities still to be sold in order to complete te Sell-Out. Te securities subjected to cas settlement column indicates te quantity of securities tat te Sell-Out Agent as not been able to sell witin te time provided (15.00 on SD+2), and tat terefore ave been subjected, as sown in te ME15 report, to compulsory closure by means of collection of te countervalue by CC&G and te subsequent return of te securities to te member in default. te details of securities sold today section indicates te securities sold by te Sell-Out Agent on te day, including te relevant countervalue. te Differential section sows te calculation of te differential tat te member in default owes to CC&G or tat CC&G deducts as a commission. 142

143 RP-ME18 Outcome of Sell-Out - Bond Section Equivalent to report ME17 te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); in te report is indicated te amount in euro in te report is specify te amount in euro debited by CC&G in Target2. 143

144 RP-ME20 Compensation of Failed Contractual Positions Sare and Equity Derivatives Sections Te form sows te list of positions undergoing execution of a Buy-In relating to te Sare and Equity Derivatives Sections for wic te end of validity date is moved up following a compensation procedure request. Sample RP-ME20 Report Gcm: BKG Compensation Procedure RP ME20 18 OCT 10 20:49:51 Pag. 1 Ader: GKK (Sare BIT and Derivates Sections) CASSA DI COMPENSAZIONE E GARANZIA Account: THIRD PARTY Detail of failing receive instruction in order to ask te compensation: ID CCG ID CCG Symbol ISIN Failed End of Securities Original Net DVP securities date validity date to receipt countervalue 0PXNOG WKO98B ETF IEAISH IE00B3DKX041 7 OCT OCT ,00 DR Instruction of sares delivery to wic CC&G (Mt) canges (anticipates) te end of validity date: ID CCG ID CCG Symbol ISIN Failed End of Securities Original Net DVP securities date validity date to deliver countervalue PA11RO XN143D ETF IEAISH IE00B3DKX041 8 OCT OCT ,00 CR Compensation of te instruction: Symbol ISIN Compensation Securities Original Date to compensate Countervalue ETF IEAISH IE00B3DKX OCT ,00 DR ,27 CR ,23 DR Te cas arising from te compensation of 3.063,23 will paid witin te daily settlement cycle of 19 OCT10 (te CC&G open day following te one wen te compensation as taken place) Instruction reentered in Gross Settlement System or for Buy-In executionfor te difference of security/cas resulting from compensation: Symbol ISIN Contractual position End of Difference of Difference of date from validity date secutities from countervalue from 144

145 compensation compensation compensation ETF IEAISH IE00B3DKX OCT OCT ,73 CR Te form is created for all Members in fail and teir Settlement Agents relating to te Sare and Equity Derivatives Sections requiring ccompensation of failed contractual positionsand is available in te morning, before te start of trading, te day following te compensation of failed contractual positions; te column ID CCG Net indicates te CC&G s net instruction; te column ID CCG DVP indicates te CC&G s gross instruction; te symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection related to te Sare and Equity Derivatives Section; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te failed securities date column indicates te settlement date by wic te position sould ave been settled on te basis of te contractual sceme; te end of validity date column indicates te deadline by wic te failed position could ave been settled; te compensation date column indicates te date in wic te compensation of failed contractual position sould ave been implemented; te securities to be delivered and securities to receipt columns indicate te amount of te financial instruments tat te member in default must deliver or ave receive ; te securities to compensate column indicates te amount of financial instruments tat sould ave been compensated; te original countervalue column indicates te countervalue in Euro of te financial instruments to be delivered CR indicates tat te Member is in credit and DR indicates tat te Member is in debt; te countervalue to compensate column indicateste countervalue in Euro of financial instruments tat sould ave been compensated; te contractual position date from compensation column indicates te date in wic te residual position compensated sould ave been settled; te difference of securities from compensation column indicates te amount of financial instruments reentered in Gross Settlement System or in Buy In executionafter compensation; te difference of countervalue from compensation column indicates te countervalue in Euro of te financial instrument reentered in Gross Settlement System (for Member in malis) or in Buy In execution after compensation (Member in bonis). 145

146 RP-ME21 Compensation of Failed Contractual Positions in Bond Section Equivalent to report ME20 146

147 RP-ME25 Outcome of Buy-In/Member in Bonis - Sare and Equity Derivatives Sections Te form sows te positions undergoing execution of a Buy-In relating to te Sare and Equity Derivatives sections te settlement instruction (so called compenso ) in favour of te in bonis member instructed by CC&G following te partial delivery and te details of securities still to be received. Sample RP-ME25 Report Ader: GKK Buy-In Execution/Partial Delivery RP-ME25 4 FEB 10 21:02:27 Page Sare and Equity Derivatives Sections CASSA DI COMPENSAZIONE E GARANZIA Account: THIRD PARTY POSITION UNDERGOING Buy-In execution : Net Id CCG: EK8WT1 Id.DVP CCG: 9SJA1G Titoli Settlement Buy-In Securities to Original Securities Securities Securities Securities Sym ISIN date execution be purcased countervalue purcased purcased still to subjected to date originally in prevous today be purcased cas settlement QFI IT GEN FEB 10 18, ,86 DR 0,00 10,00 8,00 0, Payments entered in Net Overnigt process: ISIN Execution Settlement Expiry Securities Countervalue day date date to be token IT FEB FEB FEB 10 10, ,70 DR Te form is created for all Members in bonis and teir Settlement Agents is available on te morning of te day te Buy-In is activated; te Symbol column indicates te clearing acronym of te financial instrument subject to delivery or collection ; te ISIN column indicates te ISIN of te financial instrument subject to delivery or collection ; te Settlement date column indicates te settlement date by wic te position sould ave been settled to avoid a default occurring; te Buy-In execution date column indicates te date on wic it was active te execution of te Buy-In procedure; 147

148 te Securities to be purcased originally column indicates te total quantity of securities to be purcased in order to execute te Buy-In. te Original countervalue indicates te original countervalue of te failed position. Te Securities purcased in previous days column indicates te quantity of securities already purcased for te Buy-In. Te Securities purcased today column indicates te quantity of securities purcased on te day to wic te report from te Buy-In Agent refers. te Securities still to be purcased column indicates te total quantity of securities still to be purcased in order to complete te Buy-In. Te Securities subject to cas settlement column indicates te quantity tat ave not been purcased by te Buy-In Agent in te time provided and wic terefore ave been subjected, as sown in te ME09 report, to cas settlement. te Payments entered section indicates CC&G/Member in bonis payments tat are entered following up partial delivery. 148

149 RP-ME26 Outcome of of Buy-In/Member in Bonis - Bond Section Equivalent to report ME25 te settlement system and te currency of te operation are indicated in te upper left of te report; te columns ID Netta and ID DVP indicate te position code assigned by te Express II; te column ID CCG indicates te TRN of te operation in case of settlement system Euroclear or Clearstream (ECLR/CEDE); 149

150 RP-MD21 Partial and Splitting Bond Section ICSDs Te report contains te information about te partitioning and splitting te ICSDs for te bond fund. Sample RP-MD21 Report Member: GKK 15:10:00 Pag. 1 Please, be informed tat CC&G as splitted te following: Comparto obbligazionario- ICSDs ) CASSA DI COMPENSAZIONE E GARANZIA Partial of: 17 LUG 12 Partial ICSDs RP-MD21 17LUG12 ISIN: EU000A1G0AB4 EFSF LG21 EUR 3,375 ORIGINAL TRN: ABCN01 Settlement EVD Securities to Securities to Countervalue Curr TRN Type date be delivered to received PARTIAL INSTRUCTION ABC1H1 I 18LUG12 01AUG ,25 EUR PARTIAL ISTRUCTION ABC2H1 I 18LUG12 01AUG ,25 EUR CANCELLED ISTRUCTION ABC3H1 C 18LUG12 01AUG ,50 EUR ISIN: DE000A0GTCB9 Deutsce Tel ORIGINAL TRN: N01 Settlement EVD Securities to Securities to Countervalue Curr Type date be delivered to received PARTIAL INSTRUCTION P1 I 17LUG12 31LUG ,26 EUR PARTIAL INSTRUCTION P1 I 17LUG12 31LUG ,97 EUR CANCELLED INSTRUCTION P1 C 17LUG12 31AUG ,23 EUR end In case of for partial delivery, for a settlement instruction in fail, by CC&G to te Member or its Settlement Agent, te report contain information about te settlement instruction in fail involved in te partial delivery and deleted: - ISIN Code - Description of te financial instrument - Original TRN: identification code of te original instruction Te second part of eac block indicates te details of te of te deleted instruction (type C) and te new operations (type I). - Te Identification code (TRN) - Instruction type: cancellation or insertion - Settlement Date te settlement date of te new instructions is te same of te settlement date of te original instruction - EVD te end of validity date is te fail expire date of te instruction - Securities to be delivered te quantity of securities or te nominal value of te instruction inserted/deleted if it is about a delivery instruction - Securities to received quantity of securities or nominal value of te instruction inserted/deleted if it is about a collection instruction 150

151 - Countervalue te countervalue of te operation, in te case of new instructions, te countervalue is calculated proportionally upon te countervalue of te original instruction - Currency 151

152 RP-MD22 Partial Bond Section ICSDs for Settlement Agents Te report is equal to te report MD21 and it indicates te name of te Settlement Agent in te upper left of te page. 152

153 SECTION IX Subaccount RP-MC05 AGREX Subaccounts Te Report contains information on te Member's subaccounts. Sample RP-MC05 Report Mbr: BAN1 BANCA UNO SPA AGREX Subaccounts RP-MC05 12 NOV 11 21:57:08 PAG. 1 AGRICULTURAL COMMODITY DERIVATIVES SECTION Trade Date: 12 NOV 11 Acct.: CLIENT Subaccount Headed to Tax Code VAT SUB1 MARIO ROSSI MRRSS77P08H5023F SUB2 UGO BIANCHI SUB3 GIANNINI SIM SUB4 ALDO BASSI LDDBSS57F07T682S SUB5 MARCO NERI MRCNNR89G09G690F SUB6 BIANCHI SIM Acct.: HOUSE Subaccount Headed to Tax Code VAT AAA1 FILIALE MI Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te item Acct.: indicates te account (ouse or client) relating to te subaccounts indicated above. Te column Subaccount indicates te subaccount code. Te column Headed to indicates te client (client Account) or operational unit (House account) in wose name te subaccount is registered. Te columns Tax Code and VAT, indicate, respectively, te tax code or te VAT number of te client in wose name te subaccount is registered. 153

154 SECTION X Basilea III Asset class RP-MB01 AGREX asset class Te Report contains information on te Member's subaccounts. Sample Report RP-MB01 Basilea III - AGRX asset class RP-MB01 4 NOV 14 14:45:05 Page 1 Mbr: XXXXXXXXXX Update at: 31 OCT Agricultural Derivatives asset class Ref: Basel Parameter Description Value KCCP Hypotetical capital of te CCP DFCM Sum of clearing members' pre-funded default fund contributions DFCCP Total amount of te CCP's own pre-funded financial resources tat it is required to use to cover its losses following te default of one or more of its clearing members before using te default fund contributions of te remaining clearing members N Total number of clearing members Beta Concentration factor DFcCM Sum of clearing members' contractually committed default fund contributions Initial margin Total amount of initial margin , Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te item KCCP: indicates te ypotetical capital of te CCP. Te item DFCP: indicates te sum of clearing Members s pre-funded default fund contribution. Te item DFCCP: indicates te total amount of te CCP s own pre-funded financial resources ( Skin In te Game ) Te item N: indicates te total number of clearing Members. Te item Beta: indicates te concentration factor. Te item DFcCM: indicates te sum of clearing members' contractually committed default fund contributions Te item Initial Margin: indicates te total amount of te Initial Margin. 154

155 RP-MB02 Equity Derivate asset class Te Report contains information on te Member's subaccounts. Sample Report RP-MB02 Basilea III - Equity Deriv. asset class RP-MB02 4 NOV 14 14:45:05 Page 1 Mbr: XXXXXXXX Update at: 31 OCT Equity Derivatives asset class Ref: Basel Parameter Description Value KCCP Hypotetical capital of te CCP DFCM Sum of clearing members' pre-funded default fund contributions DFCCP Total amount of te CCP's own pre-funded financial resources tat it is required to use to cover its losses following te default of one or more of its clearing members before using te default fund contributions of te remaining clearing members N Total number of clearing members Beta Concentration factor 0, DFcCM Sum of clearing members' contractually committed default fund contributions Initial Margin Total amount of initial margin , Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te description of te items of te report is te same as for report RP-MB01 AGREX asset class. 155

156 RP-MB03 IDEX asset class Te Report contains information on te Member's subaccounts. Sample Report RP-MB03 Basilea III - IDEX asset class RP-MB03 4 NOV 14 14:45:05 Page 1 Mbr: xxxxxxxx Update at: 31 OCT Energy Derivatives asset class Ref: Basel Parameter Description Value KCCP Hypotetical capital of te CCP DFCM Sum of clearing members' pre-funded default fund contributions DFCCP Total amount of te CCP's own pre-funded financial resources tat it is required to use to cover its losses following te default of one or more of its clearing members before using te default fund contributions of te remaining clearing members N Total number of clearing members Beta Concentration factor 0, DFcCM Sum of clearing members' contractually committed default fund contributions Initial Margin Total amount of initial margin , Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te description of te items of te report is te same as for report RP-MB01 AGREX asset class. 156

157 RP-MB04 BOND asset class Te Report contains information on te Member's subaccounts. Sample Report RP-MB04 Basilea III - BOND asset class RP-MB04 4 NOV 14 14:45:05 Page 1 Mbr: XXXXXXX Update at: 31 OCT Repo and Reverse Repo Transactions asset class Ref: Basel Parameter Description Value KCCP Hypotetical capital of te CCP DFCM Sum of clearing members' pre-funded default fund contributions DFCCP Total amount of te CCP's own pre-funded financial resources tat it is required to use to cover its losses following te default of one or more of its clearing members before using te default fund contributions of te remaining clearing members N Total number of clearing members Beta Concentration factor 0, DFcCM Sum of clearing members' contractually committed default fund contributions Initial Margin Total amount of initial margin , Te Report is produced for all Members of te Agricultural Commodity Derivatives Section. It is available before te start of trading on te following day. Te description of te items of te report is te same as for report RP-MB01 AGREX asset class. 157

158 SECTION XI Corporate Actions RP-MS18 Cas instruction Bond Section ICSDs Te report indicates te information regarding te compensations due to adjustment operations on te positions. Sample RP-MS18 Report Ader: GKK Cas Transfer RP-MS18 25 SET 13 11:58:10 1 CC&G - Cassa Compensazione e Garanzia Contrattazioni del: 25 SET 13 ISIN TRN Note Countervalue Valuta: EUR Conto: C Terzi CORPORATE ACTION DE000A0GTCB9 DT INT FIN 05/ N ,00 DB CCV=Coupon Compensation Value Date : 25/09/2013 CCSD=Coupon Comp. Settlem. Date : 25/09/2013 CSD=Contractual Settlement Date : 9/09/2012 ASD=Actual Settlement Date : 25/09/2013 CVD=Coupon Value Date : 23/09/2013 RD/RPD=Record Date/Redemption Payment Date : 13/09/2013 IPED=Interest Period Ending Date : 10/09/2013 Tasso Interesse : Importo a Debito ,00 DB Conto: F Proprio REDEMPTION DE000A0GTCB9 DT INT FIN 05/ N01 325,00 CR CCV=Coupon Compensation Value Date : CCSD=Coupon Comp. Settlem. Date : CSD=Contractual Settlement Date : 9/10/2013 ASD=Actual Settlement Date : CVD=Coupon Value Date : 29/09/2013 RD/RPD=Record Date/Redemption Payment Date : 29/09/2013 IPED=Interest Period Ending Date : Tasso Interesse : Importo a Credit 325,00 CR Valuta: USD Conto: C Terzi CORPORATE ACTION DE000A0GTCB9 DT INT FIN 05/ N01 500,00 DB CCV=Coupon Compensation Value Date : CCSD=Coupon Comp. Settlem. Date : CSD=Contractual Settlement Date : 9/10/2013 ASD=Actual Settlement Date : CVD=Coupon Value Date : RD/RPD=Record Date/Redemption Payment Date : 29/09/2013 IPED=Interest Period Ending Date : Tasso Interesse : Importo a Debito 500,00 DB Conto: F Proprio CORPORATE ACTION DE000A0GTCB9 DT INT FIN 05/ N01 225,00 CR CCV=Coupon Compensation Value Date : CCSD=Coupon Comp. Settlem. Date : 158

159 CSD=Contractual Settlement Date : 9/10/2013 ASD=Actual Settlement Date : CVD=Coupon Value Date : RD/RPD=Record Date/Redemption Payment Date : 29/09/2013 IPED=Interest Period Ending Date : Tasso Interesse : Importo a Credito 225,00 CR Te report is produced in real time from te moment in wic te instruction is eligible and wenever tere is an update for tis instructions. Te item currency indicates te currency of te settlement of te cas compensation (settlement currency) Te column ISIN indicate te ISIN code of te financial instrument Te column TRN indicates te TRN of te operation Te column Note sows any additional information about te operation Te column Countervalue indicate te amount in credit/debit Te reason of te instruction, sow before of te ISIN, could contain te follow particular case: - Corporate Action (Coupon compensation) - Redemption According to wic event create te cas transaction, te report indicate te follow information: CCSD (Coupon Compensation Settlement Date): te day of te compensation CCV (Coupon Compensation Value): Value Date of te compensation CSD (Contractual Settlement Date): Intended Settlement Date of te instruction ASD (Actual Settlement Date): Really Settlement Date of te instruction IPED (Interest Period Ending Date): te last day CVD (Coupon Value Date) 159

160 RP MS21 Cas Transfer Bond Section Te report indicates te information about te compensations due to adjustment operations on te positions of te Member, for te Settlement Agents. Eac page of te reports sows te information about eac Memeber marked in te upper left. For a description of te contents of te report, please refer to te report MS18. Sample RP-MS21 Report Dlv: GKK Cas Transfer RP-MS21 9 DEC 13 11:58:10 1 Mbr: Akk CC&G - Cassa Compensazione e Garanzia Trading on: 09 DEC 13 ISIN TRN Note Amount Currency: EUR Account: C Terzi CORPORATE ACTION DE000A0GTCB9 DT INT FIN 05/ N ,00 DB CCV=Coupon Compensation Value Date : 09/12/2013 CCSD=Coupon Comp. Settlem. Date: 09/12/2013 CSD=Contractual Settlement Date : 02/12/2013 ASD=Actual Settlement Date 02/12/2013 CVD=Coupon Value Date : 09/12/2013 RD/RPD=Record Date/Redemption Payment Date 29/11/2013 IPED=Interest Period Ending Date : 09/12/2013 Interest rate: ,00 DB Debit Amount

161 SECTION XII Default Fund Account statements RP-MAG1 DF Agrex - Agricultural Commodities - Account statement Report contains information on te account statement for te Default Fund on Agricultural Commodities Derivatives Sections. Sample RP-MAG1 Report CC&G Bank Statement RP-MEL1 6 OCT 14 18:28:13 1 DF Agrex - Commodit. Agricole CASSA DI from date : 1/07/2014 to date : 30/09/2014 DEFINITIVE COMPENSAZIONE E GARANZIA S.p.A Bank Address Town CURRENCY ON EURO MOVEMENT VALUE D A T E D A T E DESCRIPTION DEBIT AMOUNT CREDIT AMOUNT /07/2014 CARRY-OVER 0, ,00 2/07/2014 2/07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 4/07/2014 1/07/2014 INTERESSI ATTIVI 0, ,26 4/07/2014 1/07/2014 SPESE INVIO ES. CONTO IDEX 2,50 0,00 7/07/2014 7/07/2014 RESTITUZ. CONT.IN ECCESSO ,76 0,00 8/07/2014 8/07/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 24/07/ /07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 5/08/2014 5/08/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 4/09/2014 4/09/2014 SVIN.CONT.DIM. MARG. LIQUIDAT ,00 0, ACCOUNT BALANCE 0, ,00 Imposta di bollo assolta in modo virtuale Autorizzazione Agenzia delle Entrate Direz. Provinciale I di Roma Prot. n /2011 del 09/02/2011 Report is produced on a quarterly basis, reporting te financial transactions tat occurred during te reporting period; Report is produced only for General Clearing Participants and Individual Participants and is available te first days of te mont following te reporting quarter. 161

162 RP-MAG2 DF Agrex - Agricultural Commodities Detailed Account statement Report contains detailed information on te account statement for te Default Fund on Agricultural Commodities Derivatives Sections. Sample RP-MAG2 Report CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:25 Pag. 1 DF Agrex - Commodit. Agricole CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town VALUE CURRENCY ON EURO D A T E D E B I T C R E D I T DAYS DEBITOR NR. CREDITOR NR /07/2014 0, ,22 1 0, ,77 7/07/2014 0, ,00 1 0, ,00 9/07/2014 0, ,00 1 0, ,00 6/08/2014 0, ,00 1 0, ,00 3/09/2014 0, ,00 1 0, , Account Balance 0, ,22 0, ,77 CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:26 Pag. 1 DF Equity - BIT E DERIVATI CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town COUNTING OF SKILLS INTERESTS STARTING D A T E RATE NUMBERS INTERESTS /07/2014 0, ,77 26,04 8/07/2014 0, ,00 27,03 9/07/2014 0, ,00 30,82 7/08/2014 0, ,00 8,42 17/09/2014 0, ,00 59, TOTAL GROSS ,77 33,24 TOTAL NET INTEREST 33,24 FEE ACCOUNT STATEMENTS 2, Net fees 30,74 Report is produced on a quarterly basis, reporting, for General Clearing and Individual Participants and is available te first days of te mont following te reporting quarter; accrued interest are paid/carged quarterly; columns " Currency Balance" indicate te total amount of cas deposited for eac day. 162

163 RP-MDF1 DF Equity - Bit & Derivate Account statement Report contains information on te account statement for te Default Fund of te Sare and Equity Derivatives Sections. Sample RP-MDF1 Report CC&G Bank Statement RP-MEL1 6 OCT 14 18:28:13 1 DF Equity - Bit e Derivati CASSA DI from date : 1/07/2014 to date : 30/09/2014 DEFINITIVE COMPENSAZIONE E GARANZIA S.p.A Bank Address Town CURRENCY ON EURO MOVEMENT VALUE D A T E D A T E DESCRIPTION DEBIT AMOUNT CREDIT AMOUNT /07/2014 CARRY-OVER 0, ,00 2/07/2014 2/07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 4/07/2014 1/07/2014 INTERESSI ATTIVI 0, ,26 4/07/2014 1/07/2014 SPESE INVIO ES. CONTO IDEX 2,50 0,00 7/07/2014 7/07/2014 RESTITUZ. CONT.IN ECCESSO ,76 0,00 8/07/2014 8/07/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 24/07/ /07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 5/08/2014 5/08/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 4/09/2014 4/09/2014 SVIN.CONT.DIM. MARG. LIQUIDAT ,00 0, ACCOUNT BALANCE 0, ,00 Imposta di bollo assolta in modo virtuale Autorizzazione Agenzia delle Entrate Direz. Provinciale I di Roma Prot. n /2011 del 09/02/2011 Report is produced on a quarterly basis, reporting te financial transactions tat occurred during te reporting period; Report is produced only for General Clearing Participants and Individual Participants and is available te first days of te mont following te reporting quarter. 163

164 RP-MDF2 DF Equity - Bit & Derivate Detailed Account statement Report contains detailed information on te account statement for te Default Fund of te Sare and Equity Derivatives Sections. Sample RP-MDF2 Report CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:25 Pag. 1 DF Equity - Bit e Derivati CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town VALUE CURRENCY ON EURO D A T E D E B I T C R E D I T DAYS DEBITOR NR. CREDITOR NR /07/2014 0, ,22 1 0, ,77 7/07/2014 0, ,00 1 0, ,00 9/07/2014 0, ,00 1 0, ,00 6/08/2014 0, ,00 1 0, ,00 3/09/2014 0, ,00 1 0, , Account Balance 0, ,22 0, ,77 CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:26 Pag. 1 DF Equity - BIT E DERIVATI CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town COUNTING OF SKILLS INTERESTS STARTING D A T E RATE NUMBERS INTERESTS /07/2014 0, ,77 26,04 8/07/2014 0, ,00 27,03 9/07/2014 0, ,00 30,82 7/08/2014 0, ,00 8,42 17/09/2014 0, ,00 59, TOTAL GROSS ,77 33,24 TOTAL NET INTEREST 33,24 FEE ACCOUNT STATEMENTS 2, Net fees 30,74 Report is produced on a quarterly basis, reporting, for General Clearing and Individual Participants and is available te first days of te mont following te reporting quarter; accrued interest are paid/carged quarterly; columns "Currency Balance" indicate te total amount of cas deposited for eac day. 164

165 RP-MEL1 DF Idex - Energy Derivate Section - Account statement Report contains information on te account statement for te Default Fund of te Energy Derivatives Section. Sample RP-MEL1 Report CC&G Bank Statement RP-MEL1 6 OCT 14 18:28:13 1 DF Idex - Mercato Elettrico CASSA DI from date : 1/07/2014 to date : 30/09/2014 DEFINITIVE COMPENSAZIONE E GARANZIA S.p.A Bank Address Town CURRENCY ON EURO MOVEMENT VALUE D A T E D A T E DESCRIPTION DEBIT AMOUNT CREDIT AMOUNT /07/2014 CARRY-OVER 0, ,00 2/07/2014 2/07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 4/07/2014 1/07/2014 INTERESSI ATTIVI 0, ,26 4/07/2014 1/07/2014 SPESE INVIO ES. CONTO IDEX 2,50 0,00 7/07/2014 7/07/2014 RESTITUZ. CONT.IN ECCESSO ,76 0,00 8/07/2014 8/07/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 24/07/ /07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 5/08/2014 5/08/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 4/09/2014 4/09/2014 SVIN.CONT.DIM. MARG. LIQUIDAT ,00 0, ACCOUNT BALANCE 0, ,00 Imposta di bollo assolta in modo virtuale Autorizzazione Agenzia delle Entrate Direz. Provinciale I di Roma Prot. n /2011 del 09/02/2011 Report is produced on a quarterly basis, reporting te financial transactions tat occurred during te reporting period; Report is produced only for General Clearing Participants and Individual Participants and is available te first days of te mont following te reporting quarter. 165

166 RP-MEL2 DF Idex - Energy Derivate Section Detailed Account statement Report contains detailed information on te account statement for te Default Fund of te Energy Derivatives Section. Sample RP-MEL2 Report CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:25 Pag. 1 DF Idex - Mercato Elettrico CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town VALUE CURRENCY ON EURO D A T E D E B I T C R E D I T DAYS DEBITOR NR. CREDITOR NR /07/2014 0, ,22 1 0, ,77 7/07/2014 0, ,00 1 0, ,00 9/07/2014 0, ,00 1 0, ,00 6/08/2014 0, ,00 1 0, ,00 3/09/2014 0, ,00 1 0, , Account Balance 0, ,22 0, ,77 CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:26 Pag. 1 DF Equity - BIT E DERIVATI CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town COUNTING OF SKILLS INTERESTS STARTING D A T E RATE NUMBERS INTERESTS /07/2014 0, ,77 26,04 8/07/2014 0, ,00 27,03 9/07/2014 0, ,00 30,82 7/08/2014 0, ,00 8,42 17/09/2014 0, ,00 59, TOTAL GROSS ,77 33,24 TOTAL NET INTEREST 33,24 FEE ACCOUNT STATEMENTS 2, Net fees 30,74 Report is produced on a quarterly basis, reporting, for General Clearing and Individual Participants and is available te first days of te mont following te reporting quarter; accrued interest are paid/carged quarterly; columns " Currency Balance" indicate te total amount of cas deposited for eac day. 166

167 RP-MIC1 DF MIC - Int.Collateral Market Account statement Report contains information on te account statement for te Default Fund on New MIC. Sample RP-MIC1 Report CC&G Bank Statement RP-MEL1 6 OCT 14 18:28:13 1 DF MIC - Merc.Int.Collater. CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town DEFINITIVE CURRENCY ON EURO MOVEMENT VALUE D A T E D A T E DESCRIPTION DEBIT AMOUNT CREDIT AMOUNT /07/2014 CARRY-OVER 0, ,00 2/07/2014 2/07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 4/07/2014 1/07/2014 INTERESSI ATTIVI 0, ,26 4/07/2014 1/07/2014 SPESE INVIO ES. CONTO IDEX 2,50 0,00 7/07/2014 7/07/2014 RESTITUZ. CONT.IN ECCESSO ,76 0,00 8/07/2014 8/07/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 24/07/ /07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 5/08/2014 5/08/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 4/09/2014 4/09/2014 SVIN.CONT.DIM. MARG. LIQUIDAT ,00 0, ACCOUNT BALANCE 0, ,00 Imposta di bollo assolta in modo virtuale Autorizzazione Agenzia delle Entrate Direz. Provinciale I di Roma Prot. n /2011 del 09/02/2011 Report is produced on a quarterly basis, reporting te financial transactions tat occurred during te reporting period; Report is produced only for General Clearing Participants and Individual Participants and is available te first days of te mont following te reporting quarter. 167

168 RP-MIC2 DF MIC - Int.Collateral Market Detailed Account statement Report contains detailed information on te account statement for te Default Fund on New MIC. Sample RP-MIC2 Report CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:25 Pag. 1 DF MIC - Merc.Int.Collater. CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town VALUE CURRENCY ON EURO D A T E D E B I T C R E D I T DAYS DEBITOR NR. CREDITOR NR /07/2014 0, ,22 1 0, ,77 7/07/2014 0, ,00 1 0, ,00 9/07/2014 0, ,00 1 0, ,00 6/08/2014 0, ,00 1 0, ,00 3/09/2014 0, ,00 1 0, , Account Balance 0, ,22 0, ,77 CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:26 Pag. 1 DF Equity - BIT E DERIVATI CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town COUNTING OF SKILLS INTERESTS STARTING D A T E RATE NUMBERS INTERESTS /07/2014 0, ,77 26,04 8/07/2014 0, ,00 27,03 9/07/2014 0, ,00 30,82 7/08/2014 0, ,00 8,42 17/09/2014 0, ,00 59, TOTAL GROSS ,77 33,24 TOTAL NET INTEREST 33,24 FEE ACCOUNT STATEMENTS 2, Net fees 30,74 Report is produced on a quarterly basis, reporting, for General Clearing and Individual Participants and is available te first days of te mont following te reporting quarter; accrued interest are paid/carged quarterly; columns " Currency Balance" indicate te total amount of cas deposited for eac day. 168

169 RP-MMT1 DF Bond - MTS Bonds Account statement Report contains information on te account statement for te Default Fund of te Bond and te ICSD Bond Sections. Sample RP-MMT1 Report CC&G Bank Statement RP-MEL1 6 OCT 14 18:28:13 1 DF Bond - OBBLIGAZION.MTS CASSA DI from date : 1/07/2014 to date : 30/09/2014 DEFINITIVE COMPENSAZIONE E GARANZIA S.p.A Bank Address Town CURRENCY ON EURO MOVEMENT VALUE D A T E D A T E DESCRIPTION DEBIT AMOUNT CREDIT AMOUNT /07/2014 CARRY-OVER 0, ,00 2/07/2014 2/07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 4/07/2014 1/07/2014 INTERESSI ATTIVI 0, ,26 4/07/2014 1/07/2014 SPESE INVIO ES. CONTO IDEX 2,50 0,00 7/07/2014 7/07/2014 RESTITUZ. CONT.IN ECCESSO ,76 0,00 8/07/2014 8/07/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 24/07/ /07/2014 UT.ECC.COP.MAR.F.DO IDEX 0, ,00 5/08/2014 5/08/2014 VERS.MARG.F.DO SUL IDEX 0, ,00 4/09/2014 4/09/2014 SVIN.CONT.DIM. MARG. LIQUIDAT ,00 0, ACCOUNT BALANCE 0, ,00 Imposta di bollo assolta in modo virtuale Autorizzazione Agenzia delle Entrate Direz. Provinciale I di Roma Prot. n /2011 del 09/02/2011 Report is produced on a quarterly basis, reporting te financial transactions tat occurred during te reporting period; Report is produced only for General Clearing Participants and Individual Participants and is available te first days of te mont following te reporting quarter. 169

170 RP-MMT2 DF Bond - MTS Bonds Detailed Account statement Report contains detailed information on te account statement for te Default Fund of te Bond and te ICSD Bond Sections. Sample RP-MMT2 Report CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:25 Pag. 1 DF Bond - OBBLIGAZION.MTS CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town VALUE CURRENCY ON EURO D A T E D E B I T C R E D I T DAYS DEBITOR NR. CREDITOR NR /07/2014 0, ,22 1 0, ,77 7/07/2014 0, ,00 1 0, ,00 9/07/2014 0, ,00 1 0, ,00 6/08/2014 0, ,00 1 0, ,00 3/09/2014 0, ,00 1 0, , Account Balance 0, ,22 0, ,77 CC&G Account Balance Statement RP-MDF2 6 OCT 14 18:00:26 Pag. 1 DF Equity - BIT E DERIVATI CASSA DI from date : 1/07/2014 to date : 30/09/2014 COMPENSAZIONE E GARANZIA S.p.A Bank Address Town COUNTING OF SKILLS INTERESTS STARTING D A T E RATE NUMBERS INTERESTS /07/2014 0, ,77 26,04 8/07/2014 0, ,00 27,03 9/07/2014 0, ,00 30,82 7/08/2014 0, ,00 8,42 17/09/2014 0, ,00 59, TOTAL GROSS ,77 33,24 TOTAL NET INTEREST 33,24 FEE ACCOUNT STATEMENTS 2, Net fees 30,74 Report is produced on a quarterly basis, reporting, for General Clearing and Individual Participants and is available te first days of te mont following te reporting quarter; accrued interest are paid/carged quarterly; columns " Currency Balance" indicate te total amount of cas deposited for eac day. 170

171 PART II DATA IN PROCESSABLE FORMAT Tis part describes te information and services tat CC&G provides to Members and Settlement Agents and te systems used for teir provision: FTP server, IDEM Trading System and Rete Nazionale Interbancaria. SECTION I Server FTP On te FTP server ftp.ccg.it CC&G provides Public data, for Members tat want to calculate margins using te TIMS metodology and Members privat data. Public data Public data are available for Members tat want to calculate margins using te TIMS metodology. For information about files structure and data formats please refer to te document Public Data Service available on te website. To download data files from te CC&G FTP server please refer to te following instructions: Directory: TIMSDATA File Name: YYMMDD.zip YYMMDD: Data Members data On te FTP server ftp.ccg.it CC&G provides te Members data files to reconcile automatically teir Back Office calculations wit CC&G calculations. Data files provides information on executed contracts, open positions, deposited collateral, instructions to te settlement system for te settlement of te underlying securities of derivatives, financial position, daily exercises/assignments. Tey are available at te end of te nigtly batc procedure. For information on te record format of clearing members data, please see document Description of te Clearing Member s Batc Data Files, available on CC&G Internet Website, available on CC&G Internet Website, Section Tecnical Area/Documentation/Manual For information about files structure and data formats please refer to te document Clearing Data Service available on te website. To download reports from te FTP server wit automated procedure please refer to te following instructions: Directory: FLUSSI File Name: YYYYMMDD-XXXX pdf YYYYMMDD-XXXX pdf YYYYMMDD: date 171

172 YYYYMMDD: Data XXXX: DS file name (for example: DS01) 99999: Clearing Member ABI code (for example: 09000) 99999: Non Clearing Member ABI code (for example:09001) 172

173 SECTION II Trading Services Trading System broadcasts te executed contracts to feed te members back office. Furtermore, CC&G provides, troug te trading system, members wit information ere below indicated. In order to set/use te trading system please ceck appropriate manuals available on BIt Systems website. Te IDEM clearing users manual is available on te BIt Systems web site, to understand te clearing reports download, print and display on te relevant environment Public data Files of tis section are for Members tat want to calculate margins using te TIMS metodology utilized by CC&G. For information about files structure and data formats please refer to te document Public Data Service available on te website. Members Data For information about files structure and data formats please refer to te document Clearing Data Service available on te website. 173

174 SECTION III Daily Statement of payments Troug te National Interbanking Network (Rete Nazionale Interbancaria RNI) and te SWIFT network, CC&G provides bot to Members and Cas Settlement Agents: - message M01, via RNI, containing: - information on te financial standing of te Member in relation to te Default Funds; - information relating to te request for payment of intraday margins; - message M03, via RNI and message MT298, via SWIFT, containing information on te daily debit or credit tat CC&G will make on PM accounts of te Clearing Members or teir Settlement Agents; Data contained in te aforesaid messages can be displayed and andled by members tecnology system to automate internal procedures. Te registration to receive te Daily Statement must be done on te Bit Club web site ( 174

175 M01 Message Te Intrabank network message M01 contains informations about te Default Fund Participant financial position and informations about te request of payment of te intraday margins. Record Layout Message type : M01 Sending bank application : 90000CG011YY 1 Assignee bank application : FFFFF 2 CG011YY 1 Application category : CG01 O/F IDC Field Format Compulsory Compulsory Compulsory Optional Optional Compulsory Compulsory Optional Optional Compulsory Compulsory Compulsory Compulsory Compulsory Compulsory Compulsory K D31 N01 Message Type Sender - ABI Code - Cab Code - Office Assignee - ABI Code - Cab Code - office Reference Date Reference Time C.R.O Currency Code Member s ABI Code Operation Date Detail of Operations (max. 41) - Reason - Amount - Sign - Date 3 b 5 n / 5 n / 2 b 5 n / 5 n / 2 b 8 n 6 n 11 n 3 b 5 n 8 n 3 n 15 n 1 a 8 n 1 YY = 00 (Production), YY = PR (Test). 2 FFFFF = ABI Code. 175

176 Description of te Record Layout IDC 01 MESSAGE TYPE Assumes value M01 IDC 040 SENDER It contains ABI Code of Cassa di compensazione e garanzia. Te CAB and Office Code are not used. IDC 050 ASSIGNEE. Operator receiving message (SIA or Member or Settlement Agent): it is mandatory to specify te ABI code of te assignee; te CAB and Office codes are optional. IDC 61K MESSAGE REFERENCE DATE. Message transmission date in te format (ddmmyyyy). IDC 601 REFERENCE TIME. Message transmission time in te format (mmss). IDC 020 C.R.O. Reference code of te operation assigned to te sender. IDC 177 CURRENCY CODE. Identifies te currency code relative to te amounts in detail of operations. It as te value EUR. Te amounts include two decimals. IDC 054 MEMBER S ABI CODE. Sows te ABI code of te member to wic te message is addressed. IDC D31 OPERATION DATE. Date of adaptation of te margins, coinciding wit te date of settlement in te presence of a payable generated by an upward margin variation. IDC N01 DETAIL OF OPERATIONS. List of procedures and data regarding te operation in progress; it contains te following information: Example of operation: (N01: D ) A. N01: (X4) = identificativo riga messaggio B. Identification Code (N3): reasons detail is sown below C. Amount: 9(13)V9(2) D. Sign of te amount; can assume two values: (D) = for amount payable by te member. (C) = for amount receivable by te member. E. Reason reference date (for future uses) at present it is filled by all zeros 176

177 Details (N01) : Settlement Guarantee Fund (inactive) : Contract Guarantee Fund (inactive) : Inactive : Default Fund Motive Description Present payment and cas and guarantee deposited X01 X02 X03 X04 X05 X06 Present Payment Cas deposited for payment Excess cas eld Guarantee deposited Guarantee used Guarantee not used Montly adjustment of payment X11 X12 X13 X14 New payment Amount of adjustment to pay in te settlement day Amount of adjustment to pay before 12 am of today Excess cas tat as to give back to te member Fee, commissions and interest X21 X22 Commission on te Guarantee deposited Annual Membersip fee X23 Interest on cas deposited : Intraday Margins Motive Description Additional Intraday margins 413 Intraday margin call for ouse account 414 Intraday margin call for client account 177

178 Explanation of Details Troug te message M01 members can receive te reasons related to: Present Payment and cas and guarantee deposited Montly Adjustment of payment Fee, Commissions and interest (X01-X06), (X11-X14), (X21-X24). A detailed description of te individual reasons is provided below. For eac reason, te code is provided along wit a brief description and te value date appears in parenteses Default Funds/Funds: -Reason x01: te present margin due to te Fund (every day); -Reason x02: te cas margin is te margin covered wit a cas payment (only if a cas deposit exists); -Reason x03: te excess cas is te cas amount in excess of tat required to cover te margin due (in te case of an advance payment - point 2.1. of te Circular). -Reason x04: te bank guarantee deposited is equal to te guarantee used (reason 105) plus any excess guarantee (reason 106) (only wen a bank guarantee as been deposited); -Reason x11: te new margin amount is te new margin due, calculated on te basis of te member s activity in te two previous monts (it as a value between te day on wic te amount of te new margins is notified and te payment date); -Reason x12: te margin to be added on te payment date is te amount of te margin to be deposited by 12:00 noon on te payment date. Members wit access to te ICA function will find te payment date under te eading Payment Due. Members tat receive te M01 message directly troug te RNI can find tis date in IDC D31 of te message between te day on wic te amount of te new margins is notified and te day before te payment date. It as a value if te guarantees already deposited and usable are not sufficient to cover te difference between te amounts given in reasons X11 and X01; -Reason x13: te margin to be paid by 12:00 noon today is te cas margin tat must be paid on tat same day by te time indicated (te payment date as a value only if te cas payment is due); -Reason x14: te excess return cas means te amount tat is returned on te trading day immediately following te payment date, wic is defined as te start date or oter available date for te deposit of a bank guarantee (te day on wic te excess cas is actually returned); -Reason x21: Debit for Commission on Bank Guarantee is generated at te time wen a bank guarantee is entered into te procedure. -Reason x22: Debit for Annual membersip fee. -Reason x24: Return of cas for interest. Intraday Margins -Reason x13: Debit for Additional intraday margins for House account -Reason x14: Debit for Additional intraday margins for Client account 178

179 M03 Message Te M03 message sent over te National Interbanking Network (Rete Nazionale Interbancaria - RNI) enables Clearing Members or teir Settlement Agents to know te credit or debit tat CC&G will make in tat day on teir PM accounts in Target2. Te information contained in te messages is structured as sown below, in accordance wit te RNI standards. Record Layout Sending bank application: Receiving bank application: Application category: 90000CG013YY XXXXXCG013YY CG013 F/O IDC FIELD FORMAT O 01 Type of message (M03) 3 b O 040 Sender 5 n(/ 5"n/'2"b) O 050 Recipient 5 n(/ 5"n/'2"b) O 020 CRO 11 n O 61K Settlement date 8"n O 64H Reference time 6 n F N06 Element detail (max 12) - Member company code - Member CAB code "5"n/ 5 n/ - Description of Member 40 b/ - Amount 15 n/ - Sign 1 b/ - Currency code 3 b/ - Market "3"b/ - Type of debt 3 b/ - Payment date 8 n/ - Reason for payment 2 b/ - Transaction reference - Bank of Italy account code - Type of account 6"b/ 5 n/ 1 b/ - Comment field 30 b Sending bank application: is te Company code of CC&G; YY can ave te following values: 00 = Production environment PR = Test environment 179

180 Receiving bank application: XXXXX is te Company code of te recipient; YY can ave te following values: 00 = Production environment PR = Test environment Description of te Record Layout IDC 01-TYPE OF MESSAGE Always M03. IDC 040-SENDER Company code of CC&G (90000). IDC 050-RECIPIENT Company code of te sender. IDC 020-C.R.0. Te reference code of te message sent by CC&G. Te last two letters of te code are te control CIN (form 13) of te first nine. IDC 61K-SETTLEMENT DATE Te date te notice is sent (DDMMYYYY). IDC 64H-REFERENCE TIME Te time at wic te message is created in HHMMSS format. IDC N06 Element detail (MAX 12) Member company code: te code of te Member for wic te statement as been prepared Member CAB code: te CAB code of te Member for wic te statement as been prepared Description of Member: te name of te Member code Amount: te amount te Member must pay or receive Sign: te sign of te amount; it can be D (debit) or C (credit). Currency code: te alpanumeric code of te currency (using te ISO standard). Contains te euro code. Payment type: MIF (for te payments of te daily settlement) or BOR (for te payments of te Contribution Quota due to te Default Fund) Type of payment: can ave te following values: ADG = Payment of te daily settlement MDF = Contribution Quota due to te Default Fund for te Equity Derivatives and Sare Sections MEL = Contribution Quota due to te Default Fund for te Energy Derivatives Section MMT = Contribution Quota due to te Default Fund for te Bond Section Payment date: te date on wic te payment must be made Reason for payment: can ave te following values: AV = wen te payment must be made in a furter date PA = wen te payment must be made te same day Transaction reference: a progressive number on an annual basis Bank of Italy account code: Type of account: for te payments type MIF te field must be P for House account or T for Client account. For te payments type BOR te field must be blank. Comment field: used by CC&G to send information to Member. 180

181 MT298 Message Te MT298 message, sent over te SWIFT network, enables Clearing Members or teir Settlement Agents to know te credit or debit tat CC&G will make in tat day on teir PM accounts in Target2. Te information contained in te messages is structured in accordance wit te RNI standards. Record Layout Message sample: {1:F01CCEGITRRA } {2:I298XXXXXXXXXXXXX} {3:{108: }} {4: :20: :12:003 :77E:CCG - Notice of N. 2 deb/cred payments on P01-L MEMBER NAME DEUR P01-L2MIFADG PA P/VARIE/MIF-ADG P-} P02-L MEMBER NAME CEUR P02-L2MIFADG PA T/VARIE/MIF-ADG T-} Description of te Record Layout Te reasons of payments are indicated in te block 4 of TAG 77E, of wic te relevant information is provided in te follow: o at item Notice of N deb/cred payments on is indicated te number of debit/credit payments for te specified date (formato AAAA-MM-GG); o te numbers (01, 02, etc.) after te letter P identify te number of payment to wic te following information are related; o information about eac payment are provided on two different lines (L1 e L2); o te L1 line contains te following information: Entity Code of te Member to wic te payment is referred (5 numeric car); Member s CAB code (5 numeric car); Member s Company Name (40 alpanumeric car); Amount (15 numeric car: 13 integer and 2 decimal); Sign: D = Debit, C = Credit (1 alpanumeric car); Currency (3 alpanumeric car). o te L2 line contains te following information: Settlement type (3 alpanumeric car). MIF = Daily Settlement or Intraday Margins; BOR = Default Fund; Payment type (3 alpanumeric car). ADG = Daily Settlement; INF = Intraday Margins; MDF = Default Fund for te Sare and te Equity Derivatives Sections; MEL = Default Fund for te Energy Derivatives Section; MMT = Default Fund for te Bond Section; IDF = Interest on te payment to te Default Fund for te Sare and te Equity Derivatives Sections; IMT = Interest on te payment to te Default Fund for te Bond Section; IEL = Interest on te payment to te Default Fund for te Energy Derivatives Section; RES = Return of Default Fund payment following to witdrawal from te System. Value date (8 numeric car; date format: YYYYMMDD); Daily or furter value date (2 alpanumeric car). PA = daily value; AV = furter value; Message sequential number (6 numeric car); 181

182 CC&G s PM Account (5 numeric car); Debited/credited Account (1 alpanumeric car). P = House Account, T = Client Account; Reason of te payment (23 alpanumeric car). 182

183 PART III : TECNOLOGIC TECHNOLOGICAL INFRASTRUCTURE Te Tecnological Infrastructure for access to te clearing system consists of two applications: BCS and ICWS. SECTION I BCS BCS (Bit Clearing Station) is te system for accessing te clearing system for te Derivatives Sections, grouping togeter all te functions for allocating contracts (international give-up combined wit te splitting function, position transfer, T+1 and T+2 trade transfers, correction of open/close code, correction of client - give-up code), and amendment of positions (correction of gross positions, early exercise, exercise by exception on day of maturity). BCS is provided in tree different configurations, according to te membersip profile of te Derivatives Sections: BCS-GCM for General Clearing Members. Allows post trading in own and/or client accounts and/or on bealf of Non-Clearing Members togeter wit consultation of clearing reports for te Derivatives Sections. Post trading transactions tat may be made on bealf of Non- Clearing Members are: international give-up, splitting, position transfer, trade transfer, and gross position cange; BCS-ICM for Individual Clearing Members. Allows post trading operations to be made on own and/or client accounts and consultation of te clearing reports for te Derivatives Sections. BCS-NCM for Non-Clearing Members. Enables early exercise, exercise by exception on day of maturity, correction of open/close code, and correction of client code. International give-up operations, splitting, position and trade transfers, and gross position canges can be enabled wit te autorization of te General Clearing Member. BCS is available wit two different access metods: BCS-WS: stand-alone workstation wit windows-type grapic; BCS-API: Application Program Interface to automate te end-to-end transaction processes. Bot BCS versions are integrated into te IDEM market network, so trading Members can use current operating lines for access to te market. Members wo perform a Pure Clearer role must owever activate a dedicated line or a VPN internet connection. All members of te Derivatives Sections must possess BCS, wic is installed by BIt Systems. 183

184 SECTION II ICWS ICWS is te system for access to all sections of te clearing system for, grouping togeter te functions of treasury, account and sub-account management for custody of positions and securities, and management of te reporting system. ICWS is provided in one single configuration. Clearing Members of all sections must possess ICWS. Non-Clearing members may also possess ICWS, but only for management of te reporting system, if autorized by te General Clearing Member. ICWS is a web-based application wit security control. Te Verisign digital certificate must be downloaded onto user PCs before ICWS can be used. Instructions for downloading te certificate are sent at te same time tat te password is issued. CC&G supervises te installation of ICWS. 184

185 SECTION III Tecnological Infrastructure for profile of membersip and Section Te Tecnological Infrastructure requested by CC&G for eac profile of membersip and for eac Section is provided below. General Clearing Member Derivatives Sections: BCS-GCM: Standalone work station (two users) + optional API s (two users); ICWS (two users). Sare Section and Bond Section: ICWS (two users). Individual Clearing Member Derivatives Sections: BCS-ICM: Standalone work station (two users) + optional API s (two users); ICWS (two users). Sare Section and Bond Section: ICWS (two users). Non-Clearing Member Derivatives Sections: BCS-NCM: Stand-alone work station (two users 1 ) + optional API s (two users 1 ); ICWS (optionally), only wit te autorization of te General Clearing Member (two users). Sare Section and Bond Section: ICWS (optionally), only wit te autorization of te General Clearing Member (two users). 1 Anoter two users of te Non-Clearing Member are also consigned to te General Clearing Member. 185

186 May Tis document is adopted pursuant to relevant laws. Cassa di Compensazione e Garanzia S.p.A. accepts no liability, arising, witout limitation to te generality of te foregoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on tis 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 Excange, te coat of arms device and AIM are registered trademarks of London Stock Excange plc. FTSE is a trademark of te London Stock Excange Group companies and is used by FTSE International Limited under licence. GATElab, Traderpat, Algoritmicpat, Excangepat are registered trademarks owned by Gatelab S.r.l. Te above trademarks and any oter trademark owned by London Stock Excange Group cannot be used witout express written consent by te Company aving te ownersip on te same. Te Group promotes and offers te post-trading services of Cassa di Compensazione e Garanzia S.p.A. and Monte Titoli S.p.A. in an equitable, transparent and nondiscriminatory manner and on te basis of criteria and procedures aimed at assuring interoperability, security and equal treatment among market infrastructures, to all subjects wo so request and are qualified in accordance wit national and community legislation, applicable rules and decisions of te competent Autorities. Cassa di Compensazione e Garanzia S.p.A. Via Tomacelli, Roma