CONTENTS

Glossary 4

EXECUTIVE SUMMARY 6

INTRODUCTION 10

OVERVIEW OF THE CLEARING AND SETTLEMENT LANDSCAPE 10

RESPONSIBILITIES OF THE AUTHORITIES – ENXC & ES-MIL 13

A. Description and Findings 13

B. Strengths 18

C. Recommendations 19

GOVERNANCE – ES-MIL 20

A. Description and Findings 20

B. Strengths 24

C. Recommendations 25

GOVERNANCE – ENXC 25

A. Description and Findings 25

B. Strengths 30

C. Recommendations 30

ES-MIL & ENXC - FRAMEWORK FOR MANAGEMENT OF RISKS, INCLUDING MARGIN 31

A. Description and Findings 31

B. Strengths – ES-MIL Risk Management Framework 36

C. Recommendations – ES-MIL Risk Management Framework 36

D. Strengths – ENXC Risk Management Framework 37

E. Recommendations – ENXC Risk Management Framework 38

F. Description and Findings – ENXC Margins 38

G. Strengths 42

H. Recommendations 43

FIGURES

1. Euronext Group Ownership Diagram in Italy 11

2. Three Lines of Defense Diagram 31

TABLES

1. Main Recommendations 8

2. Summary of Core Parameters of the VaR IM Models 40

ANNEXES

I. Additional Details on the Clearing and Settlement Landscape overview in Italy 44

II. ENXC’s Cleared Volumes, Membership and Connected 46

III. Details on Applicable Regulation to ENXC and ES 48

IV. Risk Management Framework 51

V. Additional Details on ENXC Margining Practices 53