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Warsaw, 17 June 2013 Introduction of Securities Netting to Cash Market Trade Clearing
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Netting_Presentation Agenda Introduction Project Phase 1 Comparison of Messages Project Phase 2 Netting Examples Q&A 2
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Netting_Introduction optional securities netting, choice of securities settlement methods for each clearing account: - gross -netting -directional netting all instructions from KDPW_CCP sent to KDPW to settlement sessions. 3
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4 Diagram: Selection of Settlement Methods* Clearing Member Individual client (directional netting) Market maker (netting) Market maker (netting) Client omnibus account (gross) Settlement Methods *any other choice of a settlement method (gross, net, netd) is possible for each account
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Netting_Introduction Gross securities settlement – settlement instructions are generated for each transaction (clearing instruction). Securities netting – for all guaranteed transactions for a clearing account indicated by the Participant. One settlement instruction is generated for each clearing position. Directional netting– for all guaranteed transactions for a clearing account indicated by the Clearing Member. Settlement instructions are generated separately for the buy and the sell clearing position. 5
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Netting_Project Phase 1 Project Phase 1 – completed in April 2013 Testing with participants in a project of harmonising kdpw_stream with the WSE’s new trading system On-line transactions ISO 20022 clearing reports Building clearing positions in kdpw_stream Sending settlement instructions to KDPW Next step: o Introduction of clearing accounts (September 2013) 6
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Clearing Positions and Segregation of Clearing Instructions Clearing instructions are generated on the basis of market transactions A clearing instruction is defined mainly by: Trade date ISIN Participant identifier Clearing account identifier Transactions available for net settlement: Market code: XG, XA, XC, XM Trading mode: ZG 7
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List of Messages sent to KDPW_CCP and KDPW Participants KDPW_CCP ParticipantKDPW Participant Day T trade date 1.secl.001.001.02 – Trade acceptance confirmation, 2.secl.002.001.02 – Trade cancellation confirmation, 3.secl.003.001.02 – List of trades, 4.secl.004.001.02 – List of clearing positions, 5.secl.010.001.02 – List of settlement debits 6.sese.sts.002.01 – Trade acceptance or cancellation message 7.camt.smt.001.02 – Cash clearing balances 8.semt.ssf.001.01 – Securities flow report at trade date Day T+3 settlement date 1.camt.smt.001.02 – Cash settlement statement, 2.semt.smt.001.02 – Account statement, 3.sese.sts.001.03 – Settlement instruction status. 8
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Comparison of Messages Messages sent on-line to KDPW_CCP Participants following receipt of information from the markets. Native KDPW_CCP XML messagesISO 20022 messages sese.sts.002.01 – trade acceptance or cancellation message secl.001.001.02 – trade acceptance confirmation secl.002.001.02 – trade cancellation confirmation 9
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Comparison of Messages Native KDPW_CCP XML messagesISO 20022 messages semt.ssf.001.01 – securities flow report at trade date secl.003.001.02 – list of trades (message generated after the closing of KDPW_CCP clearing session, contains a list of trades for the date) secl.004.001.02 – list of net clearing positions (contains a list of aggregated net clearing positions arising from trades for the day) 10
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Comparison of Messages Native KDPW_CCP XML messagesISO 20022 messages camt.smt.001.02 – cash clearing balances (contains a list of cash debits and credits from clearing) secl.010.001.02 – list of settlement debits (contains a list of settlement debits and credits of the clearing member) 11
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Comparison of Messages * New messages introduced with securities netting Native KDPW_CCP XML messagesISO 20022 messages Nonesecl.007.001.02 * - securities buy-back message (report sent to participants before the date of initiating the securities buy-back procedure) secl.009.001.02 * - trade confirmation (message sent after closing a securities buy-back) 12
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Netting Mechanism under T2S Assumptions* * T2S (TARGET2-Securities) – a project aiming to develop a single platform T2S – enabling the settlement of securities trades in Europe. The implementation of the project is scheduled for 2008-2016. 13
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Netting_Project Phase 2 Generating netted settlement instructions Modifications to clearing account opening message New KDPW_CCP messages: secl.007.001.02, secl.009.001.02 New KDPW messages: analytical report for netted settlement instructions Acceptance tests with KDPW_CCP and KDPW participants: Q4 2013 – Q1 2014 Recommended test set Roll-out: Q1 2014 14
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Netting Examples 15 Settlement instructionAnalytical description for the settlement instruction Diagram of Settlement with Securities Netting Statement for settlement instruction o/o + analytical report for settlement instruction: 31 (60), 11 (23), 3 (7), 25 (50), 20 (40)
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Netting Examples 16 Diagram of Settlement with Securities Netting Settlement instructionAnalytical description for the settlement instruction Statement for settlement instruction 20/40 + analytical report for settlement instruction: 31 (60), 11 (23), 3 (7), 25 (50)
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Netting Examples 17 Diagram of Settlement with Securities Netting Settlement instructionAnalytical description for the settlement instruction Statement for settlement instruction o/o + analytical report for settlement instruction: 10 (50), 10 (50), 20 (100) Analytical report of suspension of settlement: 20 (89), 5 (10), 0 (1) suspension
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Netting Examples 18 Diagram of Settlement with Securities Netting Settlement instructionAnalytical description for the settlement instruction Statement for settlement instruction o/o + analytical report for settlement instruction: 6 (10), 11 (23), 3 (7), 20 (40) Analytical report of suspension of settlement: 25 (50) suspension
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Netting Examples 19 Diagram of Settlement with Securities Netting Settlement instructionAnalytical description for the settlement instruction Statement for settlement instruction 150 (75) + analytical report for settlement instruction: 170 (85), 20 (10) Analytical report of suspension of settlement: 50 (25) suspension PS
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NETTING_Settlement Instructions No.DescriptionSecuritiesCash 1.Delivery versus payment (DvP)DeliveryReceipt 2.Receipt versus payment (RvP)ReceiptDelivery 3.Delivery free of payment (DFP)DeliveryNet to 0 4.Receipt free of payment (RFP)ReceiptNet to 0 5.Cash payment (CPO)Net to 0Delivery 6.Cash receipt (CRO)Net to 0Receipt 7.Delivery with payment (DWP)Delivery 8.Receipt with payment (RWP)Receipt 9.Zero settlementNet to 0 20
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New Messages Available on Project Implementation KDPW_CCP ParticipantKDPW Participant Day T+3 settlement date 1.Analytical report for netted settlement instructions – trade settlement or suspension message (analytical description for settlement instruction). BISO repurchase date 1.secl.007.001.02 – securities buy-back message, 2.secl.009.001.02 – securiies buy-back confirmation. 21
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Analytical Report for Netted Settlement Instructions Analytical reports for netted settlement instructions sent to SA will contain in particular the following details: Registration record identifier; Market trade identifier; Settlement instruction identifier; Settled part volume/value; Trade direction (DT, CT). 22
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Q&A Thank you Discussion Contact: ccp@kdpw.pl Visit the website: www.kdpwccp.pl 23
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