SOB AND ESES STREAM 3
LAUNCH STRATEGY and
TESTING APPROACH at the clearing level
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1
Principles of SOB & ESES stream 3
Reminder : 1 Security 1 market of reference
1 CSD of reference
SOB : no more multi trading (on FR, NL and BE)
1 market of reference per security single identification
ESES : ceasing of legacy system (ENL & EBE)
= 1 settlement platform for Nyse Euronext markets (Paris,
Brussels, Amsterdam)
= 1 single CSD of reference per ISIN
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2
SOB/ESES stream 3 – Overview
Tuesday
Wednesday
SOB – 1j
SOB
Thursday
Friday
ESES - 2j
ESES – 1j
End of
day
Referential
update from
Nyse Euronext
Sat/Sunday
ESES
switch over
Monday
ESES
Go from
Euroclear
Fails positions
+ positions to
be settled until
ESES-1 will be
sent to the
previous CSD.
New positions
after SOB
release, will be
sent to ESES
platform from
Monday
following the Go
live
End
of
day
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3
Activation of account
structures
Referential update from
Nyse Euronext (CSD of
reference).
Suspension of the buyin procedure for fails
positions (Euronext
markets)
Currency conversion on
fails positions
Fails transfers
First day in
full ESES and
SOB
Fails positions management
“Launch” book entry principles
FAILS TRANSFERS
MANAGEMENT
LCH.Clearnet will generate dedicated “launch book entry”
to track fails positions transfer
Cancel the fail position recorded in the former DA:
book entry type : LDE (launch delete) + Book entry comment
Create the fail position in the new DA* :
book entry type : LCR (launch creation) + Book entry comment
Track the transfer of fails positions reported in the SIF file:
Record 50 (LDE)
Record 40 (LCR)
Order of fails conversions and transfers:
1.
Currency conversion
2.
Transfer to market of reference
3.
Transfer for change of DA (specific to a member)
4.
Transfer for UNT/FMT quantity type change
5.
Transfer for change of CSD of reference
*default DA or DA designated by the Member
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4
Fails positions management
“Launch” book entries comments
Securities with a change of their original currency to €
LDE “CUR TRF-DEL- <Payment currency><Currency rate>”
LCR “CUR TRF-CRE- <Payment currency><Currency rate>”
Multi-traded securities that become single traded with SOB
LDE “SOB TRF-DEL- <ISIN>”
LCR “SOB TRF-CRE- <ISIN>”
Transfer of DA on Member’s request
LDE “DA TRF-DEL- <CMF>”
LCR “DA TRF-CRE- <CMF>”
Securities with a change of quantity unit UNT<->FMT
LDE “UNT/FMT TRF-DEL- <Lot size>”
LCR “UNT/FMT TRF-CRE- <Lot size>”
Securities with a change of CSD of reference
LDE “CSD TRF-DEL- <Delivery account>”
LCR “CSD TRF-CRE- <Delivery account>”
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Example 1: FR000123456 single traded in Paris
(1/2)
FR000123456 will not be traded anymore in Brussels and Amsterdam Market Places
Market of reference is Paris market place and CSD of reference is Euroclear France
PARIS
BEFORE
BRUXELLES
NSCBE0123456
AMSTERDAM
TRADING
FR000123456
NSCNL0123456
POSITIONS
Trading code
ISIN code
Trading code
ISIN code
Trading code
ISIN code
FR000123456
FR000123456
NSCBE0123456
FR000123456
NSCNL0123456
FR000123456
SOB
In CCP
AFTER SOB
&
BEFORE ESES
Tuesday end of
day
Friday
TRADING
FR 000123456
POSITIONS
Trading code
ISIN code
Trading code
ISIN code
Trading code
ISIN code
FR000123456
FR000123456
NSCBE0123456
FR000123456
NSCNL0123456
FR000123456
In CCP
FAILS POSITIONS+ POSITIONS TO BE SETTLED UNTIL FRIDAY
AT ESES
Friday end of day
Transfer of positions
SWITCH OVER
Transfer of positions
AFTER
ESES
From
Monday
TRADING
FR000123456
POSITIONS
Trading code
ISIN code
FR000123456
FR000123456
In CCP
FAILS POSITIONS + NEW POSITIONS TO BE
SETTLED
Example 1: FR000123456 single traded in Paris
Resulting content of the SIF files
(2/2)
Example 2: US000123456 single traded in Paris in Euro
(1/2)
US000123456 will not be traded anymore in Amsterdam Market Place
Market of reference is Paris market place and CSD of reference is Euroclear France
PARIS
BEFORE
AMSTERDAM
€ EUR €
$ USD $
TRADING
NSCFR0123456
POSITIONS
Trading code
ISIN code
Trading code
ISIN code
NSCFR0123456
US000123456
US000123456
US000123456
Trading code
ISIN code
US000123456
US000123456
US000123456
SOB
In CCP
AFTER SOB
&
BEFORE ESES
Tuesday end of
day
Friday
€ EUR €
TRADING
NSCFR0123456
POSITIONS
Trading code
ISIN code
NSCFR0123456
US000123456
In CCP
FAILS POSITIONS+ POSITIONS TO BE
SETTLED UNTIL FRIDAY
Friday end of day
2 Transfer
of positions
AT ESES SWITCH OVER
TRADING
NSCFR0123456
AFTER ESES
POSITIONS
Trading code
ISIN code
From Monday
In CCP
NSCFR0123456
US000123456
€ EUR €
FAILS POSITIONS + NEW POSITIONS TO BE SETTLED
€ EUR €
1 Currency
conversion
$ USD $
Example 2: US000123456 single traded in Paris in Euro
(2/2)
Resulting content of the SIF files
Example 3: NL000123456 single traded in Amsterdam in
FMT (1/2)
NL000123456 will not be traded anymore in Paris Market Place
Market of reference is Amsterdam market place and CSD of reference is Euroclear Netherlands
PARIS
BEFORE
TRADING
NSCFR0123456
POSITIONS
AMSTERDAM
UNT
NL000123456
Trading code
ISIN code
Trading code
ISIN code
NSCFR0123456
NL000123456
NL000123456
NL000123456
FMT
SOB
In CCP
AFTER SOB
&
BEFORE ESES
Tuesday end of
day
Friday
TRADING
TRADING
POSITIONS
NL000123456
Trading code
ISIN code
Trading code
ISIN code
NSCFR0123456
NL000123456
NL000123456
NL000123456
In CCP
FAILS POSITIONS+ POSITIONS TO BE
SETTLED UNTIL FRIDAY
Friday end of day
AT ESES SWITCH OVER
UNT
Transfer of
positions
FMT
TRADING
NL000123456
AFTER ESES
POSITIONS
Trading code
ISIN code
From Monday
In CCP
NL000123456
NL000123456
FMT
FAILS POSITIONS + NEW POSITIONS TO BE SETTLED
Example 3: NL000123456 single traded in Amsterdam in
FMT (2/2)
Resulting content of the SIF files
The nominal of the bond is 1000€
Example 4: ANN00123456 single traded in Paris with
Euroclear Netherlands as CSD of reference
ANN00123456 will not be traded anymore in Brussels and Amsterdam Market Places
Market of reference is Paris market place and CSD of reference is Euroclear
Netherlands
Resulting content of the SIF files
Example 5: Change of DA on Member’s request
A Member asked to transfer all its fails positions from DAFR1 to DAFR2 on the Paris
clearing segment
A transfer of position related to a change of market of reference is directly done on the
target delivery account DAFR2
Resulting content of the SIF files
ESES stream 3 – Reminder on account structure in the CCP
system
1.
Clearing members have to send their clearing Extension Membership to
LCH.Clearnet.
2.
Clearing members have to provide their settlement solution for each
clearing segment to allow LCH Clearnet to open at least one Delivery
account per CSD of reference
Member may choose among these possibilities:
an operational facility open in ESES
an account open in Euroclear bank
a settlement agent participant of ESES or Euroclear bank
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14
ESES : Codification of Delivery Account
French Cl.Segt
CSD code
CMF
= CM
&/or CMF
= CSD participant
Dutch Cl. Segt
= SA
CMF
≠ CSD participant
= CM
&/or
= SA
CMF
≠ CSD participant
= CSD participant
DA codification
CMF
Belgian Cl. Segt
= CM
&/or CMF
= CSD participant
DA codification
= SA
≠ CSD participant
DA codification
= EFF
FREFFxxxxxCM001
FREFFxxxxxSA001
NLEFFxxxxxCM001
NLEFFxxxxxSA001
BEEFFxxxxxCM001
BEEFFxxxxxSA001
= ENL
FRENLxxxxxCM001
FRENLxxxxxSA001
NLENLxxxxxCM001
NLENLxxxxxSA001
BEENLxxxxxCM001
BEENLxxxxxSA001
= EBE
FRCIKxxxxxCM001
FRCIKxxxxxSA001
NLCIKxxxxxCM001
NLCIKxxxxxSA001
BECIKxxxxxCM001
BECIKxxxxxSA001
= EBB
FREBBxxxxxCM001
FREBBxxxxxSA001
NLEBBxxxxxCM001
NLEBBxxxxxSA001
BEEBBxxxxxCM001
BEEBBxxxxxSA001
= EFF (Euroclear France)
CM = CMF is CSD participant and settle its
positions
= ENL (Euroclear
Netherlands)
SA
= CIK (Euroclear Belgium)
= CMF delegates its settlement to another
CSD participant to settle its positions
= EBB (Euroclear Bank)
FR EFF xxxxx CM 001
= FR (French segment)
= NL (Dutch segment)
= CMF code (5 digits)
created in the segment
= BE (Belgian segment)
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= 3 digits used to designate the number of DA
15
LCH.Clearnet testing approach
TESTING PLAN
Free testing mode (1/2)
Prepare the launch rehearsals with a sample of securities for scripted tests
Order entry in free mode at TMF levels + exceptional support from NYSE
Euronext on request
NYSE Euronext will assure liquidity at the end of the day
Mono and Multi listed securities with balances initialised at CSDs:
Zero
Get fails
Predefined values
Get positions settled
Launch
rehe
MANDA arsals
T OR Y
4 monitored test cases to assure fails conversions/transfers at the ESES
switch over
4 Monitored tests
LCH.Clearnet’s support to prepare launch rehearsals
Test cases of fails conversion and transfers covered (previous examples 1 to 4)
Sets of multi-listed securities dedicated
Balances set-up to zero at the CSDs
Trades injected at the clearing level per Member and per test case:
1 trade one week before launch on “detraded” securities
1 trade at the launch day of SOB on the markets of reference
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check CNS process
after transfers
Testing approach
Free testing mode (2/2)
Check the changes of the account structures on the 3 Clearing segments
Succeed the launch rehearsals
Integration of fails position transfers
Validation of the 4 monitored tests cases
Validation of the acount structures
Check corporate events regularisations (change of order of date for payments on the
Belgium market)
Limits
No trades or positions captured from the production environment
Launch rehearsal preparation not requested before July
TMF dummy codes not allowed in the account structures
Trades injections at the clearing levels limited to the 4 monitored tests only
No margin calls and fees tests
No performance or volume tests
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Questions
Is this proposition of testing plan answers your expectations?
Foreign currencies phase 2 (Dutch securities) should launch before ESES stream 3 on
Member’s request
LCH.Clearnet’s proposition: Could we launch this project one month before ESES stream 3
To be studied: LCH.Clearnet would suggest to create a new set of Delivery Accounts
names for the target account structures on the 3 clearing segments
To mitigate account structures changes
To secure parameterisation in advance at LCH.Clearnet’s level
May be also to help Member’s to secure their internals processes …
Is the impact manageable ? (Answer expected in the coming days)
As ESES stream 3 have some impact on Derivatives (to be presented very soon)
Are you the LCH.Clearnet’s contact for this impact?
What is your recommendation to address this point?
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