Processing of non-CCP stock exchange trades for not issued securities

20.02.2017

Clearstream Banking AG, Frankfurt1 would like to inform its customers about an enhancement for the processing of non-CCP stock exchange trades (CASCADE-LION instructions) if instructions have been rejected by TARGET2-Securities (T2S) due to missing or inconsistent static data.

With the implementation of the new functionality CBF will resend CASCADE-LION instructions which were rejected by the T2S platform.

For OTC instructions the existing procedure will remain unchanged and customers can decide whether they would like to reinstruct.

Background

As a prerequisite for the instruction management on T2S all underlying static data has to be introduced before T2S will accept settlement instructions. If static data for parties, accounts or ISIN is not available, all instructions presented to T2S will be immediately rejected.

For securities in collective safe custody, non-CCP stock exchange trades are received by CBF from the stock exchange systems on trade date (usually by 22:00) and will be forwarded towards the end of the T2S Night-Time Settlement (NTS).

After the launch of T2S Wave 4, T2S rejected a number of CASCADE-LION instructions. This was due to the fact that new issues admission procedure comprehending the population of the static data fields required by T2S was not completed by the time CBF transmitted such instructions. However, such instructions remain in the CBF instruction database (LION) as still valid. Customers have been informed accordingly via their established communication channels.

During the first week after CBF’s migration to T2S, an operational process was executed which allowed to resend preselected CASCADE-LION instructions to T2S.

Functional Solution

Automated Reinstruction Procedure

In a first step, on Tuesday, 14 February 2017, an automated procedure was installed in the CBF production environment. This solution ensures that CBF will resend CASCADE-LION instructions which were rejected by T2S platform after the migration to T2S on 6 February 2017.

CBF will execute the reinstruction procedure once a business day at around 14:30. This reinjection run will check the current “Hold/Release Status” of the underlying instruction. The instruction towards T2S will be setup accordingly.

This solution covers any CASCADE-LION instruction regardless of the rejection reason. The reinstruction procedure will be applicable as long as the instruction is pending and T2S reports an error.

Today’s cancellation procedure will not be changed for the reinstruction procedure, that is, customers and their counterparties can provide at any time their cancellation request and avoid a further reinstruction. Customers will receive the status reporting in ICP and DCP mode according to the subscription.

A list of the relevant T2S error codes can be found in the appendix. If the new issuance procedure for the underlying security (ISIN) is still not completed, T2S will reject such instructions as long as the ISIN has not been introduced to T2S. These instructions will be rejected with the error code MVCV205 “The ISIN code indicated in the settlement instruction does not exist in T2S”. Hence, it is important that issuers and issuer agents take the new procedures consideration. In the appendix the deadlines for the submission of new issues have been added.

T2S expects a new T2S Actor Reference for each new settlement instruction. This number has to be unique for at least three months. Therefore, each time the reinstruction procedure will apply a new reference will be created by CBF towards T2S. If the instruction needs to be resent more than once, the T2S Actor Reference will always be newly created. T2S will provide the “Market Infra-structure Transaction ID (MITI)” only when the instruction has been accepted. All other existing references of a CASCADE-LION instruction will be reused.

Hold / Release Procedure

The second step will be introduced on Monday, 20 February 2017. This step considers the processing of the Hold/Release indicator for CASCADE-LION instructions.

  • CBF will support customers acting in ICP mode to transmit “Hold/Release” messages for rejected CASCADE-LION instructions anytime via the Straight-Through-Processing channels (SWIFT, MQSeries, File Transfer). CBF will update the internal instruction database and maintain the CASCADE-LION instruction so that with the next reinstruction run (at around 14:30) the latest hold/release status is presented to T2S.
    Please note that these procedures apply only if the CASCADE-LION instruction was already received from the stock exchange systems for NTS processing. Messages referring to instructions provided during the trade date – and so far unknown in the CBF instruction database – will be queued.
    or
  • CBF will send such modification request in real-time mode towards T2S, once the instruction has been accepted by T2S. Please note that CBF will reject modification requests, once the instruction has been rejected by T2S.

Customers using the CASCADE Online Functionality (HOST/PC) can modify the Hold/Release status once the CASCADE-LION instruction has been accepted/successfully stored in T2S.

Error Codes considered for reinstruction procedure of CASCADE-LION instructions

T2S Error Code

T2S error code description

CBF comment

MVCA516

There is no default Credited T2S Dedicated Cash Account related to the Currency on the Settlement Date.

Customers are requested to check their static data setup.

MVCV205

The ISIN code indicated in the Settlement Instruction does not exist in T2S.

Reinstruction procedure will be executed until

  • The new issues procedure is completed.
  • The cancellation was initiated by customer and / or counterparty.

MVCV286

The Settlement Amount and Settlement Quantity are zero.

Customer and counterparty are requested to cancel the instruction.

MVIC309

The Issue Date of the Security is later than the Intended Settlement Date of the Settlement Instruction.

Reinstruction procedure will be executed until a cancellation was initiated by customer and / or counterparty.

MVIC311

The Maturity Date of the Security is earlier or equal than the Intended Settlement Date of the Settlement Instruction.

Customer and counterparty are requested to cancel the instruction.

MVIC313

The Maturity Date of the Security is earlier or equal than the Current Business Date.

Customer and counterparty are requested to cancel the instruction.

MVIC316

The ISIN Code of the already matched Settlement Instruction is not eligible for settlement in the delivering or receiving CSD.

Customers need to get in contact with the CBF Client Services Team.

MVSQ604

The Settlement Quantity of the Settlement Instruction is lower than the Minimum Settlement Unit.

Customers need to get in contact with the CBF Client Services Team.

MVSQ606

The Settlement Quantity of the Settlement Instruction is neither a multiple of Settlement Unit Multiple nor a Deviating Settlement Unit.

Customers need to get in contact with the CBF Client Services Team.

MVSQ612

The number of decimals of the Settlement Quantity (expressed in units) of the Settlement Instruction is greater than the number of decimals of the Settlement Multiple of the related Security.

Customers need to get in contact with the CBF Client Services Team.

Deadlines for deliveries for a guaranteed admission of a security on Value Date (VD)

  • For physical securities delivered via CBF’s Securities Counter and via EDT Lean: See deadlines for the various instrument types in CBF announcement D16029, (issued 1 July 2016).

  • For all EDT Services (except EDT Lean):

EDT Warrants & Certificates

Model

Submission Deadlines
(dependent on the customer status Premium or Classic)
at Value Date -1 CET

„Whole in one“

Classic: 13:00

Premium: 15:00

„Placeholder”

Classic: 13.00

Premium: 15:00

„Parent”

Classic: 13:00

Premium: 13:00

EDT Bonds

Model

Submission deadlines
(dependent on the customer status Premium or Classic)
at Value Date -1 CET

„Whole in one“

Classic / Premium 13:00

„Placeholder”

„Parent”

EDT Security Box

(Value Date refers here to the first possible trade date)

Model –
Pre-Admission

Submission deadlines
at Value Date -1 CET

„Whole in one“

15:00

„Placeholder”

15:00

„Parent”

13:00

Model –
Admission

Submission deadlines
at Trade date +1 CET

„Whole in one“

13:00

„Placeholder”

„Parent”

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1. This Announcement is published by Clearstream Banking AG (CBF), registered office at Mergenthalerallee 61, 65760 Eschborn, Germany, registered with the Commercial Register of the District Court in Frankfurt am Main, Germany, under number HRB 7500.