Settlement processing at Easter and 1 May in 2018

06.02.2018

Clearstream Banking AG, Frankfurt1 informs customers about the securities settlement activities on the public holidays Good Friday, 30 March, Easter Monday, 2 April and 1 May 2018.

On these days, the TARGET2-Cash (T2) system will be closed, whereas TARGET2-Securities (T2S) will be open for free of payment settlement activities, only. The settlement procedure will be conducted similarly to the T2S processing in 20172. CBF requests customers who maintain delivery against / with payment (DwP, DvP3) instructions to be prepared for a particular liquidity management procedure related to these public holidays.

The further harmonisation of the securities and cash settlement procedure will be continued by the Eurosystem and the involved parties, which are the National Central Banks (NCBs) and the T2S In-CSDs. CBF will inform customers about the progress and potential modifications.

General framework

Based on the specifications provided by the ECB, T2S will be open for settlement of free of payment (FoP) instructions on the public holidays Good Friday, 30 March, Easter Monday, 2 April and 1 May 2018. The T2S connectivity channels for T2S In-CSDs and customers acting in DCP mode will be available. Instructions can be sent to the T2S settlement platform and T2S will provide the reporting according to the T2S Operational Day.

On Good Friday, 30 March, Easter Monday, 2 April and 1 May 2018, all CBF systems will be available for customers. In the same manner as in 2017, CBF’s real-time and standard reporting will be provided. Delivery against / with payment instructions (DvP) in EUR for ISINs in collective safe custody (CSC) will not be executed as TARGET2-Cash (T2) is closed on this processing day. Therefore, T2S will reject DvP instructions that indicate an Intended Settlement Date (ISD) of one of these public holidays. T2S will transmit the rejection code “MVSD403 – The Intended Settlement Date of the Settlement Instruction against payment is not a T2S Settlement Date for the Currency”. DvP instructions submitted to CBF will be rejected, also. The error message “KV6128F The settlement day is not a business day in TARGET2/ T2S” will be shown to customers. As T2 will be closed and DvP instructions cannot be settled, the T2S Auto-Collateralisation functionality will not be executed.

CBF will be open for FoP settlement. As Clearstream Banking S.A., Luxembourg (CBL) will also be open on these public holidays, there can be settlement of DvP instructions in non-EUR currencies and/or in ISINs in non-collective safe custody (NCSC). In respect of other CSDs customers might check the information provided by them. Customers are recommended to check with their counterparties on the settlement conditions.

The following sections provide the details for the CBF services:

  • Liquidity management activities;
  • Processing of settlement instructions in the domestic market;
  • Processing of settlement instructions with CBF cross-border markets;
  • Processing of settlement instructions with CBL;
  • Custody processing;
  • Collateral management services (Xemac®);
  • Lending management services (LMS);
  • CBF applications and reporting;
  • Processing with stock exchange locations / service providers;
  • Availability of Client Services.

Liquidity management activities

In general, the procedures outlined in 20172 remain valid. T2S and CBF will provide cash forecast reporting as usual on business days. Customers can retrieve the CBF Cash Forecast via the CASCADE Online functionality (TRAN: KUCF, FC: CF). Due to the closing of TARGET2-Cash (T2) the content of the cash forecast cannot provide the totals requested for the day after the public holiday. For this reason, CBF recommends customers to review the liquidity needs for the respective settlement days on the basis of the cash forecast and determine the liquidity requirements. Below customers will find the generic approach related to content of the CBF Cash Forecast reporting:

  • On Maundy Thursday and the business day before 1 May, the current day T2S cash forecast (“Abwicklung Pending”) will cover pending DvP instructions with an ISD before the public holidays.
  • Easter holidays and 1 May 2018 are no cash settlement days. Therefore, no T2S figures for the respective day will be available in the following day T2S Cash Forecast (“Abwicklung nächster Tag”). Independent from T2S and T2, the CBF Cash Forecast will already consider the CBF custody payments and instructions from Eurex Clearing AG for 3 April or 2 May 2018. Hence, the amounts in the cash forecast reporting can change if DvP instructions are newly entered or cancelled during the public holidays.
  • On Easter Monday and 1 May 2018 the current day T2S Cash Forecast (“Abwicklung Pending”) will cover pending DvP instructions with an ISD before 3 April 2018 / 2 May 2018. This amount might change from the previous reporting as outlined above.
    The following day T2S Cash Forecast (“Abwicklung nächster Tag”) will cover pending DvP instructions with ISD 3 April 2018 or 2 May 2018.
    The CBF Cash Forecast will still show the CBF custody payments and instructions from Eurex Clearing AG on the business day before the public holiday. The CBF cash forecast reported on 2 April 2018 and 1 May 2018 shows all figures.

According to the CBF cash management service, for the business day after a public holiday existing standing orders will be considered by CBF. The predefined values will be used to generate a liquidity transfer based on the cash forecast before the public holiday. Hence, CBF customers using a standing order based on the CBF Cash Forecast must either enter a single liquidity transfer on their demand via the CBF CASCADE Online functionality (TRAN: KNEE, FC: EL) or use the functionality provided by their National Central Bank (NCB)

CBF will initiate the liquidity transfer requests towards T2 during the end of day processing on 29 March / on 30 April 2018. In T2 the liquidity transfers will be executed on the value day 3 April 2018 or 2 May 2018 and posted on the related business day in T2S. The respective NCB will manage the liquidity injections towards the related T2S Dedicated Cash Account (DCA) according to their processing timelines. 

Processing of settlement instructions in the domestic market

In line with T2S Operational Day schedule, CBF will be open for FoP settlement activities during the public holidays outlined in this announcement. The related settlement reporting will be delivered, too.

CBF instruction types that are designed for FoP can be transmitted in ICP or DCP mode. CBF supports, for example, transfers to the German Federal Debt Administration (AA03), usage of pledge instructions (AA04 / 05), GBC instructions (AA07 / 09) and bond stripping (AA14 / 15).

The CASCADE Registered Shares functionality for registration and de-registration will also be available. CBF informed the registrars about the holidays in 2018 and expects that – like in the past - responses and feedback for such instructions will be given in time.

Physical deliveries of securities as well as deposit and withdrawal instructions (AA16 / 18) will not be processed. During the Easter holidays and on 1 May 2018 the securities counter for physical deliveries of securities will be closed. However, the Electronic Documentation Transmission (EDT) portal for the various EDT services will be technically available for uploads and CSV file transfers, but no processing and consequently no admission to CSC will take place. With regard to the value dates and submission deadlines for issuance instructions Announcement D17064, dated 9 November 2017, was published by CBF’s New Issues team.

Please note that neither CASCADE nor T2S will allow to store the value date Good Friday, Easter Monday or 1 May 2018 as Intended Settlement Date (ISD) in DvP instructions. Such instructions entered in ICP mode will be rejected by CASCADE with the error message “KV6128F Settlement-Day ist kein T2- / T2S-Business-Day // The settlement day is not a business day in TARGET2 / T2S”. Hence the instructions will not be forwarded to T2S. Customers acting in DCP will receive the rejection from T2S “MVSD403 – The Intended Settlement Date of the Settlement Instruction against payment is not a T2S Settlement Date for the Currency”.

Processing of settlement instructions with CBF cross-border markets

Some T2S In-CSDs might be open and will conduct their FoP settlement activities. Settlement instructions – even though transmitted in the past - with an ISD before the public holiday will be blocked for settlement until the day after the public holiday. For T2S In-CSDs the result of a settlement attempt or of the instruction revalidation procedure will be reported with “SXAA0nn - Settlement instruction is not settled because of an intraday restriction (…)” by T2S, that is, the instruction remains pending.

Customers can transmit FoP and DvP instructions to the above-mentioned cross-border markets during these public holidays. However, the ISD must be different to Good Friday, Easter Monday and 1 May 2018. If the counterparty instruction is available on T2S, matching will occur and the reporting will be provided upon the defined subscription rights from T2S.

Please note that CBF counterparties acting in ICP mode in closed cross-border markets might not receive allegement information via their CSD during the public holidays as their settlement and reporting procedures will not be available. This is different for counterparties acting in DCP mode. They can receive the regular T2S reporting according to their subscription rights.

Processing of settlement instructions with CBL

CBF will be open for OTC and stock exchange instructions in NCSC securities. These instructions can be settled via the Creation platform on Good Friday, Easter Monday and 1 May 2018.

The Creation platform will be open to settle DvP instructions of CSC and NCSC ISINs in foreign currencies based on the regular service levels. The securities leg of CSC ISINs will settle on T2S as T2S conducts for such instructions an FoP settlement procedure even though the instructions are entered as DvP instructions in CASCADE.

Custody processing

CBF will conduct custody processing according to the “KADI event schedule”. Announced events with an entitlement date on Good Friday, Easter Monday and 1 May 2018 will be executed. In general, the securities leg will settle on the value date at T2S as CBF generates its corporate actions instructions (AA01 and AA13) as FoP only. The cash leg will not settle until 3 April 2018 or 2 May 2018 using CBF’s cash processing cycle “DD1”, because TARGET2-Cash (T2) is closed during the public holidays. CBF will transmit the corporate actions confirmation (MT566) as soon as T2S or T2 provide the settlement results.

The procedures for the processing of dividend payments, which came effective with the introduction of the record date on 1 January 2017, and the standards defined by the T2S Corporate Actions Sub-group (CASG), are also valid on public holidays. The following rules apply:

  • Under the terms of the German Stock Corporation Act (Aktiengesetz; AktG), the payment date is not earlier than the third business day (according to the T2 calendar) after an Annual General Meeting.
  • The ex-date is on the business day (T2S settlement date) immediately after the day of the Annual General Meeting.
  • The record date is two business days (T2 calendar) after the Annual General Meeting, so that all cum trades settled within the T+2 period are included in the record date position.

Segregated positions from cross shareholding are only excluded from the event processing, if they are held on the CASCADE sub-account "xxxx 650" at the end of the day of the record date.

The table below provides an overview of security and cash processing resulting from custody processing on T2S and T2 that are created by the “KADI event schedule”.

Overview Custody Processing at Easter and 1 May 2018

Event typeSecurity leg Cash leg Comment

Interest
for Bund Payment

Not applicable

Via T2S PFoD; settlement date is
3 April 2018 /
2 May 2018

Processing will be executed during the NTP

Redemption
for Bund Payment

On value date

Via T2S PFoD; settlement date is
3 April 2018 /
2 May 2018

Processing will be executed during the NTP

Interest
for corporate bonds or dividend payments in Euro

Not applicable

Via CBF DD1
value date is
3 April 2018 /
2 May 2018

-

Redemption
for corporate bonds in Euro

On value date

Via CBF DD1
value date is
3 April 2018 /
2 May 2018

-

Interest
for corporate bonds or dividend payments in foreign currency

Not applicable

Via Creation on value date

-

Redemption for corporate bonds in foreign currency

On value date

Via Creation on value date

-

Non-income events
without cash compensation

On value date

Not applicable

-

Non-income events
with cash compensation

On value date

Via CBF DD1
value date is
3 April 2018 /
2 May 2018

-

Market Claims/ Transformation for pending settlement instructions

Based on pending instruction related to the event

If applicable via CBF DD1
value date is
3 April 2018 /
2 May 2018

Upon successful settlement on Good Friday / Easter Monday respectively 1 May 

With regard to the TEFRA D certification period, at the end of the 40 days the positions will be moved into the respective CBF sub-account (xxxx 671). This procedure will be applicable during the Easter holidays, too.

For all CBF-eligible ISINs issued by ESES, LuxCSD or Monte Titoli that are held in collective safe custody (CSC) and are part of the OneClearstream service offering, the cash leg of a custody event will be processed via T2S using DvP / PFoD4  instructions. This means, that if the expected value date is Good Friday or Easter Monday, the payment will be initiated with the Intended Settlement Date (ISD) 3 April 2018 and for 1 May 2018 the ISD will be set to 2 May 2018.

Collateral management services (Xemac®)

CBF collateral management services will be available on these public holidays. As T2S supports FoP settlement, CBF customers can maintain their collateral holdings, that is, transfers of positions into and out of the Xemac pool are possible. Also, substitutions can occur. The Xemac reporting will be transmitted as for any other regular business day.

For the calculation of the collateral value, Xemac will use the price files provided on Maundy Thursday 2018 and the business day before 1 May 2018 respectively. Hence, the collateral value can only be impacted by an update of the underlying securities static data. An already allocated security can become invalid. Customers should be prepared to have sufficient securities in their collateral pool.

As claim amount changes in Xemac in favour of Deutsche Bundesbank will neither be considered by Bundesbank nor TARGET2-Cash (T2) on Good Friday, Easter Monday and 1 May 2018, CBF recommends that customers do not initiate such changes on these days. Customers should consider that a reduction of the claim amount towards the Bundesbank cannot be executed and will be rejected.

CBF likewise recommends customers to leave claim amounts in favour of Eurex Clearing AG unchanged. On these public holidays Eurex Clearing AG will not process any instructions. For more details please refer to the CCP processing calendar provided by Eurex Clearing AG.

Lending management services (LMS)

Lending services will be supported on these public holidays. That is, the respective business cases are processed as FoP instructions using the instruction types AA11 / 12.

Similar to the processing in Xemac (please see previous section), no updated price files will be available, but the underlying securities static data can change. In case the collateral value decreases, customers need to be prepared.

CBF applications and reporting

On the public holidays mentioned in this announcement, all CBF systems including the CASCADE Online functionality (HOST / PC) will be available for customers.

The CBF real-time and standard settlement reporting will be provided according to the existing CBF business day schedule. Customers who subscribed to an empty file reporting will receive such files.

Processing with stock exchange locations / service providers

Similar to the procedures in 2017, CBF informed the stock exchanges, their service providers and Eurex Clearing AG about the T2S and T2 processing on the public holidays for Easter and 1 May 2018.

The table below gives an overview related to the processing of stock exchange (SE) settlement instructions in line with the T2S specifications and Clearstream service levels. This table has been designed for CBF’s migration to T2S and remains valid in 2018 unless otherwise agreed by the stock exchanges and their service providers. 

Overview Processing Days during Easter

To enlarge click on the image

For non-CCP trades it has been agreed with BrainTrade Gesellschaft für Börsensysteme mbH, Tradegate Exchange, Xitaro  (Börse Stuttgart) and Xetra (Börse Frankfurt) that the above-mentioned rules are generally applicable for their settlement instructions on the public holidays outlined in this announcement. As in 2017, the stock exchanges plan not to use the public holidays for settlement regardless of the security type and currency. Further information might be provided by the stock exchange locations and service providers. Customers are recommended to check potential additional information provided by these third parties.

In LION instructions the Intended Settlement Date (ISD) might be indicated with “Festvaluta” (fixed value date), if advised by the trading system. For non-CCP instructions that will be provided for XETRA 2 (XFRA) trades this approach will be used. Stock exchange transactions that are processed via Eurex Clearing AG will follow the CCP processing calendar. On Good Friday, Easter Monday and 1 May 2018 the clearing system is closed and no instructions are provided to the linked settlement systems.

Customer simulation

The T2S Service Desk informed the T2S In-CSDs that the public holiday processing will be tested on 1 March 2018 in the T2S Pre-Production environment (UTEST). In line with the procedures that will be conducted in production, the UTEST environment will be open on this test day for FoP instructions, only. The TARGET2-Cash test environment (T2 CUST) system will be closed.

On 1 March 2018, the CBF customer simulation environment (IMS23) will be available and execute procedures as on any other testing day. The connectivity to UTEST and T2 CUST remains unchanged. The processing results provided by these test environments will be passed on to our customers.

The CBF customer simulation environment (IMS23) will not be accessible from 27 March to 4 April 2018. During this period, no instructions can be transmitted in the IMS23. For further processing with UTEST, this means that no instructions can be sent by or received from CBF. Additionally, the T2S Service Desk announced, that UTEST will be closed during the Easter holidays. The environment will not be available on Maundy Thursday, 29 March, Good Friday, 30 March and Easter Monday, 2 April 2018.

Availability of Client Services on public holidays

On Good Friday, 30 March, Easter Monday, 2 April and 1 May 2018, the Clearstream Client Services teams can be reached during their regular service times. 

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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.
2. Please refer to Announcement D17022, dated 4 April 2017.
3. DvP stands for Delivery versus Payment, Receive versus Payment, Delivery with Payment and Receipt with Payment instructions.
4. PFoD = Settlement type transferring cash only on T2S platform (Payment Free of Delivery)