the move to t+3 - jse3... · training topic: content to be covered: time ... - overview of the...
TRANSCRIPT
2
Agenda – Module 1
Module 1
Training Topic: Content to be covered: Time
T3 Intro Why are we doing this / Benefits / Known areas of Concern etc. 20 mins
T3 Timeline Overview Overview of the new timeline / comparison to T5 timeline 20 mins
CA Timeline Overview Overview of the new timelines for the different CA classes 20 mins
BDA Timelines Overview Including treatment of JSE trustees etc. 20 mins
BDA Explanation of how the calculation of SFA's work 30 mins
Margins Explanation of the timing of commits and impact on margin flows 10 mins
Automations in BDA Prime Broking, Account Transfers, Entitlements (DL and Uploads), SLB uploads, SLB (automation of messages)
60 mins
3
Agenda – Module 2
Module 2
Training Topic: Content to be covered: Time
Fails Management
Explain the causes (and mitigations of ) of failed trades (all scenarios)
90 mins
From a Settlement Authority perspective- how to pick up problem instruments
SLB (Settlement Authority Point of View)
Terminating vs. Non-terminating transactions
Rolling vs. re-transaction vs. compensation
ECS / BDA Integration (ECS 34)
New ECS screens around fails management and rolling of settlement
Front end BDA – elections / Adjustment screens 10 mins
BDA 10: - Explain calculation of terminating vs. non-terminating (and handouts ) - ECS 31 and 32 - BDA diagrams which explain transactions (entries on BDA for fails management)
30 mins
Migration Schedule Overview
- Overview of the migration week schedule (Week before and Week after) - Known areas of concern - Mitigations to be put in place
15 mins
Other Functionality - New Status Intimations / Spreadsheets & Fractions / Freezing of Registers
Testing Testing process overview 15mins
4
Agenda
• Fails Management
• The causes (and mitigations of) failed trades
• Compulsory Reverse Substitution
• SLB (Settlement Authority Point of View)
• How to pick up problem instruments
• Terminating vs. Non-terminating transactions
• Rolling vs. re-transaction vs. compensation
• ECS / BDA Integration (ECS 34)
• New ECS screens around fails management and rolling of settlement
• Front end BDA – Elections / Adjustment screens
• BDA0010
5
• Clients Instructions - on-market and off-market
• SLBs not done pre-trade and then find out no SLB available
• Arbitrage transactions and movement of securities between registers
• Dual Listed Companies – freezing of registers
• SLB - Corporate Actions:
• New entitlements not being loaned out until PD
• SLB where the Corporate Action is complex
• SLB due to tax implications
Causes of Failed Trades
6
Compulsory Reverse Substitution
• Fails Management can be dealt with anywhere throughout the cycle – T to T+2
• Deals that are not covered
• Compulsory Reverse Substitution batch run at 16h00 on T+2.
• ECS will execute Compulsory Reverse Substitution for any problem deals which
are not covered and the Broker has not executed a Voluntary Reverse
Substitution.
• ECS generates Compulsory Reverse Substitution transactions for controlled client
deal sale allocations that are “uncovered” as per the ECS timelines, and are thus
at risk of not settling.
7
Compulsory Reverse Substitution (cont.)
• Compulsory Reverse Substitution
• Controlled Clients – sales
• Non-Controlled Clients – purchases and sales
• Purchases for controlled clients
• Reports sent to CSDPs on funding requirements (no cash available)
• If CSDP reports that they will not fund – broker will be instructed to reverse and
Failed Trade Management will be done
• Proprietary Account sales – monitored from BOD T+2 (SFAs sent from BDA at EOD
T+1)
8
Securities Lending & Borrowing (SLB) – Settlement Authority
• Securities Lending and Borrowing is still the first line of defence for the
market and Settlement Authority
• Broker still has to do SLB from 16h00 to 18h00 on T+2 – or earlier if VRS
• Settlement Authority acts as lender of last resort – and can only loan to
brokers for proprietary shorts which could as a result of a clients short
• If broker is aware of an issue – can advise the Settlement Authority from T –
Settlement Authority can do SLBs from T
• Settlement Authority takes over SLB from 08h00 to 10h00 on S (T+3)
9
Securities Lending & Borrowing (SLB) – Settlement Authority (cont.)
• Working with South African Securities Lending Association (SASLA) on
increasing liquidity
• Reg 28 (on pension funds) – allows lending to the JSE Settlement Authority
directly – still want to go through lending desks
• 600 to 800 loans per day – not enough staff or time in the day – early
detection is imperative
• Developing ECS to “publish” required securities to brokers
• Brokers can respond with amount/BDA acct no/lending rate – get client to sign
mandate
• ECS will automatically generate SLB messages
• Brokers can extract off ECS for upload to BDA for SLBs
10
ECS Screens – SAT lending and borrowing
• Automated lending and borrowing process (sourcing of securities)
• Partial borrowing on problem deals
600 SOL SAT borrow
Sale 2 000 AGL
1300 AGL SAT borrow
700 AGL FT
Sale 1 000 SOL 400 SOL ROS
11
Identifying Shorts - Problem Instruments
• Agreed with the market that Fails Management will only take place after
CRS:
• Back-To-Back Links and / or Dependency Links can be done until this time
• Deals can be reversed to stock accounts – final action Compulsory Reverse
Substitution (CRS)
• At 15h50 (before CRS) BDA sends last coverage (SFAs) for Controlled Client
deals – BDA0009C
• After CRS, BDA sends coverage(SFAs) for reversed deals to proprietary –
BDA0009P
• This forms the basis of the shorts in the market
12
Identifying Shorts - Problem Instruments (cont.)
• Brokers still have to do SLB until 18h00 on T+2 – if the problem instrument
has been identified. Settlement Authority can start the fails management
process. It is vital that SLB entries are done on BDA
• BDA sends SFAs at EOD T+2 for proprietary accounts – this is the final basis
of fails management on T+3
13
Identifying Problem Instruments
• The "Identify Problem Instruments screen" displays all problematic
instruments identified after the Compulsory Reverse Substitution (CRS) batch
run is completed. All deals that have 'no cover' or 'partial cover' are displayed
on the "Identify Problem Instruments screen”
• The user has two options :
• To notify the market of the problematic instruments by sending an automated
email message
• To inform the market that the problematic instruments have been resolved
16
Identify problem Instruments Fields
Field Name Description
Batch ID field This field displays a unique number that identifies a grouping of deals for the same problem instrument.
Alpha field This field displays the Alpha Code of the instrument.
ISIN Code field This field displays the ISIN Code of the instrument.
Settlement Date field
This field displays the Settlement Date. The Settlement Date defaults to the next Business Day, excluding weekends and public holidays.
Trade Type field This field displays the Trade Type. Refer to the "Trade Types" section for additional information.
Sent field This field displays the time that the message was sent to the relevant participants.
Received field This field displays the time that ECS received the terminating transaction message from BDA.
Completed field This field displays the time that the Failed Trade Process was completed for the problem instrument.
Status field
This field displays the status of the 'problem instrument'. One of the following statuses will be displayed:
Identified - This status indicates that ECS has identified all problem instruments.
Replaced - The batch, for the problematic instrument, has been replaced.
Completed - ECS has completed all processing for the selected batch.
Sent - ECS has notified the Market and BDA of the problem instrument.
Received - ECS has received the terminating transaction message from BDA.
Note: For additional information refer to the section "Statuses of a Problematic Instrument".
Select checkbox You would click the Select checkbox if you wish to notify the market of the problematic instrument, or you wish to inform the market that the problematic instrument has been resolved.
17
ECS Screens – Notifying the Market of FTMP
Sent = ECS0034 sent to BDA awaiting BDA0010
Received = BDA0010 received from BDA
• ECS0034 sent to BDA - Request for terminating and non-terminating transactions from BDA
• SWF598-116 sent to the CSDPs and Strate (List of problem instrument)
• Re-identify problem instrument (new batch id) = replaced
18
Message Instruction
• ECS0034 to BDA
• Generates BDA0010
• Stops all processing on BDA of the problem instrument only
• MT598-116
• Advising instrument with potential problems
• This could happen multiple times
• MT598-117
• Settlement orders selected for Failed Trade procedures
• Send to Strate and the applicable CSDP
• Strate will lift the commit based on this message and break links where applicable
• MT598-122 will be sent to cancel the order
• MT598-118
• Problem resolved
• ECS0035 message is sent to BDA
19
Notifying the market that a problematic instrument has been resolved
• Message sent to Strate and CSDP’s to inform them of the cancellation of the
problematic instrument
• An ECS0035 message is sent to BDA
• Status of the instrument will change to “COMPLETED”
20
Back-to-Back Links – MT 598-103
MT598-103
• Same settlement cycle
• Must include details of linked transactions:
• On-Market report only
• SLB
• Collateral
• Account Transfer
• Portfolio move
• SLB return
• Collateral return
• Off-markets
• Could be multiple links
21
Dependency Links – MT 598-104
MT598-104
• Future settlement cycle
• Must include details of linked transactions:
• On-Market report only
• SLB
• Collateral
• Account Transfer
• Portfolio move
• SLB return
• Collateral return
• Off-markets
• Could be multiple links
22
BDA terminating and non-terminating transactions
• ECS will request terminating and non-terminating transactions from BDA
– ECS0034
• BDA will supply – BDA0010:
• Controlled Clients transactions;
• Prime Broking transactions; and
• Broker proprietary – net amount
See subsequent slides on calculations
23
• Principle is that the non-failing party is not prejudiced and must be treated
as if their transaction settled
• Rolling of Settlement
• If circumstances are correct
• Retransaction
• Market liquidity
• Compensation
• Lack of Market liquidity
Failed Trade Actions
24
Fails Management by JSE Settlement Authority
• Primary
• Securities Lending and Borrowing
• Money Lending and Borrowing
• Then
• Rolling of Settlement:
• If circumstances are correct
• Then
• Failed Trade:
• Retransactions
• Compensation
For Failed Trade procedures we need to find opposite transactions
Failed Trade procedures
25
Equities Clearing System (ECS)
• Updates from Strate for links
• MT598-103
• MT598-104
• BDA0010 – Terminating Transactions
• Failed Trade procedures
• Look for a terminating transaction:
• Equal and opposite; then
• Highest to lowest
• Look for a non-terminating transaction with least impact:
• Account transfers
• Portfolio move
• Collateral
• SLB return
• Off-market
• Then
• Equal and opposite; then
• Highest to lowest
26
Flows Fails Management Rolling of Settlement
ECS will: 1. Generate cancellation to Strate for Client B to cancel purchase (MT 598-117 and then MT 598-122) 2. Generate Settlement Order for Broker D (purchase) to replace failing trade for Client B 3. Generate Settlement Orders to move purchase from Broker D ROS settlement account to Broker C’s
Reverse Sub account 4. Hold margin for original failing deal – Client A Sale
S P
100 AAA
R500 (4)
S P
S P
100 AAA
R500
0
100 AAA
R500(598-113) 100 AAA (3)
R1,000 (598-113)
R500
Compulsory
Reverse Substitution
100 AAA
R1,000
0
BDA to cancel original
Contract Note
100 AAA (1)
R1,000 (598-122)
S P
100 AAA (3)
R1,000(598-113) 100 AAA (2)
R1,000 (598-113)
0
Non-Controlled Client Acct
Client A
Non-Controlled Client Acct
Client B
Reverse Subs Acct
Broker C
ROS suspense Acct
Broker D
27
Flows Fails Management Rolling of Settlement
ECS will: 1. Generate Settlement Orders for future settlement date 2. Return Margin held for original failing deal (Client A sale) once settled 3. Generate message to BDA with defaulting and non-defaulting transaction details including future
settlement date
S P
100 AAA
R500 (2)
S P
S P
100 AAA
R500
100 AAA
100 AAA
R500 100 AAA
R1,000
0
Broker C to
Do manual
Allocation
100 AAA
R1,000 100 AAA
R1,000 100 AAA (1)
R1,000 (598-113)
100 AAA
100 AAA (1)
R1,000 (598-113)
100 AAA
R500
100 AAA
R500
BDA to issue new
Contract note for new
Settlement date
S P
100 AAA
R1,000
100 AAA (2)
R1,000 (598-113)
0
100 AAA (1)
R1,000 (598-113) 100 AAA (1)
R1,000 (598-113)
Non-Controlled Client Acct
Client A Non-Controlled Client Acct
Client B
Reverse Subs Acct
Broker C
ROS suspense Acct
Broker D
28
Flows Fails Management Retransaction
S S
100 AAA
R1,000
0
BDA to cancel original
Contract Note
100 AAA (1)
R1,000 (598-122)
Non-Controlled Client Acct
Client B
100 AAA (3)
R1,000(598-113) 100 AAA (2)
R1,000 (598-113)
0
100 AAA
R500
S
100 AAA
R500
0
100 AAA
R500(598-113) 100 AAA (3)
R1,000 (598-113)
R500
Compulsory
Reverse Substitution
Non-Controlled Client Acct
Client A
Reverse Subs Acct
Broker C
Failed Trade Suspense Acct
Broker D
P P
Settlement Authority will -
1. Generate cancellation to Strate for Client B to cancel purchase (MT 598-117 and then
MT 598-122)
2. Generate Settlement Order for Broker D (purchase) to replace failing trade for client B
3. Generate Settlement Orders to move purchase from Broker D’s Failed Trade suspense
acct to Broker C’s Rev Sub Acct
P P S
29
Flows Fails Management Retransaction
S P
100 AAA
R500 (2)
100 AAA
R500
0
Non-Controlled Client Acct
Client A
S P
100 AAA
R500
100 AAA
R1,000
R500
Reverse Subs Acct
Broker C
R500
0
S P
100 AAA
R1,000 100 AAA
R1,000 100 AAA (1)
R1,000 (598-113)
CLAIM LOSS/PROFIT
Non-Controlled Client Acct
Client B
BDA to issue new
Contract note for new
Settlement date S
100 AAA
R1,000
Re-transaction 100 AAA (1)
R1,000 (598-113)
100 AAA
R1,000
100 AAA
R1,500
Failed Trade Suspense Acct
Broker D
ECS will -
1. Generate Settlement Orders for future settlement when re-transacted to move re-booked
purchase to Client B
2. When re-transaction done send update message to BDA with future settlement
transactions
3. Return Margin held for original failing trade – Client A Sale once settled
30
Flows Fails Management Compensation
ECS will -
1. Generate cancellation to Strate for Client B to cancel purchase (MT 598-117 and
then MT 598-122)
2. Generate Settlement Order for Broker D (purchase) to replace failing trade for client B
3. Generate settlement orders to move purchase from Broker D’s ROS suspense acct to
Broker C’s Rev Sub Acct
4. Margin retained by ECS for original failing trade – Client A Sale
33
Rolling of Settlement - Overview
• Rolling of Settlement is performed at the discretion of the JSE Settlement
Authority
• It must be noted that transactions will only be rolled twice, although the JSE
Settlement Authority has the discretion to further roll transactions
• If a transaction is rolled twice, the JSE will undertake the Fail Trade Re-
transaction procedure or the Fail Trade Compensation procedure
• Rolling of Settlement can only be performed on a Broker’s Proprietary Position
Account (for the failing transaction) and not on the Non-controlled Client
Position Account or the Controlled Client Position Account
• Auto Rolling of Settlement
• Manual Rolling of Settlement
35
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
Automatic rolling of settlement logic
• Look for a termination transaction
• Equal and opposite; then
• Highest to lowest
• Look for a non-terminating transaction with least impact:
• Account transfers
• Portfolio move
• Collateral
• SLB return
• Off-market
37
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• Manual rolling of settlement
BDA0010 non-terminating DPL/BTB non-terminating
38
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a non- controlled client • MT598-117 is sent to Strate and the applicable CSDP
• Strate will lift the commit based on this message and break links where applicable
• Above process is fully automated
- New Order generated due to Compulsory Reverse Substitution
39
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• Manual rolling of settlement – non-controlled
• After ‘create’ follow the same process flow as per controlled client ROS
40
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client
41
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client (cont.)
• Closer look
Equal and opposite to the
market to resolve current
settlement issue
42
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client (cont.)
• Closer look – future deal
• Original trade date (except where there was an ISIN change)
• Settlement date = current cycle (settle in 3 days)
43
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client (cont.)
• Contra deal
44
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client (cont.)
• Contra deal – closer look
Equal and opposite to resolve current settlement issue
Booking into ROS account
Contra deal information – non-defaulting
broker
45
ECS Screens – Rolling of Settlement Processing (ROS)(cont.)
• ROS where the contra is a controlled client (cont.)
• Contra deal – closer look at future deal
Future deal – booking out of
suspense
Future deal – booking back to the client
46
• FTMP /Re-transaction
ECS Screens – Failed trade management processing (FTMP)
• Automatic failed trade
• ECS algorithm
• Manual failed trade
• DPL/BTB/BDA0010
47
• FTMP / Re-transaction (cont.)
Equal and opposite to
resolve current settlement issue
ECS Screens – Failed trade management processing (FTMP)
(cont.)
49
• FTMP / Re-transaction (cont.)
ECS Screens – Failed trade management processing (FTMP)
(cont.)
Original fail
trade information
Margin retained from FT
50
• FTMP / Re-transaction (cont.)
ECS Screens – Failed trade management processing (FTMP)
(cont.)
Re-transaction by SAT upon receipt of instruction from non-defaulting broker
51
ECS Screens – Failed trade management processing (FTMP)
(cont.)
• FTMP / Compensation
• Failed trade processing - current settlement cycle
Compensation processed by SAT
52
Agenda
• Fails Management
• The causes (and mitigations of) failed trades
• Compulsory Reverse Substitution
• SLB (Settlement Authority Point of View)
• How to pick up problem instruments
• Terminating vs. Non-terminating transactions
• Rolling vs. re-transaction vs. compensation
• ECS / BDA Integration (ECS 34)
• New ECS screens around fails management and rolling of settlement
• BDA Fails Management Functionality – BDA0010 / Elections / Adjustment screens
54
BDA Fails Management Transactions
Step 1 Trade identified/Instrument known
Step 2 ECS 0034 Generated/e-mail send
Step 3 BDA Receives ECS 0034
Step 4 BDA suspends all deal updates for the affected share
DLPRE
DLADJ
DLXOP
NXTAL
55
BDA Fails Management Transactions
Step 5 BDA suspends all updates to the frozen files for the affected shares
TDCOL COL FROZEN POSITIONS
TDFRA DETAIL FROZEN POSITIONS
TDSLB SLB FROZEN POSITIONS
RTCOL RIGHTS TAKE-UP FOR COLL
RTMNA RIGHTS TAKE-UP POSITIONS
RTSLB RIGHTS TAKE-UP FOR LOANS
ODCOL FROZEN ODD LOT FOR COL
ODDLT FROZEN ODD LOT POSITIONS
ODSLB FROZEN ODD LOT FOR SLB
RECOL COL EXCESS RIGHTS
RESLB SLB EXCESS RIGHTS
REXRT EXCESS RIGHTS MAINTENANCE
57
BDA Fails Management Transactions
The e-mail that will be sent to the market From: ECS Testing Sent: 21 January 2016 03:00 PM To: JSE T3 Phase 3 Subject: FTMP #6505 for HCI 20160121 Initiated Failed Trade Procedures has been initiated by the JSE. Date: Jan 21, 2016 Time: 14:56 Instrument: ZAE000003257 Instrument Alpha: HCI Market activity and elections on HCI should be halted until advised by the JSE. Please contact [email protected] for any questions related to Failed Trade Procedures for HCI. If you have questions or concerns, please contact JSE Equities at 011 520-7083.
58
BDA Fails Management Transactions
BDA screen shot of DLPRE in affected share
OPTN: DLPRE BCS/A: PREDATED DEAL FACILITY 21JAN16 15:08:49
ACTN: D21:FAILED TRADE IN PROGRESS ON INSTR XYZ 592
ACTION IND: M ACCOUNT CODE: 112672 ACC. TYPE : LL
ACCOUNT NAME: UNCLAIMED MIN.CHG.CDE: BKGE.PCNT.: 100
INSTR..: E HCI 0 SETTLE YYWW: 0000 SETTL-DTE: 20160126
NAME...: HCI CHG.STR.CDE: O1
DEAL ID: _______ P/S: P DATE: 20160121 DL.GRP.ID.: _______
R PAGE LN QTY AVG PRICE AMOUNT INN.ACC TERMS RI
_ 0000000001 01 2500 _ 1234.00 _________________ 40030 AL _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
CHARGES:
NEG.COM: __________________ IND: _ SCALE: ___
GRP.QTY: GRP.CONSID: _______________
CONSID: CHARGES: DEAL AMT:
PF1 HELP PF2/4 RTN PF5 ENQ PF7/8 PAGE PF9 NOTE PF11 ---> PF12 QUIT
59
BDA Fails Management Transactions
BDA screen shot of DLPRE in an unaffected share
OPTN: DLPRE BCS/A: PREDATED DEAL FACILITY 21JAN16 15:10:56
ACTN: XYZ 592
ACTION IND: i ACCOUNT CODE: 112672 ACC. TYPE : LL
ACCOUNT NAME: UNCLAIMED MIN.CHG.CDE: BKGE.PCNT.: 100
INSTR..: E AGL 1 SETTLE YYWW: 0000 SETTL-DTE: 20160126
NAME...: ANGLO CHG.STR.CDE: O1 TRADE-CAP.: P
DEAL ID: _______ P/S: P DATE: 20160121 DL.GRP.ID.: _______
R PAGE LN QTY AVG PRICE AMOUNT INN.ACC TERMS RI
R 0000000001 01 2500 _ 5734.00 143350.00 40030 AL _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
CHARGES:
NEG.COM: IND: S SCALE: NIL
GRP.QTY: GRP.CONSID: _______________
CONSID: 143350.00 CHARGES: 0.00 DEAL AMT: 143350.00
PF1 HELP PF2/4 RTN PF5 ENQ PF7/8 PAGE PF9 NOTE PF11 ---> PF12 QUIT
60
BDA Fails Management Transactions
BDA screen shot of DLADJ in affected share
OPTN: DLADJ BCS/A: DEAL ADJUSTMENT FACILITY 21JAN16 15:14:16
ACTN: D21:FAILED TRADE IN PROGRESS ON INSTR XYZ 592
ACTION IND: A ACCOUNT CODE: 110817 ACC. TYPE : C ADJ.ACC...: 40030
ACCOUNT NAME: POST WRG MIN.CHG.CDE: BKGE.PCNT.: 100
INSTR..: E HCI 0 SETTLE YYWW: 0000 SETTL-DTE: 20160122
NAME...: CHG.STR.CDE: __ TRADE-CAP.: _
DEAL ID: 1151 P/S: _ DATE: 20160118 DL.GRP.ID.: _______
CHANGE ACCOUNT CODE.: _______ TYPE: __
R PAGE LN QTY AVG PRICE AMOUNT INN.ACC TERMS RI
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
CHARGES:
NEG.COM: __________________ IND: _ SCALE: ___
GRP.QTY: GRP.CONSID: _______________
CONSID: CHARGES: DEAL AMT:
PF1 HELP PF2/4 RTN PF5 ENQ PF6 SWOP PF7/8 PAGE PF9 NOTE PF11 ---> PF12 QUIT
61
BDA Fails Management Transactions
BDA screen shot of DLADJ in an unaffected share
OPTN: DLADJ BCS/A: DEAL ADJUSTMENT FACILITY 21JAN16 15:15:44
ACTN: SI 592
ACTION IND: A ACCOUNT CODE: 110817 ACC. TYPE : C ADJ.ACC...: 40030
ACCOUNT NAME: POST WRG MIN.CHG.CDE: BKGE.PCNT.: 100
INSTR..: E DST 0 SETTLE YYWW: 0000 SETTL-DTE: 20160122
NAME...: DISTELL CHG.STR.CDE: O1 TRADE-CAP.: A
DEAL ID: 1150 P/S: S DATE: 20160118 DL.GRP.ID.: _______
CHANGE ACCOUNT CODE.: _______ TYPE: __
R PAGE LN QTY AVG PRICE AMOUNT INN.ACC TERMS RI
T T6FnDhZJK6 99 300- 16247.00 48741.00-
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
_ __________ __ ____________ _ __________ _________________ _______ ________ _
CHARGES: BAS BRO INS SET VAT
30.00 243.71 .10 11.58 39.95
NEG.COM: IND: S SCALE: AAP
GRP.QTY: GRP.CONSID: _______________
CONSID: 48741.00- CHARGES: 325.34 DEAL AMT: 48415.66-
PF1 HELP PF2/4 RTN PF5 ENQ PF6 SWOP PF7/8 PAGE PF9 NOTE PF11 ---> PF12 QUIT
62
BDA Fails Management Transactions
BDA screen shot of NXTAL in affected share
OPTN: NXTAL NEXT-DAY DEAL ALLOCATIONS SELECTION CRITERIA 21JAN16 15:19:59
ACTN: D21:FAILED TRADE IN PROGRESS ON INSTR XYZ 592
ALLOCATION ACCOUNT : 40030
INSTRUMENT ALPHA : HCI
PURCHASES/SALES (P/S) : P
PRINCIPLE/AGENT (P/A) :
RING-FENCED TERM :
RAND INDICATOR (Y/blank) :
PF1 HELP PF2 RETURN PF4 MAIN MENU PF12 QUIT
63
BDA Fails Management Transactions
BDA screen shot of DLXOP in affected share
OPTN: DLXOP BCS/A: EXCEPTIONAL OPENINGS 21JAN16 15:21:37
ACTN: D21:FAILED TRADE IN PROGRESS ON INSTR XYZ 592
ACTION IND: M ACCOUNT CODE: 2345684 ACC. TYPE : C
ACCOUNT NAME: ENTITLEME MIN.CHG.CDE: A BKGE.PCNT.: 100
INSTR..: E HCI 0 SETTLE YYWW: 0
NAME...: HCI CHG.STR.CDE: NC BRK.DEST.: ___
DEAL ID: _______ P/S: S DATE: 20160118
REFERENCE: ______
R PAGE LN QTY TERMS RI
_ 1 01 2500 ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
_ __________ __ ____________ ________ _
PF.COST:
DEAL AMT:
PF1 HELP PF2/4 RTN PF5 ENQ PF7/8 PAGE PF11 ---> PF12 QUIT
64
BDA Fails Management Transactions
Step 6 Terminating and non-terminating trades identified by BDA (BDA0010)
65
BDA Fails Management Transactions
What is considered as sales:
On-market DvP – Main Board including DLPREs and DLADJ
Corporate Actions (Deals create from CA events (DE & DG) will be treated as Main
Board for calculation purposes – deliver out
On-market DvP – Report Only including DLPREs and DLADJ
DLXOP – deliver out
Collateral out - deliver out
SLB – as lender – deliver out
Terminating Trades
Sales
66
BDA Fails Management Transactions
What is considered as purchases -
On-market RvP – Main Board including DLPREs and DLADJ
On-market RvP – Report Only including DLPREs and DLADJ
Corporate Actions – receive in
DLXOP – receive in
Collateral returns – receive in
SLB – as borrower – receive in
Terminating Trades
Purchases
67
BDA Fails Management Transactions
Priority – ECS to get a Terminating Purchase to allow for fails management –
Terminating Purchase least impact to the market
2nd Place – With choosing a Purchase which is non-terminating, we are looking
for a purchase that will have the least impact to the market should it be chosen
for fails – participants can claim for losses
What are we trying to achieve
68
BDA Fails Management Transactions
With calculating if a Purchase is terminating or non-terminating – we have to
look at all transactions on an account/accounts (proprietary) – which are due
for settlement over a period of time –
the next 2 days (this includes transactions settling on that day (S) plus transactions
sitting on T+2 and T+1)
This does not include trades and allocations done for trade date for the current day
i.e. we are looking for trades before T
What are we trying to achieve (cont)
69
BDA Fails Management Transactions
Fails management can be done any time after 16h00 on T+2.
The BDA0010 will include the settlement date that ECS has a problem
instrument for – BDA must use this date for the calculations
When
70
BDA Fails Management Transactions
Where ECS sends an ECS0034 to BDA for settlement on the same day (T+3) –
BDA must:
If purchases settled – include dematerialised holdings as part of the calculation
If purchases unsettled – include in terminating transaction calculation
Any purchases still open on BDA after settlement date will be treated as
dematerialised as part of the calculations
Include any unsettled DLXOPs/SLB returns/collateral returns after their
settlement date, in the calculations
When
71
BDA Fails Management Transactions
Where ECS sends an ECS0034 to BDA for settlement on the next day (T+2)
– BDA must:
If purchases settled for T+3 – include dematerialised holdings as part of the
calculation
If purchases unsettled for T+3 – do not include in the calculations as these may
be part of a failed trade for the current day – this will be handled as a business
process to sort out T+3 fails before going to T+2 for the same instrument
Any purchases still open on BDA after settlement date will be treated as
dematerialised as part of the calculations
Unsettled DLXOPs/SLB returns/collateral returns after their settlement date must
also be included in the calculations
When (cont)
72
BDA Fails Management Transactions
Before you can work out if a purchase is terminating you need to calculate coverage
of sales – securities due to the account
The sequence of working out coverage of sales is as follows:
Dematerialised holding – does the account/broker have demat holdings excluding any
pledges, then
Securities Lending & Borrowing - account/broker has done a SLB which is reflected on BDA
settling on or before the settlement of the sale/s, then
Corporate Action entitlements - due to the account settling on or before the settlement of
the sale/s, then
Collateral returns (receive in), then
DLXOP – receipts settling on or before the settlement of the sale/s, then
Calculations - Sales
73
BDA Fails Management Transactions
Report Only purchases – settling on or before the settlement of the sale/s which is has
not been used for another sale/s - i.e. sales must be summed up, then
Main Board purchases – settling on or before the settlement of the sale which is has not
been used for another sale.
Note: The sequence of applying the securities would be in descending order of quantity
Calculations - Sales (cont)
74
BDA Fails Management Transactions
The results:
Terminating Purchases
Main Board purchases linked to:
Main Board sales
Report Only sales
DLXOP sales
Corporate Action sales
Collateral Out
Lending Out
76
BDA Fails Management Transactions
Step 8 Trade is Rolled or Failed
ECS0031 (Rolling of Settlement)
or
ECS0032 (Failed Trade)
message sent to BDA
78
BDA Fails Management Transactions
New Accounts in BDA and ECS
Rolling of Settlement
40981 Rolling of Settlement
40984 Rolling of Settlement – Proprietary Suspense
Failed Trades
40982 Failed Trades
40985 Failed Trades – Proprietary Suspense
79
BDA Fails Management Transactions
Rolling of Settlement
Defaulting Broker
and
Non-Defaulting Broker (Non-Controlled)
80
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Non-Controlled
client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After
CRS has run, Failed Trades Management Procedures (FTMP) will be executed.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to
initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will
receive indicating the Failed Trades Management Process for the selected ISIN has been closed
81
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
Defaulting Member after CRS
After CRS, the defaulting member will have:
a sale of 1000 AAA @ R1.00 at a consideration value of R1000.00 in the Reverse Substitution Account 40980 and
a purchase of 1000 AAA @ R1.00 at the consideration value of R1000.00 on the Proprietary Netting Account 40360
Non-Defaulting Member before RoS
The non-defaulting member’s Non-Controlled client has an original purchase of 1500 AAA @ R1.10 at a consideration value of R1650.00 and charges of R150.00 with a Settlement value of R1800.00
the Non-Controlled Substitution Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the GL Charges Accounts will have sale charges of R150.00
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00.
83
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non-defaulting deals.
On receipt of the RoS request by BDA, the following will take place:
Non-Defaulting Member Contra Deal Cancel
01 – The Non-Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and an order cancel is sent to Strate. The RoS Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Non-Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Non-Controlled account.
03 - The Non-Controlled Substitution Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account.
04 – The Proprietary Netting Account will have a sale entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account and a cancel order is sent to Strate.
85
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
Non-Defaulting Member RoS Suspense Deal
05 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
87
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
Defaulting Future RoS Settlement Deal
07 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
Non-Defaulting Future RoS Settlement Deal
08 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
89
BDA Fails Management Transactions
Rolling of Settlement (Non-Controlled)
Non-Defaulting Future Settlement Deal
09 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00. The Non-Controlled Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account and an order is sent to Strate.
10 – The Proprietary Netting Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account.
11 - The Non-Controlled Substitution Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account.
12 - The GL Charges Accounts will have sale charges of R150.00 from the Non-Controlled account.
91
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions
Defaulting Broker
and
Non-Defaulting Broker (Non-Controlled)
92
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Controlled or Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
During this RoS scenario, there is a Corporate Action (CA) that takes place (a Name Change (NC)). This will be applied to the future dated deals.
93
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled)
Defaulting Member after CRS
After CRS, the defaulting member has:
a sale of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Reverse Substitution Account
a purchase of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Proprietary Netting Account
Non-Defaulting Member before RoS
The non-defaulting member’s Non-Controlled client has an original purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a settlement order was sent to Strate
the Non-Controlled Substitution Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the GL Charges Accounts will have a sale charge of R150.00.
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00.
95
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled) If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non-defaulting deals.
Non-Defaulting Member Contra Deal Cancel 01 – The Non-Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value
of R1650.00 and charges of R150.00 and a cancel order is sent to Strate. The RoS Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Non-Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Non-Controlled account. 03 - The Non-Controlled Substitution Account will have a purchase entry of 1500 AAA @ R1.10 with a
consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account. 04 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of
R1650.00 and charges of R150.00 from the RoS Account and a cancel order is sent to Strate.
97
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled)
Non-Defaulting Member RoS Suspense Deal
05 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
99
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled)
Defaulting Future RoS Settlement Deal
07 – The RoS Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00.
Non-Defaulting Future RoS Settlement Deal
08 – The Proprietary Netting Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00 and the RoS Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00.
101
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Non-Controlled)
Non-Defaulting Future Settlement Deal
09 – The RoS Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00. The Non-Controlled Account will have a purchase entry of 1500 BBB @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account and an order is sent to Strate entry.
10 – The Proprietary Netting Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account.
11 - The Non-Controlled Substitution Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account.
12 - The GL Charges Accounts will have sale charges of R150.00 from the Non-Controlled account.
103
BDA Fails Management Transactions
Rolling of Settlement
Defaulting Broker
and
Non-Defaulting Broker (Controlled)
104
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Controlled or Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
105
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
Defaulting Member after CRS
After CRS, the defaulting member has
a sale of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Reverse Substitution Account
a purchase of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Proprietary Netting Account
Non-Defaulting Member before RoS
The non-defaulting member’s Controlled client has an original purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the Controlled Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
the GL Charges Accounts will have a sale charge of R150.00
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00.
107
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non-defaulting deals.
On receipt of the RoS request (BDA), the following will take place. The headings are nodes on the RoS message:-
Non-Defaulting Member Contra Deal
01 – The Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00. The RoS Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Controlled account.
03 - The Controlled Netting Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account and an order is sent to Strate. .
04 – The Proprietary Netting Account will have a sale entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the RoS Account and a settlement order is sent to Strate.
109
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
Non-Defaulting Member RoS Suspense Deal
05 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
111
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
Defaulting Future RoS Settlement Deal
07 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
Non-Defaulting Future RoS Settlement Deal
08 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
113
BDA Fails Management Transactions
Rolling of Settlement (Controlled)
Non-Defaulting Future Settlement Deal
09 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00. The Controlled Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account.
10 – The Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the RoS Account.
11 - The Controlled Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account.
12 - The GL Charges Accounts will have sale charges of R150.00 from the Controlled account.
115
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions
Defaulting Broker
and
Non-Defaulting Broker (Controlled)
116
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Controlled or Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
During this RoS scenario, there is a Corporate Action (CA) that takes place (a Name Change (NC)) and this will be applied to the future dated deals.
117
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
Defaulting Member after CRS
After CRS, the defaulting member has
a sale of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Reverse Substitution Account
a purchase of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Proprietary Netting Account
Non-Defaulting Member before RoS
The non-defaulting member’s Controlled client has an original purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a settlement order was sent to Strate
the Controlled Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
the GL Charges Accounts will have a sale charge of R150.00
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00.
119
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non-defaulting deals.
On receipt of the RoS request (BDA), the following will take place. The headings are nodes on the RoS message:-
Non-Defaulting Member Contra Deal
01 – The Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00. The RoS Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Controlled account.
03 - The Controlled Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Controlled account and a settlement order is sent to Strate.
04 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the RoS Account and a settlement order is sent to Strate.
121
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
Non-Defaulting Member RoS Suspense Deal
05 – The RoS Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the RoS Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
123
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
Defaulting Future RoS Settlement Deal
07 – The RoS Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00.
Non-Defaulting Future RoS Settlement Deal
08 – The Proprietary Netting Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00 and the RoS Account will have a purchase of 1500 BBB @ R1.10 with a consideration value of R1650.00.
125
BDA Fails Management Transactions
Rolling of Settlement – Corporate Actions (Controlled)
Non-Defaulting Future Settlement Deal
09 – The RoS Account will have a sale of 1500 BBB @ R1.10 with a consideration value of R1650.00. The Controlled Account will have a purchase entry of 1500 BBB @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the RoS Account.
10 – The Proprietary Netting Account will have a purchase entry of 1500 BBB @ R1.10 with a consideration value of R1650.00 from the RoS Account.
11 - The Controlled Netting Account will have a purchase entry of 1500 BBB @ R1.10 with a consideration value of R1650.00 from the Controlled account.
12 - The GL Charges Accounts will have sale charges of R150.00 from the Controlled account.
127
BDA Fails Management Transactions
Rolling of Settlement
Defaulting Broker
and
Non-Defaulting Broker (Proprietary)
128
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
129
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
Defaulting Member
The defaulting member has
a sale of 700 AAA @ R1.00 with a consideration value of R700.00 in the Stock Account
a purchase of 700 AAA @ R1.00 with a consideration value of R700.00 in the Proprietary Netting Account
Non-Defaulting Member before RoS
The non-defaulting member’s Proprietary Accounts A and B have purchases which will be used for Rolling of Settlement in this example. Proprietary can be made up of 1 or more account’s to satisfy the defaulting member’s short. The BDA0010 for Proprietary Accounts is made up of an accumulation of deals with offsets done for ECS.
Proprietary Account A has a ‘offset’ value original purchase of 200 AAA @ R1.10 with a consideration value of R220.00 and Proprietary Account B has a ‘offset’ value original purchase of 500 AAA @ R1.10 with a consideration value of R550.00. The Proprietary Netting Account has a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
131
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non-defaulting deals.
On receipt of the RoS request (BDA), the following will take place. The headings are nodes on the RoS message:-
Non-Defaulting Member Contra Deal
01 – The RoS Proprietary Suspense Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00. This is an accumulation of Proprietary Accounts A and B. The RoS Account will have a purchase entry of 700 AAA @ R1.10 with a consideration value of R770.00 from RoS Proprietary Suspense Account.
02 – The Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Proprietary Suspense Account and an order is sent to Strate.
03 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Account and an order is sent to Strate.
133
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
Non-Defaulting Member RoS Suspense Deal
04 – The RoS Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and the Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
05 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate and the RoS Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
135
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
Defaulting Future RoS Settlement Deal
06 – The RoS Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and the Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
Non-Defaulting Future RoS Settlement Deal
07 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and the RoS Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
137
BDA Fails Management Transactions
Rolling of Settlement (Proprietary)
Non-Defaulting Future Settlement Deal
08 – The RoS Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00. The RoS Proprietary Suspense Account will have a purchase entry of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Account.
09 – The Proprietary Netting Account will have a purchase entry of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Account.
10 – The Proprietary Netting Account will have a sale entry of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Proprietary Suspense Account.
139
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions
Defaulting Broker
and
Non-Defaulting Broker (Proprietary)
140
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary) The defaulting member has a purchase in a Proprietary Account that will not be met. Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades. BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process. Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed.
During this RoS scenario, there is a Corporate Action (CA) that takes place (a Name Change (NC)) and this will be applied to the future dated deals.
141
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary)
Defaulting Member
The defaulting member has
a sale of 700 AAA @ R1.00 with a consideration value of R700.00 in the Stock Account
a purchase of 700 AAA @ R1.00 with a consideration value of R700.00 in the Proprietary Netting Account
Non-Defaulting Member before RoS
The non-defaulting member’s Proprietary Accounts A and B have purchases which will be used for Rolling of Settlement in this example. Proprietary can be made up of 1 or more account’s to satisfy the defaulting member’s short.
The BDA0010 for Proprietary Accounts is made up of an accumulation of deals with offsets done for ECS.
Proprietary Account A has a ‘offset’ value original purchase of 200 AAA @ R1.10 with a consideration value of R220.00 and Proprietary Account B has a ‘offset’ value original purchase of 500 AAA @ R1.10 with a consideration value of R550.00. The Proprietary Netting Account has a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
143
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary)
If Clearing and Settlement are unable to do SLBs, RoS will be initiated with the selection of non defaulting deals.
On receipt of the RoS request (BDA), the following will take place. The headings are nodes on the RoS message:-
Non-Defaulting Member Contra Deal
01 – The RoS Proprietary Suspense Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00. This is an accumulation of Proprietary Accounts A and B. The RoS Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 from RoS Proprietary Suspense Account.
02 – The Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00from the RoS Proprietary Suspense Account and an order is sent to Strate.
03 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 from the RoS Account and an order is sent to Strate.
145
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary)
Non-Defaulting Member RoS Suspense Deal
04 – The RoS Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and the Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate.
Defaulting Member RoS Suspense Deal
05 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate and the RoS Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
147
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary)
Defaulting Future RoS Settlement Deal
06 – The RoS Account will have a sale of 700 BBB @ R1.10 with a consideration value of R770.00 and the Proprietary Netting Account will have a purchase of 700 BBB @ R1.10 with a consideration value of R770.00.
Non-Defaulting Future RoS Settlement Deal
07 – The Proprietary Netting Account will have a sale of 700 BBB @ R1.10 with a consideration value of R770.00 and the RoS Account will have a purchase of 700 BBB @ R1.10 with a consideration value of R770.00.
149
BDA Fails Management Transactions
Rolling of Settlement - Corporate Actions (Proprietary)
Non-Defaulting Future Settlement Deal
08 – The RoS Account will have a sale of 700 BBB @ R1.10 with a consideration value of R770.00. The RoS Proprietary Suspense Account will have a purchase entry of 700 BBB @ R1.10 with a consideration value of R770.00 from the RoS Account.
09 – The Proprietary Netting Account will have a purchase entry of 700 BBB @ R1.10 with a consideration value of R770.00 from the RoS Account.
10 – The Proprietary Netting Account will have a sale entry of 700 BBB @ R1.10 with a consideration value of R770.00 entry from the RoS Proprietary Suspense Account.
151
BDA Fails Management Transactions
Cancelled and new contract notes are generated and distributed as appropriate
XML
SWIFT
OMGEO
152
BDA Fails Management Transactions
OR
Trade is failed with a retransaction or compensation
NOTE: Retransaction entries will be shown, however compensation with be processed manually
153
BDA Fails Management Transactions
Failed Trade
Defaulting Broker
and
Non-Defaulting Broker (Non-Controlled)
154
BDA Fails Management Transactions
Failed Trade (Non-Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Controlled or Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
155
BDA Fails Management Transactions
Failed Trade (Non-Controlled)
Defaulting Member after CRS
After CRS, the defaulting member has
a sale of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Reverse Substitution Account
a purchase of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Proprietary Netting Account
Non-Defaulting Member before Failed Trade
The non-defaulting member’s Non-Controlled client has an original purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a settlement order was sent to Strate
the Non-Controlled Substitution Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the GL Charges Accounts will have a sale charge of R150.00
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
157
BDA Fails Management Transactions
Failed Trade (Non-Controlled)
If Clearing and Settlement are unable to do SLBs or RoS, a Failed Trade will be initiated with the selection of non-defaulting deals.
On receipt of the Failed Trade request (BDA), the following will take place. The headings are nodes on the Failed Trade message:-
Non-Defaulting Member Contra Deal Cancel
01 – The Non-Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a cancel order is sent to Strate. The Failed Trade Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Non-Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Non-Controlled account.
03 - The Non-Controlled Substitution Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account.
04 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Failed Trade Account and a cancel order is sent to Strate.
159
BDA Fails Management Transactions
Failed Trade (Non-Controlled)
Non-Defaulting Member Failed Trade Suspense Deal
05 – The Failed Trade Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member Failed Trade Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the Failed Trade Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
161
BDA Fails Management Transactions
Failed Trade - Retransaction
Defaulting Broker
and
Non-Defaulting Broker (Non-Controlled)
162
BDA Fails Management Transactions
Failed Trade - Retransaction (Non-Controlled)
The non-defaulting member/s will do market replacement deal/s for the client/s that were involved in the Failed Trade (FT) that would have occurred previously
Once all the members have purchased (Market Replacement), ECS will issue BDA with a Re-Transaction message to re-transact from the members FT Account back to the clients
Non-Defaulting Member before Re-Transaction
The non-defaulting member would have done
a Market Replacement purchase for his client/s into the FT Account, a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and a settlement order was sent to Strate
the Proprietary Netting Account has a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00.
On receipt of the Re-Transaction request (BDA), the following will take place. The headings are nodes on the Re-Transaction message:-
164
BDA Fails Management Transactions
Failed Trade - Retransaction (Non-Controlled)
Non-Defaulting Future Settlement Deal
01 – The FT Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00. The Non-Controlled Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 and an order is sent to Strate.
02 – The Proprietary Netting Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the FT Account.
03 - The Non-Controlled Substitution Account will have a sale entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the Non-Controlled account.
04 - The GL Charges Accounts will have sale charges of R150.00 from the Non-Controlled account.
166
BDA Fails Management Transactions
Failed Trade
Defaulting Broker
and
Non-Defaulting Broker (Controlled)
167
BDA Fails Management Transactions
Failed Trade (Controlled)
The defaulting member has Compulsory Reverse Substitution (CRS) applied to a Controlled or Non-Controlled client and the deal is put into the defaulting member’s Reverse Substitution Account (40980). After CRS has run, Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed
168
BDA Fails Management Transactions
Failed Trade (Controlled) Defaulting Member after CRS
After CRS, the defaulting member has
a sale of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Reverse Substitution Account
a purchase of 1000 AAA @ R1.00 with a consideration value of R1000.00 in the Proprietary Netting Account
Non-Defaulting Member before Failed Trade
The non-defaulting member’s Controlled client has an original purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the Controlled Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
the GL Charges Accounts will have a sale charge of R150.00
The Proprietary Netting Account has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
170
BDA Fails Management Transactions
Failed Trade (Controlled)
If Clearing and Settlement are unable to do SLBs or RoS, a Failed Trade will be initiated with the selection of non-defaulting deals.
On receipt of the Failed Trade request (BDA), the following will take place. The headings are nodes on the Failed Trade message:-
Non-Defaulting Member Contra Deal
01 – The Controlled Client Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00. The Failed Trade Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account.
02 – The GL Charges Accounts will have purchase charges of R150.00 from the Controlled account.
03 - The Controlled Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account and a cancel order is sent to Strate.
04 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Failed Trade Account and a settlement order is sent to Strate.
172
BDA Fails Management Transactions
Failed Trade (Controlled)
Non-Defaulting Member Failed Trade Suspense Deal
05 – The Failed Trade Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and the Proprietary Netting Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate.
Defaulting Member Failed Trade Suspense Deal
06 – The Proprietary Netting Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00 and an order is sent to Strate and the Failed Trade Account will have a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00.
174
BDA Fails Management Transactions
Failed Trade - Retransaction
Defaulting Broker
and
Non-Defaulting Broker (Controlled)
175
BDA Fails Management Transactions
Failed Trade - Retransaction (Controlled)
• The non-defaulting member will do a market replacement deal for the client that was involved in the Failed Trade that would have occurred previously
• Once the member has purchased (Market Replacement) the shares, ECS will issue BDA with a Re-Transaction message to re-transact from the members books back to the clients
Non-Defaulting Member before Re-Transaction
The non-defaulting member would have done a Market Replacement purchase for his client/s into the Failed Trade (FT) Account, the Controlled client has a purchase of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00
the Proprietary Netting Account has a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00
On receipt of the Re-Transaction request (BDA), the following will take place. The headings are nodes on the Re-Transaction message:-
177
BDA Fails Management Transactions
Failed Trade - Retransaction (Controlled)
Non-Defaulting Future Settlement Deal
01 – The FT Account will have a sale of 1500 AAA @ R1.10 with a consideration value of R1650.00. The Controlled Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 and charges of R150.00 from the FT Account and an order is sent to Strate.
02 – The Proprietary Netting Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the FT Account.
03 - The Controlled Netting Account will have a purchase entry of 1500 AAA @ R1.10 with a consideration value of R1650.00 from the Controlled account.
04 - The GL Charges Accounts will have sale charges of R150.00 from the Controlled account.
179
BDA Fails Management Transactions
Failed Trade
Defaulting Broker
and
Non-Defaulting Broker (Proprietary)
180
BDA Fails Management Transactions
Failed Trade (Proprietary)
The defaulting member has purchase in a Proprietary Account that will not be met. Failed Trades Management Procedures (FTMP) will be executed if required.
ECS will send an ECS0034 message to BDA requesting Terminating Trades
BDA will provide all Terminating Trades to ECS via the BDA0010 message which ECS will use to initiate the Rolling of Settlement (RoS) or Failed Trades (FT) process
Once this process has been completed, ECS will generate an ECS0035 message which BDA will receive indicating the Failed Trades Management Process for the selected ISIN has been closed.
181
BDA Fails Management Transactions
Failed Trade (Proprietary)
Defaulting Member
The defaulting member has
a sale of 700 AAA @ R1.00 with a consideration value of R700.00 in the Stock Account
a purchase of 700 AAA @ R1.00 with a consideration value of R700.00 in the Proprietary Netting Account
Non-Defaulting Member before Failed Trade
The non-defaulting member’s Proprietary Accounts A and B have purchases which will be used for a Failed Trade in this example. Proprietary can be made up of 1 or more account’s to satisfy the defaulting member’s short. The BDA0010 for Proprietary Accounts is made up of an accumulation of deals with offsets done for ECS.
Proprietary Account A has a ‘offset’ value original purchase of 200 AAA @ R1.10 with a consideration value of R220.00
Proprietary Account B has a ‘offset’ value original purchase of 500 AAA @ R1.10 with a consideration value of R550.00
The Proprietary Netting Account has a purchase of 700 AAA @ R1.10 with a consideration value of R770.00
183
BDA Fails Management Transactions
Failed Trade (Proprietary)
If Clearing and Settlement are unable to do SLBs or RoS, a Failed Trade will be initiated with the selection of non-defaulting deals.
On receipt of the Failed Trade request (BDA), the following will take place. The headings are nodes on the Failed Trade message:-
Non-Defaulting Member Contra Deal
01 – The Failed Trade Proprietary Suspense Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00. This is an accumulation of Proprietary Accounts A and B. The Failed Trade Account will have a purchase entry of 700 AAA @ R1.10 with a consideration value of R770.00 from Failed Trade Proprietary Suspense Account.
02 – The Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate from the Failed Trade Proprietary Suspense Account.
03 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 from the Failed Trade Account and an order is sent to Strate.
185
BDA Fails Management Transactions
Failed Trade (Proprietary)
Non-Defaulting Member Failed Trade Suspense Deal
04 – The Failed Trade Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and the Proprietary Netting Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate.
Defaulting Member Failed Trade Suspense Deal
05 – The Proprietary Netting Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00 and an order is sent to Strate and the Failed Trade Account will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
187
BDA Fails Management Transactions
Failed Trade - Retransaction
Defaulting Broker
and
Non-Defaulting Broker (Proprietary)
188
BDA Fails Management Transactions
Failed Trade - Retransaction (Proprietary)
The non-defaulting member/s will do market replacement deal/s for the proprietary account/s that were involved in the Failed Trade (FT) that would have occurred previously. Once all the members have purchased (Market Replacement), ECS will issue BDA with a Re-Transaction message to re-transact from the member FT Account back to the proprietary accounts.
Non-Defaulting Member before Re-Transaction
The non-defaulting member would have done a Market Replacement purchase for his proprietary accounts into the FT Account, a purchase of 700 AAA @ R1.10 with a consideration value of R7700.00.
On receipt of the Re-Transaction request (BDA), the following will take place. The headings are nodes on the Re-Transaction message:-
190
BDA Fails Management Transactions
Failed Trade - Retransaction (Proprietary)
Non-Defaulting Future Settlement Deal
01 – The FT Account will have a sale of 700 AAA @ R1.10 with a consideration value of R770.00. The FT Proprietary Suspense will have a purchase of 700 AAA @ R1.10 with a consideration value of R770.00.
02 – The Proprietary Netting Account will have a purchase entry of 700 AAA @ R1.10 with a consideration value of R770.00 from the FT Account.
03 – The Proprietary Netting Account will have a sale entry of 700 AAA @ R1.10 with a consideration value of R770.00 from the FT Proprietary Suspense.
192
BDA Fails Management Transactions
Cancelled and new contract notes are generated and distributed as appropriate
XML
SWIFT
OMGEO
193
BDA Fails Management Transactions
Intervention over!
Step 10 ECS 0035 sent to BDA
Step 11 All BDA screens previously suspended for the affected share are activated
194
Agenda
• Fails Management
• Migration Schedule Overview
• Overview of the migration week schedule (Week before and Week after)
• Other Functionality
• Testing Process Overview
195
Migration
W T F M T W T F M T
T T+1 T+2 C T+3 T+4 T+5
T T+1 O T+2 T+3 T+4 T+5
T N T+1 T+2 T+3 T+4 T+5
V T T+1 T+2 T+3 CA
E T T+1 T+2 T+3 CA
R T T+1 T+2 T+3
S T T+1 T+2 T+3
I T T+1 T+2
O
N LDT RD/RD PD/PD
196
Migration Assumptions
• Limit amount of Corporate Actions (including IPO’s/private placements) if
possible
• Move to a RD-3 LDT date – no LDT on Friday of conversion
• Jobbing across settlement days – warn members about SLBs and funding
for a period of time
• Resources will be available across the market for 2 weeks after go-live to
manage issues
• Migration will not take place over a month-end
• Migration will not take place over a futures close-out
• Migration will not take place over a financial year-end
197
Agenda
• Fails Management
• Migration Schedule Overview
• Other Functionality
• New Status Intimations / Spreadsheets & Fractions / Freezing of Registers
• Testing Process Overview
198
New status intimations
• New MT 548 - Reasons for non-commits
• No securities
• No clients instructions
• Timings:
• EOD T;
• Real-time T+1; and
• Real-time T+2.
199
Fractions and spreadsheets
• Raised in 2009
• Recently approved at CSDP Forum
• Investigating implementing before T+3 Phase III
• Preferred option as previously agreed
• VWAP on LDT+1 less 10% (for market movements) used for fraction payment;
• JSE to announce rate so everyone uses same rate; and
• Surplus shares sold by participant / broker to cover pay out.
• Spreadsheets will remain for
• IPO’s;
• Excess Take Up; and
• Dual listed companies where home Exchanges regulations prevail.
202
Freezing of registers
• Dual Listed companies
• Freeze registers once currency conversion is booked – aligned to JSEs Listing
Requirements
• Securities can’t move between registers – creates settlement problems
• Change – currency conversion on LDT-1 and announcement to the market
203
Agenda
• Fails Management
• Migration Schedule Overview
• Other Functionality
• Testing Process Overview
204
T+3 Update Timeline
204
Phase 3
2015 2016
Jun
May
Ap
r
Mar
Feb
Jan
Dec
No
v
Oct
Sept
Au
g
Jul
Jun
May
Ap
r
Mar
Feb
Jan
Jul
UAT Cycles
1 & 2
30/03 – 26/05 R
eg
res
sio
n C
yc
le
07
/09
– 1
8/0
9
SIT Cycles 1 to 6
01/10 – 26/03
Co
de
Fre
eze
26
/05
– 0
1/0
6
SIT
En
viro
nm
en
t pre
p
21
/09
– 3
0/0
9
SYT (9 iterations) 10 Dec 2014 – 2 Sep 2015
GO
-LIVE W
IND
OW
(2
5-Ju
ne to
23
-July)
We are here
206
T+3 Update Testing – market involvement
• Timing of phases:
• Required participation per phase:
• Pre-SIT Activities
• Initial reference data set-up
• Test pack review
• Per test cycle:
• Reference data review and health check (two days prior to test execution)
• Test pack refinement
• Test execution
• Results audit (2 days post test execution)
• Environment refresh (2 days prior to the next test phase)
SIT – Cycle 3
Scheduled to start end Nov 2015
CSDPs (Voluntary)
SIT – Cycle 4
Scheduled to start mid Jan 2015
CSDPs (Compulsory)
SIT – Cycle 5
Scheduled to start beginning Feb 2016
CSDPs (Compulsory) /
Members (Voluntary)
UAT – Cycle 1
Scheduled to start end March 2016
CSDPs & Members (Compulsory)
UAT – Cycle 2
Scheduled to start end Apr 2016
CSDPs & Members (Compulsory)
SIT – Cycle 6
Scheduled to start beginning March
2016 CSDPs (Compulsory)
/ Members
(Voluntary)
207
Entry and Exit Criteria System Integration Testing
Entry-Criteria
• Market documentation reviewed and signed off
• Agreed and signed off test packs
• Internal and external stakeholders
• Market Test Plan completed, reviewed and signed off
• Data aligned across applications and all relevant backups are completed
• Internal and external stakeholders
• Infrastructure verification tests complete (including configuration and connectivity)
• Applications and services are operational in the test environment across all applications – Participants to manage internally
• No defects with severity of critical or high are open from previous phase
• Deviation could occur under the following circumstances
• The defect does not affect any key component within your application
• The Project team in conjunction with the affected market participant agree to continue with state of defect
208
Entry and Exit Criteria System Integration Testing
Exit-Criteria
• All test procedures for a cycle is successfully executed by each market participant
• Test results recorded in the agreed test management tool – Participants to manage internally
• Screen shots, printouts, actual result, etc. attached to the test case in the test management tool -
Participants to manage internally
• Approval for all test cases that are not executed i.e. deferred or not applicable is
quality assured by the Test Manager
• All defects with severity of critical and high is fixed and retested during the cycle
• Cycle will be extended, if required, to meet the above – Will be agreed by the market
• Agreed resolution of all medium and low severity defects
• Pass rate is greater than equal to a specified percentage
• Pass rate is measured across all applications involved in the cycle