UT-PBR-030 Semt.002- Statement of Holdings

Transcription

1 UT-PBR-030 Semt.002- Statement f Hldings I- Intrductin During the User Testing several questins have been raised n the Statement f Hldings (semt.002). Mre precisely, PBI was pened in rder t ensure cmprehensive understanding f this message as regards t the reprting f negative psitins. This Clarificatin Nte aims at prviding such clarificatin. II- Semt SecuritiesBalanceCustdyReprt The SecuritiesBalanceCustdyReprt ISO message, als knwn as Statement f Hldings, prvides infrmatin n the different securities psitins f a T2S Actr s securities accunt in T2S. One Statement f Hldings cntains infrmatin f ne single T2S securities accunt. The SecuritiesBalanceCustdyReprtV05 is cmpsed f the fllwing message building blcks: - Paginatin This building blck is mandatry and nn repetitive. It gives the page number f the message (within a statement) and cntinuatin indicatr t indicate that the statement is t cntinue r that the message is the last page f the statement. - StatementGeneralDetails This building blcks is mandatry and nn repetitive. It specifies general infrmatin related t reprt such as the statement date, the activity, the frequency, r the reprt base. - AccuntOwner This blck is ptinal and nn repetitive. It identifies the party wh wns the accunt. 1

2 - AccuntServicer This blck is ptinal and identifies the party that manages the accunt n behalf f the accunt wner, i.e. the CSD. - SafekeepingAccunt This blck is mandatry and nn repetitive. It prvides the accunt frm which the securities psitins are reprted. - BalanceFrAccunt This building blck is ptinal and repetitive. This blck prvides the psitin in a single security. I.e. Each instance f the blck prvides the securities psitin in a single ISIN. III- Securities psitins in T2S T2S supprts segregatin f hldings using separate accunts, r using specific sub-psitins within the same accunt, r a cmbinatin f bth. CSDs have the ptin f chsing the accunt structure that best suits their existing business and perating mdel. Fr the segregatin f securities psitins by the creatin f sub-psitins within the same accunt, T2S prvides the fllwing prcessing ptins (referred as Case 3 Restrictin Prcessing Types in the UDFS): Deliverable (AWAS): Available psitin. It is used by default in the settlement. It is identified always by the Restrictin Type Id AWAS defined by T2S. Earmarking (EARM): Similar t Deliverable psitin but nly used if explicitly specified by the user. In ISO terms it is reprted tgether with the available. It is identified by the Restrictin Type Id cnfigured by the CSD e.g. EAR1, EAR2, EAR3... r by the Restrictin Type Id EEUR defined by T2S fr Earmarking fr aut-cllateralisatin (which is in the UDFS described separately). Cllateralized (COLL): Nt available psitin used t prevent the transfer f a securities psitin that has been used as cllateral in T2S autcllateralisatin. It is identified always by COLL. Blcking (BLCK): Nt available psitin used t prevent the transfer f the blcked quantity f a security in ne securities accunt t any ther securities accunt by assciating it t a specific identificatin t be used fr specific purpses. It is identified by: The Restrictin Type Id cnfigured by the CSD e.g. BLO1, BLO2, BLO3... And The Restrictin Reference generated by T2S at each set up (i.e. the Lt Number) COSD Blcking (COSP): Nt available psitin used t prevent the transfer f a securities psitin that is used in the Cnditinal Securities Delivery. bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 2

3 It is identified always by COSP and the Restrictin Reference generated by T2S at each set up (i.e. the Lt Number) Reservatin (RESE): Nt available psitin used t prevent the transfer f a securities psitin in a specific security in ne securities accunt t any ther securities accunt except fr the purpse fr which the psitin was reserved. It is identified by: The Restrictin Type Id cnfigured by the CSD e.g. RES1, RES2, RES3... And The Restrictin Reference generated by T2S at each set up (i.e. the Lt Number) This is the exhaustive list f all the sub-psitins (Restrictin Prcessing Types Case 3) that ne securities accunt might have in T2S. IV- Reprting f psitins and sub-psitins within semt.002 In rder t understand the reprting f securities psitin within the semt.002 in T2S, the BalanceFrAccunt is the message building blck t lk at. This building blck has the fllwing cmpnents: Financial Instrument Identificatin ( FinInstrmId ): It prvides the identificatin f the financial instrument (i.e. the ISIN). Aggregated Balance ( AggtBal ): It prvides the ttal quantity f securities held in the securities accunt. Available Balance ( AvlblBal ): It prvides the sum f Deliverable and Earmarked subpsitins. Nt Available Balance ( NtAvlblBal ): It prvides the sum f blcked, reserved, cllateralized and CSD blcked psitins held in the securities accunt. bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 3

4 Balance Break Dwn ( BalBrkdwn ): It prvides the details f each f the sub-psitins (i.e. the details f the hlding gruped by Restrictin Prcessing Type ). This blck requires further clarificatin as it is where the details per Restrictin Prcessing Type psitin are prvided. Sub-Balance Type ( SubBalTp ): identifies the Restrictin Prcessing Type. I.e. AWAS, BLCK, COLL, COSP, EARM r RESE Quantity ( Qty ): Ttal quantity f securities within the Restrictin Prcessing Type Additinal Balance Breakdwn Details ( AddtlBalBrkdwnDtls ): It prvides the sub-psitin details per Restrictin Type Id (i.e. the details f the hlding in a given Restrictin Prcessing Type gruped by Restrictin Type Id). This blck requires further clarificatin as it is where the details per Restrictin Type Id psitin are prvided. - Sub-Balance Type ( SubBalTp ): identifies the Restrictin Type Id. As already explained abve, depending n the Restrictin Prcessing Type the Restrictin Type Id might be unique r nt and might be defined by T2S r by the CSDs. I.e.: AWAS, COLL and COSP are the unique Restrictin Type Id defined by T2S fr Deliverable, Cllateralised and CSD Blcking respectively EEUR is a Restrictin Type Id defined by T2S fr Earmarking. Any ther Restrictin Prcessing Type may be identified by as many Restrictin Type Id as the CSD defines. E.g. EAR1, EAR2, EAR3... fr Earmarking; BLK1, BLK2, BLK3... fr Blcking; r RES1, RES2, RES3... fr Reservatin - Quantity ( Qty ): Ttal quantity f securities within the Restrictin Type Id - Quantity Breakdwn ( QtyBrkdwn ): Further level f details nly prvided fr reservatins and blcking psitins (nte that fr CSD blcking psitins the Quantity Breakdwn is nt prvided). In this case the Quantity Breakdwn cntains the hldings per Restrictin Id (Lt Number). bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 4

5 IV- Reprting f negative psitins T2S allws defining in T2S Static data securities accunts that may hld negative psitins (authrised t be negative). Thse securities accunts (pened fr specific purpses e.g. issuance accunts, mirrr r inter-csd accunts) that are allwed t have negative psitins might have a shrt r negative Deliverable r Earmarked sub-psitin in a financial instrument. It is imprtant t nte that even if a securities accunt is authrised t hld negative psitins, it des nt apply t cllateralised, blcked, reserved r CSD blcked sub-psitins (i.e. a cllateralised, blcked, reserved and CSD blcked cannt be negative). In rder t reprt the negative Deliverable r Earmarked sub-psitin, the semt.002 ffers a Shrt/Lng Indicatr fr the Aggregated Balance (see screensht belw). Fr Available Balance, Nt Available Balance r any further breakdwn details, the semt.002 des nt ffer the Shrt/Lng Indicatr field. As already mentined, cllateralized, blcked, reserved and CSD blcked psitins (i.e. the Nt available sub-psitins) cannt be negative in T2S, hence nt having the Shrt/Lng Indicatr field in the Nt Available Balance des nt have any impact n the T2S cmmunity. As regards t the Available Balance, there is the need t identify the specific sub-psitin that is negative: Given that the Nt Available is always psitive, by knwing the sign f the Aggregated Balance, it is pssible t knw the sign f the Available balance by applying: Aggregated= Available + Nt Available bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 5

6 A very similar frmula might be used by the user t knw the exact sub-psitins in the tw Available sub-balances, i.e. the user can knw the sign f the Deliverable (AWAS) and the Earmarking. I.e. nce the user knws the sign f the Available, the user has t apply: Available = AWAS + Earmarking. Hwever, in the very particular case where the quantity fr bth AWAS and Earmarked psitins is the same and with ppsite sign, it will nt be pssible t knw which f the tw psitins is negative and which psitive. This was nt cnsidered by ISO standards as a need fr the semt.002 message as it cntains nly Shrt/Lng Indicatr fr the Aggregated Balance. It is assumed that fr thse specific accunts allwed t have negative psitins; nly ne available sub-psitin (either AWAS r Earmarking) shall exist. In case the tw exists, the recipients f the semt.002 shall cnsider the need fr an additinal check in the very particular case where the quantity fr bth AWAS and Earmarked psitins is the same and with ppsite sign. In this sense, please nte that ensuring a single available sub-psitin (Earmarking) is pssible in T2S by earmarking the whle securities accunt (i.e. Earmarking at accunt level implies that the Earmarked becmes the default psitin instead f AWAS). By earmarking the whle securities accunt upn creatin f the securities accunt, nly the Restrictin Type Id f the earmarking at accunt level will exist in the accunt and hence this prblem will nt ccur. As regards t the pssible need f defining the sign f further breakdwn details accunting fr the Available Balance, it is imprtant t nte that: i) Deliverable (AWAS) des nt have any further breakdwn and ii) Fr the case f Earmarking (where there might be several Restrictin Types Ids), the ISO message and its cmmunity has nt cnsidered the business case fr having several negative sub-psitins. Please nte that yet again, by earmarking the whle securities accunt upn its creatin (i.e. Earmarking at accunt level implies that the Earmarked becmes the default psitin instead f AWAS) nly the Restrictin Type Id f the earmarking at accunt level will exist in the accunt and hence this prblem will nt ccur. Shall the T2S cmmunity clarify the need fr having several negative Earmarked subpsitins; an ISO CR t the semt.002 (in rder t add Shrt/Lng Indicatrs) wuld have t be raised. During the CRG Telc f 26 March 2015 it was clarified that sme CSDs currently see the pssibility f having several negative Earmarked sub-psitins. bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 6

7 Examples fr the reprting f negative psitins: Fr a given Securities Accunt with: 1. A single securities psitin Deliverable AWAS f -300 in ISIN The relevant fields (BalanceFrAccunt message building blck) f the semt.002 will be: <BalFrAcct> <FinInstrmId> <ISIN>ISIN </ISIN> </FinInstrmId> <AggtBal> <ShrtLngInd>SHOR</ShrtLngInd> </AggtBal> <AvlblBal> </AvlblBal> <NtAvlblBal> <Unit>0</Unit> </NtAvlblBal> <Cd>AWAS</Cd> </BalFrAcct> bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 7

8 2. A Deliverable AWAS securities psitin f +300 and an Earmarked securities psitin f -600 in the Earmarking EAR1 in ISIN The relevant fields (BalanceFrAccunt message building blck) f the semt.002 will be: <BalFrAcct> <FinInstrmId> <ISIN>ISIN </ISIN> </FinInstrmId> <AggtBal> <ShrtLngInd>SHOR</ShrtLngInd> </AggtBal> <AvlblBal> </AvlblBal> <NtAvlblBal> <Unit>0</Unit> </NtAvlblBal> <Cd>AWAS</Cd> <Id>EARM</Id> <SchmeNm>RPT</SchmeNm> <Unit>600</Unit> <AddtlBalBrkdwnDtls> <Id>EAR1</Id> bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 8

9 <SchmeNm>RT</SchmeNm> <Unit>600</Unit> <SubBalAddtlDtls>Earmarking n securities psitin</subbaladdtldtls> </AddtlBalBrkdwnDtls> </BalFrAcct> 3. A Deliverable AWAS securities psitin f +300, an Earmarked securities psitin f -600 in the Earmarking EAR1 and a COSD blcking f 400 in ISIN Nte: N need t specify the sign f the CSD blcking because as any Nt available psitin it must be psitive (i.e. +400) The relevant fields (BalanceFrAccunt message building blck) f the semt.002 will be: <BalFrAcct> <FinInstrmId> <ISIN>ISIN </ISIN> </FinInstrmId> <AggtBal> <ShrtLngInd>LONG</ShrtLngInd> <Unit>100</Unit> </AggtBal> <AvlblBal> </AvlblBal> <NtAvlblBal> <Unit>400</Unit> </NtAvlblBal> <Cd>AWAS</Cd> bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 9

10 bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 10 <Id>EARM</Id> <SchmeNm>RPT</SchmeNm> <Unit>600</Unit> <AddtlBalBrkdwnDtls> <Id>EAR1</Id> <SchmeNm>RT</SchmeNm> <Unit>600</Unit> <SubBalAddtlDtls>Restrictin Type 03</SubBalAddtlDtls> </AddtlBalBrkdwnDtls> <Id>COSP</Id> <SchmeNm>RPT</SchmeNm> <Unit>400</Unit> <AddtlBalBrkdwnDtls> <Id>COSP</Id> <SchmeNm>RT</SchmeNm> <Unit>400</Unit> <SubBalAddtlDtls>CSD blcking</subbaladdtldtls> </AddtlBalBrkdwnDtls> </BalFrAcct>

11 4. Final example shwing the pssibility f having multiple earmarked psitins in a securities accunt fr the same ISIN (ISIN in the example): A Deliverable AWAS securities psitin f +300 An Earmarked securities psitin f -600 in the Earmarking EAR1 An Earmarked securities psitin f +400 in the Earmarking EAR2 An Earmarked securities psitin f -800 in the Earmarking EAR3 The relevant fields (BalanceFrAccunt message building blck) f the semt.002 will be: <BalFrAcct> <FinInstrmId> <ISIN>ISIN </ISIN> </FinInstrmId> <AggtBal> <ShrtLngInd>SHOR</ShrtLngInd> <Unit>700</Unit> </AggtBal> <AvlblBal> <Unit>700</Unit> </AvlblBal> <NtAvlblBal> <Unit>0</Unit> </NtAvlblBal> <Cd>AWAS</Cd> <Id>EARM</Id> <SchmeNm>RPT</SchmeNm> bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 11

12 <Unit>1000</Unit> <AddtlBalBrkdwnDtls> <Id>EAR1</Id> <SchmeNm>RT</SchmeNm> <Unit>600</Unit> <SubBalAddtlDtls>Earmarking n securities psitin</subbaladdtldtls> </AddtlBalBrkdwnDtls> <AddtlBalBrkdwnDtls> <Id>EAR2</Id> <SchmeNm>RT</SchmeNm> <Unit>400</Unit> <SubBalAddtlDtls>Earmarking n securities psitin 2</SubBalAddtlDtls> </AddtlBalBrkdwnDtls> <AddtlBalBrkdwnDtls> <Id>EAR3</Id> <SchmeNm>RT</SchmeNm> <Unit>800</Unit> <SubBalAddtlDtls>Earmarking n securities psitin 3</SubBalAddtlDtls> </AddtlBalBrkdwnDtls> </BalFrAcct> bd_ut-pbr-030_semt.002-_statement_f_hldings_v2_revbd_ut-pbr-030_semt.002-_statement_f_hldings_v2_rev.dcx 12