Transcription

1 Dział Rozwoju Systemów Informatycznych Rules of exchanging ISO20022 messages in the kdpw_stream system Area: Clearing Version 2.0 Warsaw, July

2 Table of Contents 1. Document History Introduction Message flow ISO20022 message flow Backward compatibility maintaining current message types Specific issues of message structure Report pagination head Business Application Header Message content description secl Trade Leg Notification secl Trade Leg Cancellation secl Trade Leg Statement secl Net Positions Report secl Settlement Obligations Report

3 1. Document History KDPW Version 2.0 Deletion of AMR code information KDPW Version 1.0 Creation of the document 2. Introduction This document describes the structure and the rules of exchanging ISO20022 messages in the Clearing area of the kdpw_stream system. The presented set of messages has been developed by SWIFT in co-operation with a group of CCP representatives and clearing member institutions. SWIFT is planning to start the exchange of such messages in its network in This document describes the flow of messages in the context of KDPW_CCP processes. It presents the structure of the ISO20022 message header Business Application Header (BAH). It also describes the content of ISO20022 Clearing messages used by the kdpw_stream system. The messages described in this documentation are expected to be exchanged in the KDPW message exchange system ESDK, ESDI. Interested institutions will also be able to exchange ISO20022 messages via the SWIFT network (FileAct and InterAct services). For additional information about ISO20022 message structure and detailed technical specification please visit the websites and Message schemas in XSD file format and original technical documentation are also available on the KDPW website. The documents are intellectual property of SWIFT and have been published with SWIFT consent. 3

4 3. Message flow 3.1 ISO20022 message flow A clearing member will receive the following messages from KDPW_CCP: Market Clearing member Clearing instruction 1 Market session Trade leg notification (secl ) Clearing instruction cancellation Trade leg notification cancellation (secl ) 2 Session close Session close message Trade leg statement (secl ) Net positions report (secl ) 3 Post-session reports Settlement obligation report (secl ) 4

5 During a session, the clearing member receives on an on-going basis messages concerning transactions assigned to the clearing member in messages secl If a transaction is cancelled, the clearing member is notified in message secl After the close of a market session, during a clearing session, KDPW_CCP sends reports to clearing members in messages: secl the day s trade statement; secl the day s net position report; secl the settlement obligations report. 5

6 3.2 Backward compatibility maintaining current message types KDPW_CCP participants who are not interested to receive messages with the new ISO20022 structure can receive the same information in the current xml message format in the kdpw_stream system: Market Clearing member Clearing instruction 1 Market session Clearing instruction status (sese.sts ) Clearing instruction cancellation Clearing instruction status (sese.sts ) 2 Session close Session close message Securities flow report at transaction date (semt.ssf ) 3 Post-session reports Net cash settlement (camt.smt ) For the sake of transparency, the figure above only presents messages which correspond in large part to the functions of new ISO20022 messages. All other kdpw_stream system messages will also be maintained. 6

7 4. Specific issues of message structure 4.1 Report pagination With a view to effective exchange of messages over the telecommunication network, large reports will be split into parts known as pages. The following messages described in this documentation may be paginated: secl , secl , secl The numbers of subsequent report pages will be presented in field PgNb, e.g.: <PgNb>1</PgNb> The last page of a report will be flagged with the last page indicator set to true: <LastPgInd>true</LastPgInd> The identifier will be set to false for other pages: <LastPgInd> false </LastPgInd> 7

8 4.2. head Business Application Header The main purpose of the standard header BAH (Business Application Header) is to present message sender and receiver identifiers at business application level. BAH performs the same role in ISO20022 messages as the attributes Sndr and Rcvr of the main element (KDPWDocument) in kdpw_stream system xml messages. The specification and rules of use of BAH are available at Message content <?xml version="1.0" encoding="utf-8"?> <AppHdr xmlns:xsi=" xmlns="urn:iso:std:iso:20022:tech:xsd:head "> <CharSet>utf_8</CharSet> <Fr> <OrgId> <OrgId> <AnyBIC>KDPWPLPW</AnyBIC> </OrgId> </OrgId> </Fr> <To> <OrgId> <OrgId> <Othr> 09AA </Othr> </OrgId> </OrgId> </To> <BizMsgIdr>id1</BizMsgIdr> <MsgDefIdr>secl </MsgDefIdr> <CreDt> T09:00:00Z</CreDt> </AppHdr> Description Character set Message sender (in the example: BIC code) Message receiver (in the example: KDPW identifier) Business message identifier Business message definition identifier UTC (Coordinated Universal Time) date and time when the message was created 8

9 An example of a business message with BAH is presented below: <?xml version="1.0" encoding="utf-8"?> <AppHdr xmlns:xsi=" xmlns="urn:iso:std:iso:20022:tech:xsd:head "> <CharSet>utf_8</CharSet> <Fr> <OrgId> <OrgId> <Othr> 0010 </Othr> </OrgId> </OrgId> </Fr> <To> <OrgId> <OrgId> <Othr> 09AA </Othr> </OrgId> </OrgId> </To> <BizMsgIdr>id1</BizMsgIdr> <MsgDefIdr>secl </MsgDefIdr> <CreDt> T10:00:00Z</CreDt> </AppHdr> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl " xsi:schemalocation="urn:swift:xsd:secl secl xsd"> <TradLegNtfctn> id1 <CreDtTm> <DtTm> T10:00:00</DtTm> </CreDtTm> <ClrMmb>...(remaining message content) </TradLegNtfctn> </Document> 9

10 5. Message content description 5.1 secl Trade Leg Notification A message sent by KDPW_CCP to a clearing member with data of an executed market transaction. secl messages are sent on an on-going basis after KDPW_CCP receives data from the trading system. Message content <?xml version="1.0" encoding="utf-8"?> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl "> <TradLegNtfctn> Notifcation1 <CreDtTm> <DtTm> T10:00:00</DtTm> </CreDtTm> <ClrMmb> <PrtryId> UR1 </PrtryId> </ClrMmb> <ClrAcct> 1CLR_ACC_HOUSE <Tp>HOUS</Tp> </ClrAcct> <ClrDtls> <SttlmNetgElgblCd>NETT</SttlmNetgElgblCd> </ClrDtls> <TradLegDtls> <TradLegId>Z1</TradLegId> <TradId>Z1</TradId> <TradExctnId>UTP_TR1</TradExctnId> <TradgPty> <PrtryId> 09BB </PrtryId> <TradgPty> <TradgCpcty>PRIN</TradgCpcty> Description Message identifier Date and time when the message was created Clearing member KDPW identifier KDPW system clearing account identifier and type Account types: CLIE client (client s account) HOUS house (proprietary account) LIPR liquidity provider (market maker) Netting qualifier Allowed values: GROS gross settlement NETT net settlement Market transaction identifier Broker order identifier Market order identifier Trading party identifier Trading capacity: 10

11 <TradTp>OOBK</TradTp> <TradDt> T09:59:10</TradDt> <SttlmDt> <Dt> </Dt> </SttlmDt> <TradQty> <Unit>100</Unit> </TradQty> <DealPric> <Val> <Amt Ccy="PLN">1000</Amt> </Val> </DealPric> <BuySellInd>BUYI</BuySellInd> <FinInstrmId> <ISIN>PL </ISIN> <OthrId> ASDFGHJAJ <Tp> <Cd>PSCD</Cd> </Tp> </OthrId> </FinInstrmId> <PlcOfTrad> <MktIdrCd>XWAR</MktIdrCd> <Tp> <Cd>EXCH</Cd> </Tp> </PlcOfTrad> </TradLegDtls> <SttlmDtls> <SttlmAmt> <Amt Ccy="PLN">100000</Amt> </SttlmAmt> </SttlmDtls> </TradLegNtfctn> </Document> AGEN on clients account PRIN proprietary account Trade type kdpw_stream values: OOBK market transaction Trade date and time Intended settlement date Trade quantity Deal price Buy/sell indicator Allowed values: BUYI buy SELL - sell Financial instrument ISIN code In addition, the field OtherId may present identifiers used by the Exchange system: PSCD pseudo-isin code for transactions other than main market segment trades in UTP system Place of trading MIC code and market type. Market type values: EXCH Exchange trade PRIM primary market Settlement amount 11

12 5.2 secl Trade Leg Cancellation A message sent by KDPW_CCP to a clearing member in case of cancellation of a previous transaction. Message content <?xml version="1.0" encoding="utf-8"?> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl "> <TradLegNtfctnCxl> Cancellation Notifcation1 <CreDtTm> <DtTm> T10:00:00</DtTm> </CreDtTm> <Refs> <TradLegId>Z1</TradLegId> </Refs> <ClrMmb> <PrtryId> UR1 </PrtryId> </ClrMmb> <ClrAcct> 1CLR_ACC_HOUSE <Tp>HOUS</Tp> </ClrAcct> <ClrDtls> <SttlmNetgElgblCd>NETT</SttlmNetgElgblCd> </ClrDtls> <TradLegDtls> <TradDt> T09:10:10</TradDt> <SttlmDt> <Dt> </Dt> </SttlmDt> <DealPric> <Val> <Amt Ccy="PLN">100000</Amt> </Val> </DealPric> <TradTp>OOBK</TradTp> Description Message identifier Date and time when the message was created Cancelled trade identifier Clearing member KDPW identifier KDPW system clearing account identifier and type Account types: CLIE client (client s account) HOUS house (proprietary account) LIPR liquidity provider (market maker) Netting qualifier Allowed values: GROS gross settlement NETT net settlement Trade date and time Intended settlement date Deal price Trade type kdpw_stream values: OOBK market transaction 12

13 <TradgCpcty>PRIN</TradgCpcty> <BuySellInd>BUYI</BuySellInd> <FinInstrmId> <ISIN>PL </ISIN> <OthrId> ASDFGHJAJ <Tp> <Cd>PSCD</Cd> </Tp> </OthrId> </FinInstrmId> <PlcOfTrad> <MktIdrCd>XWAR</MktIdrCd> <Tp> <Cd>EXCH</Cd> </Tp> </PlcOfTrad> <TradQty> <Unit>100</Unit> </TradQty> </TradLegDtls> <SttlmDtls> <SttlmAmt> <Amt Ccy="PLN">10</Amt> </SttlmAmt> </SttlmDtls> </TradLegNtfctnCxl> </Document> Trading capacity: AGEN on clients account PRIN proprietary account Buy/sell indicator Allowed values: BUYI buy SELL - sell Financial instrument ISIN code In addition, the field OtherId may present identifiers used by the Exchange system: PSCD pseudo-isin code for transactions other than main market segment trades in UTP system Place of trading MIC code and market type. Market type values: EXCH Exchange trade PRIM primary market Trade quantity Settlement amount 13

14 5.3 secl Trade Leg Statement A message sent by KDPW_CCP to a clearing member with a list of the clearing member s transactions executed during the day. The message is sent at the close of a clearing day. Message content <?xml version="1.0" encoding="utf-8"?> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl "> <TradLegStmt> MSG <CreDtTm> <DtTm> T18:00:00</DtTm> </CreDtTm> <Pgntn> <PgNb>1</PgNb> <LastPgInd>true</LastPgInd> </Pgntn> <StmtParams> <StmtId>Stmnt1</StmtId> <StmtDtAndTm> <Dt> </Dt> </StmtDtAndTm> <UpdTp>COMP</UpdTp> <Frqcy>DAIL</Frqcy> <ActvtyInd>true</ActvtyInd> </StmtParams> <ClrMmb> <PrtryId> UR1 </PrtryId> </ClrMmb> <StmtDtls> <ClrAcct> 1CLR_ACC_HOUSE <Tp>HOUS</Tp> </ClrAcct> Description Message identifier (separate for each report page) Date and time when the message was created Page number LastPgInd field values: true last page false other page Statement identifier common to all report pages Statement date Statement data indicator: COMP complete data DELT changes only (not used by kdpw_stream) Report frequency: DAIL daily report INDA intra-day report (not used by kdpw_stream) ONDE on-demand report (not used by kdpw_stream) Activity indicator of the reported period Clearing member KDPW identifier KDPW system clearing account identifier and type Account types: CLIE client (client s account) 14

15 <TradLegDtls> <TradLegId>Z1</TradLegId> <TradId>Z1</TradId> <TradExctnId>UTP_TR1</TradExctnId> <TradgPty> <PrtryId> 09BB </PrtryId> <TradgPty> <TradDt> T09:10:10</TradDt> <SttlmDt> <Dt> </Dt> </SttlmDt> <DealPric> <Val> <Amt Ccy="PLN">1000</Amt> </Val> </DealPric> <TradTp>OOBK</TradTp> <TradgCpcty>AGEN</TradgCpcty> <BuySellInd>BUYI</BuySellInd> <FinInstrmId> <ISIN>PL </ISIN> </FinInstrmId> <TradQty> <Unit>100</Unit> </TradQty> <PlcOfTrad> <MktIdrCd>XWAR</MktIdrCd> <Tp> <Cd>EXCH</Cd> </Tp> </PlcOfTrad> <ClrDtls> <SttlmNetgElgblCd>NETT</SttlmNetgElgblCd> HOUS house (proprietary account) LIPR liquidity provider (market maker) Market transaction identifier Broker order identifier Market order identifier Trading party identifier Trade date and time Intended settlement date Deal price Trade type kdpw_stream values: OOBK market transaction Trading capacity: AGEN on clients account PRIN proprietary account Buy/sell indicator Allowed values: BUYI buy SELL - sell Financial instrument ISIN code Trade quantity Place of trading MIC code and market type. Market type values: EXCH Exchange trade PRIM primary market Netting qualifier Allowed values: GROS gross settlement NETT net settlement <SttlmNetgElgblCd>NETT</SttlmNetgElgblCd> </ClrDtls> </TradLegsDtls> <TradLegsDtls> 15

16 </TradLegsDtls> </StmtDtls> </TradLegStmt> </Document> Next trade details 16

17 5.4 secl Net Positions Report A message sent by KDPW_CCP to a clearing member with a list of aggregated net clearing positions from transactions executed during the day. The message is sent at the close of a clearing day. Message content <?xml version="1.0" encoding="utf-8"?> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl "> <NetPos> Settlemen obl report1 <CreDtTm> <DtTm> T18:00:00</DtTm> </CreDtTm> <Pgntn> <PgNb>1</PgNb> <LastPgInd>true</LastPgInd> </Pgntn> <RptParams> <NetPosId>Net Pos1</NetPosId> <RptDtAndTm> <Dt> </Dt> </RptDtAndTm> <UpdTp>COMP</UpdTp> <Frqcy>DAIL</Frqcy> <ActvtyInd>true</ActvtyInd> </RptParams> <ClrMmb> <PrtryId> UR1 </PrtryId> </ClrMmb> <NetPosRpt> <ClrAcct> 1CLR_ACC_HOUSE <Tp>HOUS</Tp> </ClrAcct> Description Message identifier (separate for each report page) Date and time when the message was created Page number LastPgInd field values: true last page false other page Clearing position identifier Clearing position date Report data indicator: COMP complete data DELT changes only (not used by kdpw_stream) Report frequency: DAIL daily report INDA intra-day report (not used by kdpw_stream) ONDE on-demand report (not used by kdpw_stream) Activity indicator of the reported period Clearing member KDPW identifier KDPW system clearing account identifier and type Account types: CLIE client (client s account) HOUS house (proprietary account) LIPR liquidity provider (market 17

18 maker) <DlvryAcct> SETT_ACC2 </DlvryAcct> <FinInstrmId> <ISIN>PL </ISIN> </FinInstrmId> <NetPosAmt> <Amt Ccy="PLN">4100</Amt> <CdtDbtInd>DBIT</CdtDbtInd> </NetPosAmt> <NetQty> <Unit>410</Unit> </NetQty> <SctiesMvmntTp>DELI</SctiesMvmntTp> <Dpstry> <BIC>KDPWPLPW</BIC> </Dpstry> <TradLegDtls> <TradLegId>Z1</TradLegId> <TradId>Z1</TradId> <TradExctnId>UTP_TR1</TradExctnId> <TradgPty> <PrtryId> 09BB </PrtryId> <TradgPty> <TradDt> T09:10:10</TradDt> <SttlmDt> <Dt> </Dt> </SttlmDt> <DealPric> <Val> <Amt Ccy="PLN">1000</Amt> </Val> </DealPric> <TradTp>OOBK</TradTp> <TradgCpcty>AGEN</TradgCpcty> <BuySellInd>BUYI</BuySellInd> <PlcOfTrad> <MktIdrCd>XWAR</MktIdrCd> <Tp> <Cd>EXCH</Cd> </Tp> </PlcOfTrad> Clearing account identifier Financial instrument ISIN code Net position amount Net quantity Depository BIC code Market transaction identifier Broker order identifier Market order identifier Trading party identifier Trade date and time Intended settlement date Deal price Trade type kdpw_stream values: OOBK market transaction Trading capacity: AGEN on clients account PRIN proprietary account Buy/sell indicator Allowed values: BUYI buy SELL - sell Place of trading MIC code and market type. Market type values: EXCH Exchange trade PRIM primary market 18

19 <TradQty> <Unit>100</Unit> </TradQty> </TradLegsDtls> <TradLegsDtls> </TradLegsDtls> </NetPosRpt> <NetPosRpt> <TradLegsDtls> Trade quantity Next trade details Next net position details Next trade details </TradLegsDtls> </NetPosRpt> </NetPos> </Document> 19

20 5.5 secl Settlement Obligations Report A message sent by KDPW_CCP to a clearing member with a list of the clearing member s clearing obligations and amounts due. The message is sent at the close of a clearing day. Message content <?xml version="1.0" encoding="utf-8"?> <Document xmlns:xsi=" xmlns="urn:swift:xsd:secl ""> <SttlmOblgtnRpt> MSG <CreDtTm> <DtTm> T18:00:00</DtTm> </CreDtTm> <Pgntn> <PgNb>1</PgNb> <LastPgInd>true</LastPgInd> </Pgntn> <RptParams> <RptId>Sett obl rep 1</RptId> <RptDtAndTm> <Dt> </Dt> </RptDtAndTm> </RptParams> <ClrMmb> <PrtryId> UR1 </PrtryId> </ClrMmb> <DlvryAcct> SETT_ACC2 </DlvryAcct> <RptDtls> <SttlmOblgtnDtls> <SttlmOblgtnId>Set obl 1</SttlmOblgtnId> <FinInstrmId> <ISIN>PL </ISIN> </FinInstrmId> <IntnddSttlmDt> <Dt> <Dt> </Dt> </Dt> </IntnddSttlmDt> <Qty> <Unit>-410</Unit> </Qty> Description Message identifier (separate for each report page) Date and time when the message was created Page number LastPgInd field values: true last page false other page Report identifier (common to all pages) Report date Clearing member KDPW identifier Clearing account identifier Settlement obligations identifier Financial instrument ISIN code Intended settlement date Settlement obligations quantity 20

21 <SttlmAmt> <Amt Ccy="PLN">4100</Amt> </SttlmAmt> <PlcOfTrad> <MktIdrCd>XWAR</MktIdrCd> <Tp> <Cd>EXCH</Cd> </Tp> </PlcOfTrad> <TradDt> </TradDt> </SttlmOblgtnDtls> <SttlmOblgtnDtls> </SttlmOblgtnDtls> </RptDtls> </SttlmOblgtnRpt> </Document> Settlement obligations amount Place of trading MIC code and market type. Market type values: EXCH Exchange trade PRIM primary market Trade date and time Next settlement position details 21