Indice X-COM Service Collateral Management

Transcription

1 Indice X-COM Service Collateral Management Service Notice according to article 4 of the Rules governing the X-COM Service and article 1.2 of the X-COM Service Instructions Effective from December 21,

2 1. Participants 4 2. Trading platforms served by X-COM 4 3. Operating areas 4 4. Financial instruments eligible in the Service 4 5. Transactions currencies 4 6. Sources of information available for the management of collateral Prices Forex rates Rating Data for Close link checks Sources of information on securities Financial instruments available for collateral operations vis-à-vis the European Central Bank Financial instruments available for collateral operations vis-à-vis Banca d Italia 7 7. Rules of the Service applied by default in case Participants do not define any rules Matching rules for the opening (FOP), the closing (FOP-R), the cancellation of free-of-payment collateral requests Autosubstitution for corporate action Partial settlement Rules applicable to the selection and to the evaluation of securities 7 8. System parameters Mark to Market - Margin call / Margin Excess thresholds Over-collateralization thresholds Automatic Cancellation of unmatched cancellation requests Period of unavailability of recalled securities for new operations Close link check exclusion for some securities type Rules applicable to Banca d Italia as collateral taker Partial settlement Auto-substitution for corporate action Matching rules for the opening (FOP), the closing (FOP-R), the cancellation of free-of-payment collateral requests 11

3 10. Daily timetable Business day Settlement Mark to Market Cancellation of operations from the Service 13

4 1. Participants The list of participants in the Service is available on Monte Titoli website. It is updated monthly. Each Participant is detailed the role played within the Service: Collateral Giver, Collateral Receiver or both, as well as the operating sector it adheres to. Participants suspension or exclusion is notified via the web site. 2. Trading platforms served by X-COM Trading platforms linked to the X-COM Service: - MTS S.p.A. Government Bonds Market - e-mid SIM S.p.A. for both trades guaranteed by Cassa di Compensazione e Garanzia and for CCP non guaranteed trades. 3. Operating areas Following operating sectors are available in the X-COM Service: - Trades within Banca d Italia pooling Service - Off-exchange trades - On-exchange CCP guaranteed trades - On-exchange trades 4. Financial instruments eligible in the Service The list of all financial instruments eligible in the service is available on Monte Titoli web site. The list is updated twice a month. In order to select and evaluate securities for collateral operations, as per the X-COM Service Rules, each ISIN in the list is specified its nature (government, supranational, corporate, agency). 5. Transactions currencies For the time being, Euro is the only settlement currency available in the Service. The admission of additional settlement currencies will be announced in due course. 4

5 6. Sources of information available for the management of collateral Information for the selection and for the evaluation of collateral is received from info providers as specified in the following. Pieces of information on securities are received once a day, while market prices are downloaded more often during the day, unless info providers send no updates during the business day. 6.1 Prices - Trades within Banca d Italia pooling Service Prices are received by Banca d Italia on a daily basis. They are net of haircut and include interests, pool factor and coefficient indexes. - Other operating areas Financial instruments are priced on the basis of both market and theoretical prices. Both are clean prices. Market prices, recorded on the most representative markets, are made available by Bit Market Services. Intra-day prices are usually recorded real-time. Theoretical prices, instead, are provided by Bloomberg via their Service Bloomberg Valuation Service BVAL. All such prices have a score (from 0 to 10) that is calculated basing on the quality and the quantity of the information available for pricing determination purposes. X-COM only uses prices whose score is no less than Forex rates Forex rates are available through Bit Market Services. Eliminato: 7 Eliminato: At the moment no prices are available for structured securities. 6.3 Rating Ratings used for the definition of the composite rating calculated by Monte Titoli, as well as the risk indicator used by Cassa di Compensazione e Garanzia, are provided by Fitch, via Interactive Data Kler s and by Standard & Poors. Ratings received are converted into the composite rating by Monte Titoli, according to the following table: Eliminato: translated 5

6 S&P S&P alternative Fitch MT Risk Indicator AAA AAAu AAA AA+ AA+u AA+ AA AAu AA AAA AA+ AA AA- AA-u AA- AA- 4 A+ A+u A+ A+ 5 A Au A A 6 A- A-u A- A- 7 BBB+ BBB+u BBB+ BBB+ 8 BBB BBBu BBB BBB 9 BBB- BBB-u BBB- BBB- 10 BB+ BB+u BB+ BB+ 11 BB BBu BB BB 12 BB- BB-u BB- BB- 13 B+ B+u B+ B+ 14 B Bu B B 15 B- B-u B- B- 16 CCC+ CCC+u CCC CCC+ 17 CCC CCCu CC CCC 18 CCC- CCC-u C CCC- 19 CC CCu RD CC 20 R Ru D C 21 SD SDu WD Data for Close link checks Company groups and controlling entities of ISINs eligible in the Service are received by Interactive Data Kler s. 6.5 Sources of information on securities Financial instruments types info (government, supranational, corporate, agency) needed for selection of securities to be settled as collateral, are received: Eliminato: and structured - Securities eligible for collateral operations with the European Central Bank: from the European Central Bank itself, in particular with reference to liquidity class and issuer group data. The list of such securities is published on the ECB web site; - All other securities admitted in the X-COM service: from Bloomberg. Other pieces of information inherent to securities eligible as collateral are provided by Bloomberg. 6

7 6.6 Financial instruments available for collateral operations vis-à-vis the European Central Bank The list of securities eligible for collateral vis-à-vis the European Central Bank is published on the ECB web site. 6.7 Financial instruments available for collateral operations vis-à-vis Banca d Italia The list of securities eligible for collateral purposes vis-à-vis Banca d Italia is received from Banca d Italia daily. 7. Rules of the Service to be applied by default in case Participants do not define any rules Following are the rules applied by the Service as default, in case Participants do not set their own rules1. Default rules are applied in the selection and in the evaluation of securities to be used as collateral in off-exchange trades, in all circumstances when no bilateral rules have been set between the collateral giver and the collateral receiver. 7.1 Matching rules for the opening (FOP), the closing (FOP-R), the cancellation of freeof-payment collateral requests Collateral request type Matching/denial Input of FOP collateral requests Input of FOP-R collateral requests Cancellation of FOPcollateral request Cancellation of FOP-R collateral requests Manual Matching/Denial Manual Matching/Denial Manual Matching/Denial Manual Matching/Denial 7.2 Autosubstitution for corporate action YES 7.3 Partial settlement YES 7.4 Rules applicable to the selection and to the evaluation of securities Eligibility rules - Eligible financial instruments types: Government, supranational corporate, agency - Issuer countries for each type of eligible securities 1 Rules defined by the X-COM User Group during their meetings on 25 June 2014 and on 2 July

8 Issuer Country Government Corporate Agency Austria X X X Belgium X X X Finland X X X France X X X Germany X X X Italy X X X The X X X N Spain d l d X X X - Minimum rating for securities types Composite rating MT Government Supranational Corporate Agency AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- X X X X BB+ BB BB- B+ B B- CCC+ CCC CCC- CC C NR - Issuance currency of securities: EUR, USD, GBP, CHF - Maximum price quotation age: 5 days - Close link check exclusion: NO - Excluded Issuing companies: none 8

9 Concentration limits - Max percentage of issued securities (per each issue), in nominal value: 30% - Max percentage of counter-value to be set as collateral on the overall countervalue of securities already settled: 50% - Max percentage for each combination «Securities Class Class of rating» : undefined - Max percentage for each combination «Securities Class Issuer Country»: undefined - Max percentage Issuer Country : undefined - Max percentage Securities Class : undefined Haircut - Haircut for the price quotation age: 2% for prices whose quotation age is > 1 day - Haircut cross currency: 4% - Haircut per rating/security type: Composite MT Government Supranational Corporate Agency AAA 0% 0% 2% 2% AA+ 0% 0% 2% 2% AA 0% 0% 2% 2% AA- 0% 0% 2% 2% A+ 0% 0% 2% 2% A 0% 0% 2% 2% A- 0% 0% 2% 2% BBB+ 0% 0% 2% 2% BBB 0% 0% 2% 2% BBB- 0% 0% 2% 2% 9

10 8. System parameters System parameters are as follow Mark to Market - Margin call / Margin Excess thresholds Area of business Margin call Margin excess Off-exchange collateral operations 0% 0,5% 8.2 Over-collateralization thresholds Off-exchange collateral operations and operations within Banca d Italia pooling service 0,25% 8.3 Automatic Cancellation of unmatched cancellation requests Three business days 8.4 Period of unavailability of recalled securities for new operations Securities received upon collateral recalls are unavailable for new allocations till the close of the business day when recalled securities have been received 8.5 Close link check exclusion for some securities type OTC transactions Covered bonds CRD compliant Exclusion of close link check NO 2 These parameters had been defined by the X-COM User Group during their meetings on 25 June 2014, on 2 and 9 July Parameters at par. 8.2, 8.3 and 8.5 relating to CCP guaranteed trades are defined and announced by Cassa di Compensazione e Garanzia. 10

11 9. Rules applicable to Banca d Italia as collateral taker 9.1 Partial settlement YES 9.2 Auto-substitution for corporate action YES 9.3 Matching rules for the opening (FOP), the closing (FOP-R) and for the cancellation of free-of-payment collateral requests Collateral request type Matching/denial Input of FOP collateral requests Input of FOP-R collateral requests Cancellation of FOPcollateral request Cancellation of FOP-R collateral requests Partially automatic Matching/Denial Partially automatic Matching/Denial Partially automatic Matching/Denial Partially automatic Matching/Denial 11

12 10. Daily timetable 10.1 Business day The Service is available from 07.00am to 7.00pm CET. Participants may input collateral requests during opening hours Settlement Schedule Settlement 07.30am pm Minimum and maximum timing for the settlement of Collateral Instructions 3 : DVP - Delivery Versus Payment Transactions between Participants FOP - Funding Operations between Participants FOP-R - Funding Operations between Participants in Return FOP Funding Operation against Banca d Italia FOP-R Funding Operations Against Banca d Italia in Return CRE - Collateral Recall CAS - Collateral Autosubstitution COR - Collateral One Way Recall ICR - Ineligible Collateral Return ACS - Automatic Collateral Search CER - Automatic Collateral Excess Return ICC - Ineligible Collateral Return for CCP ICM - Ineligible Collateral Return for Market RCR Reused Collateral Return 07.30am pm 07.30am 05.45pm 07.30am 05.45pm 07.30am 05.00pm 3 Unless Collateral Instructions are cancelled by the System before the latest settlement cut-off, according to the circumstances specified in the Service Instructions. Eliminato: cases 12

13 10.3 Mark to Market Mark to market (at the opening of the business day) Mark to market (intraday) Mark to market (at the close of the business day) End of the month MT 569 message Issuance of margin call / margin excess notices (via MT-X) Timetable 05.15am 10.30am 12.30pm 04.30pm 07.15pm (approximately) 02,30pm Parameter 5 minutes after the creation of ACS or CER collateral instructions (Automatic Collateral Search, Automatic Collateral Excess Return) that are unsettled or are settled only partially Eliminato: 00pm 11. Cancellation of operations from the Service Transactions expired according to the criteria specified at paragraph 7.1 of the X-COM Service Instructions remain available for queries in MT-X for the time intervals below, such intervals commencing in the day when bilateral exposures are set to zero: Are of business Deadline for cancellation (calendar days) Eliminato:. Eliminato: S Eliminato: start Eliminato: equal Off-exchange trades Trades within Banca d Italia pooling Service CCP guaranteed on-exchange transactions 90 days 90 days 90 days 13

14 Luglio Il presente documento è adottato a norma delle leggi speciali. Monte Titoli S.p.A. non deve essere ritenuta responsabile per eventuali danni, derivanti anche da imprecisioni e/o errori, che possano derivare all utente e/o a terzi dall uso dei dati contenuti nel presente documento. AGREX, BORSA ITALIANA, BORSA ITALIANA ITALIAN STOCK EXCHANGE, BORSA VIRTUALE, BORSAM@T, CITY FOR GOOD, DDM, ELITE, ETFplus, EUROMOT, EXPANDI, EXTRAMOT, IDEM-THE ITALIAN DERIVATIVES MARKET, IDEX, MIB, MIB 30, MIBTEL, MIDEX, MINIFIB, MIV, MOT, MTA, MTF, NIS, SEDEX, STAR, STAR SEGMENTO TITOLI CON ALTI REQUISITI, TECHSTAR nonché il marchio figurativo costituito da tre losanghe in obliquo sono marchi registrati di proprietà di Borsa Italiana S.p.A. CC&G è un marchio registrato di proprietà di Cassa di Compensazione e Garanzia S.p.A. MONTE TITOLI, X-TRM e MT-X sono marchi registrati di proprietà di Monte Titoli S.p.A. MTS, BOND VISION, EUROMTS sono marchi registrati di proprietà di MTS S.p.A. PALAZZO MEZZANOTTE CONGRESS CENTRE AND SERVICES, BEST VENUE INDICATOR, MARKET CONNECT sono marchi registrati di proprietà di BIt Market Services S.p.A. London Stock Exchange ed il relativo logo, nonché AIM sono marchi registrati di proprietà di London Stock Exchange plc. FTSE è un marchio registrato di proprietà del Gruppo London Stock Exchange ed è utilizzato da FTSE International Limited sotto licenza. GATElab, Traderpath, Algorithmicpath, Exchangepath sono marchi registrati di proprietà di Gatelab S.r.l. I suddetti marchi registrati, nonché gli ulteriori marchi di proprietà del Gruppo London Stock Exchange, non possono essere utilizzati senza il preventivo consenso scritto della società del Gruppo proprietaria del marchio. Il Gruppo promuove e offre i servizi Post Negoziazione prestati da Cassa di Compensazione e Garanzia S.p.A. e da Monte Titoli S.p.A., secondo modalità eque, trasparenti e non discriminatorie e sulla base di criteri e procedure che assicurano l'interoperabilità, la sicurezza e la parità di trattamento tra infrastrutture di mercato, a tutti i soggetti che ne facciano domanda e siano a ciò qualificati in base alle norme nazionali e comunitarie e alle regole vigenti nonché alle determinazioni delle competenti Autorità Monte Titoli S.p.A Piazza degli Affari, Milano