NBB-SSS adaptation plan to T2S First Q&A session - Intro

Transcription

1 NBB-SSS adaptation plan to T2S First Q&A session - Intro Brussels June 28 th, 2012 Luc JANSSENS Securities Unit

2 Intro & Agenda News user committee T2S Community (see next slide) Cash side - what's new/important Adaptation Plan v1.1 - what's new SharePoint site demo discussions surveys Progress monitoring

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4 T2S cash aspects and autocollateralisation Yvan TIMMERMANS T2S BENUG Chairman

5 Cash account set-up in T2S (1) option 1: own T2 account advantage: no credit risk if default of cash settlement agent option 2: no own T2 account disadvantage: credit risk on cash settlement agent no auto-collat functionality

6 Cash account set-up in T2S (2) option 1a: own T2 account + own T2S DCA optimal solution (no credit risk) option 1b: own T2 account + no own T2S DCA (cash provided by cash settlement agent on segregated DCA belonging to cash settlement agent) disadvantages: no auto-collat functionality credit line/deposits stay unused credit risk on cash settlement agent

7 Cash account set-up in T2S (3) option 2a: no T2 account but T2 account of cash settlement agent + own DCA disadvantages: credit risk on cash settlement agent (end of day sweep) no auto-collat functionality option 2b: no T2 account but T2 account of cash settlement agent + segregated DCA belonging to cash settlement agent disadvantages: credit risk on cash settlement agent no auto-collat functionality

8 Cash account set-up in T2S (4) option 2c: no T2 account + omnibus DCA belonging to cash settlement agent disadvantages: credit risk on cash settlement agent no auto-collat functionality no cash segregation

9 TARGET2- Adaptations in view of T2S Optional offer (approved by PSSC) Central Bank Money DCA Legacy RTGS standards Optional offer Possibility for participants to initiate pushed liquidity transfers (T2 T2S) and pulled liquidity transfers (T2S T2) via MT202- messages; Possibility for participants to initiate pulled liquidity transfers (T2S T2) via the ICM (U2A) or via LiquidityCreditTransfer messages (A2A); Eased access to T2S GUI pages via the ICM Translation services ISO15022 <=> ISO20022 Conversion by TARGET2

10 T2S auto-collateralisation Central bank auto-collateralisation T2S core settlement optimization procedure automatically providing (on behalf of NCB) the buyer with collateralised liquidity in case the buyer lacks liquidity to settle the underlying DvP transaction. Both auto-collateralisation on stock and on flow will be offered by T2S Night and day time

11 T2S settlement day 18:45 Start of day 19:30 Night time settlement 03:00-05:00 Maintenance window 05:00 Real-time settlement < 16:00 Expectation: banks reimburse voluntarily auto-collateralisation normally prior to 16:00 16:00 DvP cut off 16:00 Securities settlement restrictions cut-off 16:00 Cash settlement restrictions cut-off 16:00-16:10 Cash sttlement restrictions released Prior 16:30 Automated optional cash sweep (bank's choice) 16:30 Automated reimbursement of auto-collateralisation in T2S 17:00 TARGET2 customer payments cut-off 17:40 Secured money market transactions (BATM) cut-off Central Bank Operations DvP cut-off at the latest 17:45 Automated mandatory cash sweep from DCAs to T2 18:00 FoP cut-off (both CBO FoP and interbank FoP)** TARGET2 interbank payments cut-off * Indicative times ** Requests for accessing the standing facilities can be made until 18:15 (plus 15 minutes on the last business day of a minimum reserve maintenance period).

12 Conditions for T2S auto-collateralisation NCB offers auto-collateralisation Buyer eligible counterparty + agreement with its NCB own RTGS account Used collateral is eligible No close links (definition by the counterparties in the static data) For non-domestic collateral : domestic CSD of the NCB has links

13 Why is auto-collateralisation needed? To reduce settlement failures due to lack of liquidity gridlocks (when one party cannot deliver assets to another as it has not settled the assets) intraday liquidity needs for the settlement of assets To ease the settlement during the night time

14 Static data : roles of the counterparties Earmarking of the securities On flow At the level of : the securities account the settlement instruction (account level overrides instruction level) On stock At the level of : the securities account the securities position in a securities account No earmarking of securities with close links = responsibility of the counterparty

15 Reimbursement of auto-collateralisation T2S will : generate and settle an auto-collateralisation operation and; simultaneously create on hold the reimbursement corresponding to the exact reverse operation Reimbursement at any moment (daytime) by the counterparty: release of on hold reimbursement instructions

16 Substitution (lack of securities) If securities not involved in a pending reimbursement operation If yes, T2S release of the pending transaction If enough liquidity : OK If not: generation of a new autocollateralisation operation

17 Automated reimbursement (end of day) Mandatory reimbursement of the intraday credit T2S will automatically use all the liquidity available on the DCAs

18 Automated reimbursement (end of day) Exceptional case : procedure when insufficient liquidity Reallocation of the equivalent collateral to the regular NCB collateral securities account Increase of the credit line in T2 Reimbursement of the NCB in T2 If liquidity on the PM account in T2 is still missing : intraday credit marginal lending facility

19 Belgian specificities 2 CSD s in T2S : NBB-SSS and Euroclear Belgium Euroclear Belgium (EBE) is not an Eurosystem eligible CSD. NBB can therefore not receive collateral in EBE NBB-SSS has no links (business case?) Consequence : only eligible assets issued in NBB- SSS usable for auto-collateralisation by Belgian settlement banks Direct holding structure (one CSD of reference by ISIN) of ESES : only Euroclear France has links with non-eses CSDs limitation also for Dutch participants : one DCA of a settlement bank only linked to one NCB receiving auto-collat securities account!

20 Belgian specificities (examples) Belgian settlement bank is participant in Monte-Titoli (MT) no auto-collateralisation using Italian securities (no link NBB-SSS with MT) auto-collateralisation (on stock) using eligible securities held in the NBB-SSS possible Belgian settlement bank is participant in Euroclear Belgium auto-collateralisation (on stock) using eligible securities held in the NBB-SSS possible

21 T2 Questionnaire on banks' preparation tot2s (1) view on the degree of preparation 4 main topics opening of DCAs RTGS account (structure) liquidity aspects technical/functional aspects answers by Belgian T2 User Group members are expected by 28 Sept 2012 one answer per bank: you are invited to liaise with Belgian T2 UG member

22 T2 Questionnaire on banks' preparation tot2s (2) Do you intend to use auto-collateralisation taking into account the practical limitation of eligible securities to the ones issued in NBB- SSS? Could you confirm if your institution is a direct participant and acts as cash settlement bank in non-belgian CSDs (so nor indirect participation via a custodian nor a direct participation with the use of a cash settlement agent)?

23 Contacts T2S : general aspects Patrick Van den Eynde: patrick.vandeneynde@nbb.be T2/T2S (cash) Patrick Heyvaert :» 02/ patrick.heyvaert@nbb.be» 02/ T2S Auto-collateralisation Yvan Timmermans : yvan.timmermans@nbb.be Collateral management Catherine Specia :» 02/ catherine.specia@nbb.be» 02/

24 Updates to the NBB-SSS adaptation plan to T2S - Phase 1 David RUBENS Marc LEJOLY Securities Settlement Unit

25 Updates in the document are highlighted

26 1. If: more than 1 potentially matching instruction Then: the system chooses Smallest difference in settlement amount 1 If equal Closest entry time 1 (settlement amount of the deliverer of the securities is used)

27 2. Trade date in FoP transactions Currently: trade date is no matching criterion Phase 1: trade date becomes a 'mandatory matching field' Possible implication: adapt your process to ensure the instructions contain the same trade date.

28 3. Settlement day - Phase 1 DvP window: 6h30 to 16h00 Late instructions window: 16h00 to 16h15 Standard FoP window: till 17h30 Dedicated FoP operations window: till 18h00 IMPORTANT NOTICE: NBB-SSS will no longer trigger the cut-off times manually. This will be done automatically by the system. The delay of a cut-off time 'on request' will no longer be possible.

29 4. Market claims and transformations - Phase 1 The first leg of a repo is not eligible for market claims. => You'll have to set by default the OPT-Out indicator for market claims and transformations to N(o) STCO:NOMC The status of a market claim is the same as the status of its underlying transaction Instructions that are already in the system before the migration, with SD after the migration will be considered as 'opting-out' Partialling idem? STCO:NPAR or <PrtlSttlmInd>NPAR</PrtlSttlmInd>?

30 5. Various topics - Phase 1 Linked messages can be UN-Linked Only via GUI (in phase 1)? A 3 rd partial settlement window is foreseen from 7h45 to 8h00 Thresholds for partial settlement = minimal and multiple amount of the security Segregation of multiple N-accounts will be possible

31 6. Testing Two testing environments - Phase 1: Bilateral and community testing Feb Dec 2014 BIC: NBBEBEB0M12 (to be created) Migration testing during multiple dedicated week-ends... until OK planning: still to be decided BIC: NBBEBEB0M13 (to be created)

32 7. Migration Accounts: Phase 1: copy the account structure, but adapt to T2S account numbers Phase 2: Acc number T2S := Acc number Initialize Power of Attorney at account level NBB-SSS will provide you with a proposal Instructions: Copy the instructions from the old to the new platform Keep the matching status from the old system

33 SharePoint site Jimmy STEENHOUT Securities Settlement Unit

34 SharePoint site Demo Discussions Surveys

35 Progress monitoring Luc JANSSENS Securities Unit

36 Progress monitoring The Eurosystem is closely monitoring the progress of the CSD's 16 synchronisation points NBB-SSS needs to monitor your progress also for phase 1 Proposal to User Committee in September Presentation at the 2 nd Q&A session: 9 October 2012 Specific meetings per participant can be organised (business + IT)

37 Thank you