Clearing, Settlement and Registry Reform in Spain. London April 24 th, 2014
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1 Clearing, Settlement and Registry Reform in Spain London April 24 th, 2014
2 Introduction Jesús Benito CEO Iberclear - 2 -
3 Current situation EXCHANGE (SIBE platform) Trading IBERCLEAR Clearing & Settlement Equities and Fixed Income systems Settlement based on RRs (Equities) Finality on Trade Date Corporate events: proprietary messages - 3 -
4 Spanish Reform Formal beginning Feb 10 Functional and Technical specifications Dec 13 Drivers Transparency Harmonization EMIR and CSDR TARGET2 Securities Public consultation Securities Market Act Public Report - 4 -
5 Reform coordination Coordinating Committee for the Reform (CNMV) Advisory Technical Committee (Iberclear) Subgroup for the CCP (BME Clearing) - 5 -
6 Future situation EXCHANGE (SIBE platform) Trading BME Clearing Clearing CCP Risk management IBERCLEAR Settlement ARCO: Equity and Fixed Income Settlement based on balances Finality on Settlement Date Corporate events harmonization - 6 -
7 Reform Timeline Equity (SCLV RR) Equity Equity + Fixed Income CCP Fixed Income (CADE) TARGET2 (cash) D+2-7 -
8 Agenda Post Trading & Impact on the Market Members Ms. Beatriz Alonso, Deputy Director, BME Cash Markets Clearing in Spain: A new CCP Service Mr. Ignacio Solloa, BME Clearing CEO Settlement in Spain: ARCO Mr. Jesús Benito, IBERCLEAR CEO Q&A Networking drinks - 8 -
9 Post trading & Impact on the Market Members Beatriz Alonso Deputy Director, BME Cash Markets - 9 -
10 Post-trading scheme Market Member communications SIBE EXCHANGE CCP Member BME CLEARING PTI CSD Member IBERCLEAR BME Order entry
11 Post-Trading Interface: PTI Aims Traceability and surveillance Information vehicle between the players Conditions Maximum efficiency in the post-trading flow Minimum operating costs Access to information in equal conditions Confidentiality of Information Based on Current connections and formats Standard protocols
12 Impact on Market Members Trading Procedures Order communication Protocol (front-end and ISVs) Incorporation of new fields Post-Trading Procedures Use of current procedures for: Parametrization Module Allocation process Ownership communication procedure Access to information New Scheme New clearing arrangement needed
13 Impact on Market Members Market Member Clearing Member Settlement Participant Each Market Member must have an agreement with a Clearing Member Each Clearing Member must have an agreement with a Settlement Participant
14 Clearing Arrangements General Clearing Member Individual Clearing Member Ordinary Non-Clearing Member Segregated Non-Clearing Member
15 Decision: Key aspects Technical Developments Cost implications (Clearing scheme) Minimum equity capital requirements The capacity for posting collateral Global scheme: Clearing, Settlement and registry process
16 Allocation process Transactions from The Trading System Executions from the trading platform sent in Real Time to the CCP Execution allocation Identification of the Clearing Member and the Clearing Account: Enables allocation in the CCP accounts. Allocated by default in the Daily Account Where? In the Market, through the data in the order entry (directly or indirectly) In the Post-Trading area (CCP functionality)
17 Allocation Process Direct Allocation Clearing account Clearing Member Allocation Reference Mnemonic Indirect Allocation (Parametrization module) Trading Platform Segment User ID Capacity indicator Client Reference External Reference
18 Additional Information Ownership information from the market members Ownership communication to the post-trading area Available information Situation of the trades in the clearing and settlement processes Ownership data (sent by member or through OSP)
19 Clearing in Spain: A new CCP Service CCP for Equity Instruments Ignacio Solloa CEO BME Clearing
20 Classes of Members INDIVIDUAL CLEARING MEMBER CCP GENERAL CLEARING MEMBER ORDINARY NON CLEARING MEMBER SEGREGATED NON CLEARING MEMBER
21 Membership Minimum Equity Requirements Individual Clearing Member 3.5 million General Clearing Member 25 million (up to 4 NCM) 30 million (5 to 8 NCM) 35 million (9 to 12 NCM) 40 million (13 to 16 NCM) 45 million (over 16 NCM)
22 Account types Model 1 Model 2 Model 3 Account Proprietary Account Third-party Account Proprietary Account OSA ISA Member Member Member Member CCP CCP Member Member Member Member Member CCP Member Member Member Higher segregation: EMIR art
23 Netting per account type (Trade date netting) Net accounts: Netting is performed with trades: ISA - Same Trade Date - Same Settlement Date - Same CCP Account - Same Settlement Account OSA (Gross) Gross Gross CCP Net Net OSA (Net) Gross accounts: Trades with above features are aggregated per side to create two settlement instructions per account Net Proprietary Account
24 Settlement instructions ISA 1 SI Settlement account ISA 2 SI Settlement account Member Prop Acc SI Settlement account Member CCP Member OSA (Gross) 2 SI Settlement account Member OSA 1 (Net) SI Settlement account OSA 2 (Net) SI Settlement account
25 Settlement of CCP instructions and fails management
26 Settlement of CCP instructions 10 DVP 2 DVP 5 DVP Net Delivery Instructions Net Receipt Instructions 4 DVP 7 DVP CCP Account in CSD 6 DVP 6 DVP 1 S 6 NS 5 DVP 9 DVP
27 Fails management ISD 4 DAYS BUY-IN CASH SETTLEMENT Fail with loan MAXIMUM LOAN TERM: between ISD (Intended Settlement Date) and Buy-in date LOAN BETWEEN A LENDER AND THE FAILED SELLER NOVATED BY THE CCP TRIGGERED AT THE LAST SETTLEMENT CYCLE ON THE ISD
28 Loan novated by the CCP FAILED CCP AFFECTED BUYER CM1 CM2 CM3 OSA Prop. Acc ISA Prop. Acc ISA OSA OSA ISA BORROWER LENDER Loan between the Prop. Acc of the CM 1 and the ISA of the CM 3 with the interposition of the CCP
29 Fails diagram LOAN Loan return Loan return Loan return Loan return ISD ISD +1 ISD +2 ISD +3 ISD +4 ISD +5 ISD +6 Deliver Deliver Deliver BUY-IN Deliver BUY-IN SET. or CASH SET. FAIL (no loan) BUY-IN TRIGGERED AFTER THE LAST SETTLEMENT CYCLE ON ISD
30 Risk Management
31 Risk Management by the CCP Article 41 EMIR: Margin requirements from CMs Must cover the closing position risk per account with extreme market conditions Confidence level: 99% Article 42 EMIR: Default fund Must cover the risk of the CM with highest risk or, if higher, the sum of the second and the third CM s risk Article 45 EMIR: Default waterfall. CCP s contribution with a fixed amount of its shareholders equity The CCP must contribute with part of its own resources before using contributions of non-defaulting CMs. Articles EMIR: Strict collateral requirements and investment policy
32 Default waterfall 1 All margins of the defaulting CM 2 Contribution to the Default Fund by the defaulting CM 3 Contribution of the CCP ( skin-in-the-game ) 4 Contribution to the Default Fund of the rest of members 5 Share capital of the CCP
33 Settlement in Spain Jesús Benito CEO Iberclear
34 Equities and Fixed Income Settlement based on balances Flexible Central Registry Account structure Second Tier of Registry Harmonization Beyond TARGET2 SECURITIES
35 Book-Entry Registry Based on balances No debit balance allowed Central Registry Proprietary accounts General client accounts Individual accounts Financ. Int. individual accounts Account coding system fully compliant with T2S Detailed Registry Securities Account Code (CCV) Every single trade on clients accounts Total balance of third-party securities
36 Settlement 1. Instructions stemming from CCP General Procedure Optional Procedure 2. Instructions stemming from Trading Platforms without CCP 3. Bilateral instructions without CCP
37 General Settlement procedure Buyer Side Seller Side Market Member order SIBE EXCHANGE order Market Member trade CCP Member trade BME CLEARING trade CCP Member settlement instr. settlement instr. IBC Participant settl. instr. settlement IBERCLEAR settl. Instr. settlement IBC Participant
38 Optional Settlement procedure Market Member order SIBE EXCHANGE trade CCP Member Financ. Interm. Individual acc. trade BME CLEARING settlement instr. IBC Partic. Financ. Interm. Individual acc. settl. instr. IBERCLEAR ancillary transaction IBC Participant Custodian Client Acc
39 Iberclear Services Matching platform Fully compliant with T2S Matching standards Instruction management Bilateral cancellation Hold/Release Recycling Modification of partial or real time settlement ind. Settlement in cycles Between 08:30 and 16:00 every 2 hours Optimization process Real-time settlement (RTGS) Between 07:30 and 16:00 (DvP)/ 18:00 (FoP) Failed transactions Partial settlement Recycling
40 Iberclear Services International standards (CAJWG & JWGGM) General Meetings (AGM/EGM) Change in the Exdate and Record date (equity):
41 Iberclear Services Full traceability Settlement efficiency Level-playing field for CCPs, CSDs and Participants PTI
42 Final considerations
43 Current status and next steps Functional documentation released in Decembre 2013 Currently in development phase February 2015: Participants will have testing environment available T2S migration Reform Phase 2 in progress
44 Final considerations Efficiency Flexibitity Supervision and control Harmonization
45 THANK YOU Plaza de la Lealtad, Madrid
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