Cassiopeia project: Corporate bonds clearing service

Opening on EUA test platform

As announced in the Info Flash of 17 December 2010, available here, LCH.Clearnet SA is pleased to confirm the launch of a new clearing service for “Cassiopeia” approved MTFs complementary to the Cash clearing service through the UCS platform.

The clearing service for corporate bonds will be available on the External User Acceptance (EUA) test platform on Monday, 14 February 2011 and will be connected to NYSE BondMatch™ EUA platform. The go live with NYSE BondMatch™ is expected to take place at the end of March 2011 (subject to regulatory approval).

Outlined below are the technical information, clearing principles and scope of the tests.

Service description

These products will be integrated into LCH.Clearnet SA’s existing systems for cash markets (NYSE Euronext, Bourse de Luxembourg, and Equiduct) and follow the existing workflows.  Note that there are no impacts for clients already active on the Cash markets.

• Securities characteristic & trade capture

Securities admitted both on existing market and the “Cassiopeia” MTFs (e.g. NYSE BondMatch™) will be cleared through a new “Cassiopeia” clearing segment and may have different characteristics:

• Dedicated trading code starting with “BO” – no fungibility with NYSE Euronext / Bourse de Luxembourg Cash products;

• Distinct Position Account and Delivery Account.

• Risk management

  • SPAN® method for equities and bonds will be used with new parameters for the calculation;

  • Clearing fund for Cash markets will include the “Cassiopeia” activity.

• Expression of the quantity – FMT / UNT

From trading to clearing, all “Cassiopeia” eligible securities will be managed in FMT, including French corporate bonds:

• One listing / trading in FMT for the NYSE BondMatch™ “Cassiopeia” market;

• One listing / trading in UNT for the French Cash market.

Note that all reports and files available from LCH.Clearnet SA will be expressed in FMT and that reporting received from Euroclear France (ESES) for French products settling in Euroclear France will be expressed in UNT. Settlement reporting in Euroclear Bank will be expressed in FMT as today.

• Settlement management

Clearing model will follow current Continuous Net Settlement principle, settle at Trade Date + 3 and be sent at ISD-1 evening to the settlement platforms.
End of day fails are reinserted in the next netted position to be settled the next day.

Post-trade activity and clearing principles

A presentation of the post trade service scheme for “Cassiopeia” MTFs for corporate bonds is attached to this communication.

Technical information

The NYSE BondMatch trading groups will be 5A to 5Z and 6A to 6Z.
The trading codes for NYSE BondMatch will be composed as follows:

• The first two characters will be BO;

• The last 10 characters will be the last 10 characters of the bond’s ISIN code.

Members’ reports and messages updates

Note that there are no impacts on the structure and format of the files.

The Corporate bonds clearing service will be supported by the LCH.Clearnet SA Cash clearing system. Trades and position account information will thus be provided via the messages and files used for the Cash markets (NYSE Euronext, Equiduct...).

For clients active on the “Cassiopeia” market, the following messages and files will contain new “Cassiopeia” technical data:

• SIF / BIF files – New files will be created and include the “CA” segment for CA market

• Messages 0453 (1st batch) and 0353 (2nd batch) – Characteristics of the “Cassiopeia” securities will be listed and described in these messages.

• Real time feed – New value in the “financial market” field = “303”:
  3011 – Confirmation of trade leg creation
  5011 – Notice of trade leg creation
  5015 – Notice of trade leg and posting creation
  5034 – Notice of take-up request
  5051 – Notice of external correction acceptance request

• PR3 file – Positions and postings will be reported with the new financial market = “303“.

• TLRF – New value for the “financial market” field = “303”.

Scope of the tests and planning

Members will be able to carry out testing from trading, through NYSE BondMatch™ test platform, to clearing through LCH.Clearnet SA Cash clearing system.

Testing guide and securities available on the test platform will be provided early February 2011.

On boarding

If you are interested in extending your existing membership or would like to apply, please fill in the form attached to this communication and return it to [email protected].

For further information, please contact:

Your LCH.Clearnet SA Product Implementation manager:

Mykael Lemosle: +33 (0) 1 70 37 65 27 – [email protected] 
or
your account manager.

Customer and Market Management LCH.Clearnet SA

Click to see a PDF version of this information

Attachments:

Presentation PTS scheme for NYSE BondMatch