Term DBV Service Overview - LIVE IN CREST MONDAY 27TH JUNE...

Introduction

Crest have introduced the Term DBV service to be offered alongside the current overnight DBV service this enables participants to hold DBVs with maturities of up to two years.

This new service was released in Crest on Monday 27th June 2011. We implemented this functionality into the Simulator on 4th April 2011. The SimGUI has also been developed to support all these changes giving you a valuable tool to assist with your testing.

Please be aware that even if you do not intend to test the full DBV functionality there are a couple of changes relating to stock balances regarding the message versions and the corporate action processing for Gilt transactions which may affect your day to day procedures.

Brief Overview of changes

New Transaction Types

The Term DBV service has introduced eight new transaction types:

TDO – a term DBV transaction, generated automatically when a term DBV instruction settles

TDR - a term DBV return, generated automatically when a term DBV instruction settles

TDI – a term DBV interest payment, generated automatically when a term DBV instruction settles where an interest payment was agreed

TDE – a term DBV eligibility substitution, used to replace one line of stock with one or more different lines of stock; this type of automatic substitution arises because of an event such as a security category change or an imminent corporate action

TDG – a term DBV giver recall, used to replace one line of stock with one or more different lines of stock; this type of automatic substitution arises because the stock giver needs to recall a particular stock as it is needed to settle a failing transaction

TDM – a term DBV mark-to-market transaction, used to rebalance the stock in a term DBV subject to the threshold for the given dbv class and currency

TDS - a term DBV substitution, used to vary the amount of stock in an existing line or to replace one line of stock with another; this is a manual substitution, input and matched by both participants

TDA - a term DBV adjustment, used to change the base value sought and/or the consideration of a term DBV or to rebalance intra-day

DBV Input

A new field has been introduced on the NDDN message to differentiate an overnight DBV from a Term DBV.

• RETURN DATE

If this field is left blank then an overnight DBV is created. This field can be populated with a date of up to two years in the future to create a Term DBV.

A new field MARK TO MARKET has been applied to the NDDN message. This field will default to 'N' for overnight DBVs and 'Y' for Term DBVs.

New statuses (Party and Transaction)

The Term DBV Instruction will create a new party status of ‘X’

You	Counterparty	Transaction	Description
X	X	F	Settled - Term DBV transaction generated

A new transaction status has been introduced of ‘K’. The 'K' status will apply to Term DBV transactions (TDO and TDR) if a substitution (TDE or TDM) is needed. This is a transitory status change and will be applied regardless of whether the substitution was successful or not. Manual (intraday) substitutions do not give rise to this status change.

You	Counterparty	Transaction	Description
Y	Y	K	Substitution (TDE or TDM) required on a Term DBV transaction (transitory)

 

Message Changes

Message Type	Message Name	Retained Version	New Version	Obsolete Version
NDDN	DBV Input	4	5	3
NDDQ	DBV Details Request	4	5	3
NDDP	DBV Details Response	4	5	3
ARPQ	Collateral Instruction List Request	None	2	1
ARPP	Collateral Instruction List Response	None	2	1
BSBQ	Stock Account Balances Request	3	4	2
BSBP	Stock Account Balances Response	3	4	2
AOCQ	Open Collateral Returns Request	n/a	1	n/a
AOCP	Open Collateral Returns Response	n/a	1	n/a
NTAN	Term DBV Adjustment Input	n/a	1	n/a
NTAQ	Term DBV Adjustment Request	n/a	1	n/a
NTAP	Term DBV Adjustemtn Response	n/a	1	n/a
NVTQ	DBV Stock Valuation Request	3	4	2
NVTP	DBV Stock Valuation Reponse	3	4	2
NTTQ	Term DBV Transaction Request	n/a	1	n/a
NTTP	Term DBV Transaction Response	n/a	1	n/a

 

Stock Account Balances Enquiry

The exisiting BSBQ/BSBP has been enhanced to include the following fields (Version 4):

• REPO BALANCE COLLATERAL OUT
• REPO BALANCE COLLATERAL IN

The exisiting field REPO BALANCE has been renamed to REPO BALANCE SCR

DBV Instruction Details Enquiry

The NDDQ/NDDP messages (v5) has been enhanced to return the two new fields, RETURN DATE and MARK TO MARKET.

Open Collateral Returns Enquiry

This is a new enquiry and has introduced the AOCQ and AOCP messages. This will allow members to view a list of all the return transactions which make up the Collateral In and Collateral Out balances as returned in the Stock Account Balances enquiry.

Collateral Instruction List Enquiry

The existing ARPQ message has been replaced and renamed to Collateral Instruction List.

 

For full details of the Term DBV service please refer to the White Book issued by Euroclear. Also refer to the new DEX 20.2, the changes documents and relevant Technical Newsletters, all links below:

White Book - Term DBV Service - Version 2

White Book - Term DBV Service - Version 3

White Book - Term DBV Service - Version 3 - April 2011- Changes tracked

DEX 20.1

DEX 20.2

Changes between 19.1 and 20.0

Changes between 19.1 and 20.1

Changes between 19.1 and 20.2

Technical Newsletter - October 2010

Technical Newsletter - UPDATED - December 2010

Technical Newsletter - UPDATED - April 2011

 

If you have any questions relating to this Term DBV service or would like to test this functionality please contact us by email to the Support Desk or by telephone +44 (0)1283 495215