VP, the Danish CSD, will implement an automated solution for split settlement of transactions to/from a CCP, as part of the market implementation of a Nordic CCP.
The solution is planned to be implemented in VP on 5 October. The first day of mandatory CCP clearing is 9 October.
When deliveries to a CCP, or deliveries from a CCP, cannot be settled due to lack of securities in block 40 (10.15 am), VPs system will check if the account has any holding of the applicable securities. If it does, the delivery will be cancelled and replaced with two new. The first delivery will have the quantity that is available on the account; the second will have the remainder. The settlement amount will be split proportionally.
The first delivery will settle in block 40 (though there is a very slight risk that it could fail, if the receiver does not have the requisite cash), whilst the second delivery will be moved to the next settlement day. The second delivery may also be split next day.
VP will send a message informing SEB that the original instruction has been cancelled due to a split.
SEB will send an MT548 (:23G:INST, :25D::IPRC//CAND, :24B::CAND//CANZ, link :20C::RELA) to the client to inform of the cancellation due to a split.
VP will send two messages informing SEB of the details of the two new instructions generated due to a split.
SEB will send two MT548s (:23G:INST, :25D::IPRC//CGEN, :24B::CGEN//SPLI, link :20C::RELA) to the client to inform of the creation, due to a split, of two new instructions. Each message will include the reference of the original instruction in :20C::RELA.
Upon settlement of one of the two new transactions VP will send a message informing SEB that the instruction has settled.
SEB will send a confirmation to the client for that instruction. The confirmation will include the reference of the original instruction in :20C::RELA.
VP will also send a status to SEB for the instruction that did not settle.
SEB will send an MT548 (:23G:INST, :25D::XXXX//XXXX, :24B::XXXX//XXXX, link :20C::RELA) to the client to inform of the status of the unsettled instruction. The MT548 will include the reference of the original instruction in :20C::RELA.
Upon settlement of the second of the two new transactions VP will send a message informing SEB that the instruction has settled.
SEB will send a confirmation to the client for that instruction. The confirmation will include the reference of the original instruction in :20C::RELA.
Statements, cash postings and C&I Online will all reflect the reference of the original instruction for all instructions generated due to a split.
L.D