Date post: | 26-Dec-2015 |
Category: |
Documents |
Upload: | michael-wong |
View: | 51 times |
Download: | 0 times |
.HRE
Shangha¡-Hong Kong Stock Gonnectì
Enhanced Pre-Trade Checking Model
Briefing to ParticipantsJanuary 2015
Agenda I{KEXæ#'*,effi
lmplementation Schedule
Existing Pre-trade Checking Model
Enhanced Pre-trade Ghecking Model
Modified Risk Management Measures for Enhanced Model
Appendix
Agenda
t ) ffi¡aÍræn *æd Wræ*trædæ ffifuæckang fuTodel
Existing Pre-trade Checking Model
. ì øsa J *ffixtraæffi ä*k emæWærexæmt easures fon ffirx?zmnwwd ModeE\*-"/
ãreapLæ æntæ*wærz çæqÅÊæ
&ppæmúrx
Existing Pre-trade Checking Model
What
T
is Pre-trade checking?
A mechanism to ensure EPssufficient sellable quantity whenorders
it done?
will haveplacing sell
Routeorder toSSE
CCASSReplicate
shareholding How is
O lnvestors who use custodians must transfershares from their custodians to the sellingEPs before market open
Ø CCASS will take snapshot of each DCP &GCP's SSE Securities holdings eachbusiness day and replicate to CSC tofacilitate Pre{rade Checking
@ Sell orders by an EP will be rejected byCSC if the EP's cumulative sell quantity in
that stock for the day is higher than itsstockholdings during market open
Who to ensure investors will not oversell?
r EPs' responsibility to ensure they have in
place procedures and systems to preventtheir clients from day trading and oversellingof SSE Securities
'ä3å1i'31"i'csc-I ì
l.ILtlrltIIIII
tanInstitutional lnvestor I
lnstitutional lnvestor N
o
---)......)
-)E
Share transfer
Shareholdin g replication
Order routing
Snapshot
SSE
r
\
EPI DCPl
)
:l"^':l*:dGhecking
Limitations of Existing Pre-trade Checking Model 'FIKÉ''
Pre-trade delivery of shares by investors from custodians to broker
Frequent movement of shares between custodians and brokers maycause operational burden and costs
r lnconvenient for investors to trade via multiple brokers
r The design is not in line with the practice of institutional investorswhere they move shares to brokers for settlement only after theirorders are executed
Solution: Develop an enhanced Pre-trade Checking Model to address ffie above limitations.The Enhanced Model is optional and will run alongside the Existing Model.
Agenda }IKEXæffi*etr
Enhanced Pre-trade Checking Model
Existing Pre-trade Checking Model
Modified Risk Management Measures for Enhanced Modetr
lm plementation Schedule
Appendix
Enhanced Pre-trade Checking Modelr Special Segregated Accounts of Gustodians
How does it work?
SSE
CCASSEPl
Share transfer
Shareholding replication
Order routing
Snapshot
oRouteorder toSSE
As an add-on to existing model:
Custodians* upon investors' requests toopen Special Segregated Accounts(SPSA) and CCASS will generate aunique lnvestor lD. The SPSAs are forkeeping shareholding of investorsseparately
CCASS will snapshot SSE Securitiesholdings under custodians' SPSAs andreplicate to CSC to facilitate Pre-tradeChecking
lnvestors should inform its designatedEPs the assigned lnvestor lDs for Pre-trade Checking when placing sell orders
Custodians transfer shares from theSPSA to the relevant ClearingParticipants for settlement (based oni nvestors' i nstructions)
IIIIIII
Replicateshareholdinginformation toCSC on each
csc
---)......)
-l>O
to Clearíng Participants after sell order exec.rtion (Post-trade Delivery)
ØYes
@
@
Under enhanced model, investors who use custodians only transfer SSE Securiúres
Pre-tradeChecking
ustodianSPSA ISPSA 2SPSA 3
* lncluding GCPs who are non-EPs and Custodian Participants of CCASS
SPSAs Leverage on Existing SSA Accoun
Non-EP GCPs & Custodian Participants of CCASS can set up an SPSA via existing "Add Stock SegregatedAccount" function in CCASS. Any SSA set up by Custodian within the specific range "800XXXXX" will be
classified as SPSA. CCASS will generate a unique Investor lD for each SPSA.
1
80000001 611682 80000001 600002
80000002 720462
3 80000004 224462 80000003 129641
Creation of SPSA at CCASS
Sample CCASS Screen showing creation of SPSA
Must be tn "800XXXXX" format
CCASS will generate Investor lDupon successful creation of SPSACustodians / non-EP GCPs
by
3locÍ SôgrcllttGdÂcroüntßuülbür: 8ffi.t
ClåÉfiÎ Aerd¡ðt lJ¡¡¡nbar ¡
SPSA Setup Procedure
lnstitutionallnvestor
Custodían
@Create SPSA(s) and getlnvestor lD(s) in CCASS
lnput lnvestor lD for sellorders at CSC
oØo@o
Each investor can request its custodian(s) to open SPSA(s) for holding SSE securitiesCustodian opens SPSAs in CCASS online. CCASS will assign an unique lnvestor lD for each SPSAopenedCustodian will complete and return the SPSA Form to HKSCC (with the authorized signatures from both
Custodian and the designated EP)HKSCC will inform SEHK to set up the unique lnvestor lD of the SPSA and the list of designated EP(s) in CSC
Upon notification, custodian can start transferring the investor's shareholdings to the SPSA so that EP can startselling SSE securities for lnvestor from SPSA
Custodians sfrall give prior notice of not less than five business days to HKExfor adding or updating SPSA and list of designated EPs
EP1, EP2, EP3
10
SPSA Form
L
ll*dil tlneler*
fffe(tive Date: t_l_l I l_{_i/ l_l*.l [ ÐÐ I MM / YY J
I'. $PECIAI SEGRCGATED ACCOIJNÎ DITÂILS
S¡reciaf Stock Segregatecl Acccru:rt No,: l*8_Ë*û_l_û*i_l j_ì_l_l
III. DËTASL5 OI EXËCLITåN SROKËR DËSIGh¡ATEI, 8Y THE ?NWËSTÛR
Flease ¡lrorrirle cJet¿íf: of the Exclrange Partìciparrt ele:ígriateeT by the inve:tor fcr execr¿tio¡: cfCltin ¿ fr:n ¡rect leci¡rities:
l__t_i_i_t_l
Notes:
r Custodians or non-EP GCPs are required to fill inthe SPSA number and lnvestor lD on the SpecialSegregated Account and Designated ExecutingBroker Maintenance Form ("SPSA Form"), whichwill be available on HKEx website
r To add or delete a designated Executing Broker (EP)for the investor, Custodian Participant or GCP shallgive prior notice of not less than five business davs
r Custodian Participant or GCP will be notified andthe newly designated Executing Broker (EP) canstart using the lnvestor lD on and after the effectivedate specified in the form. For delete request, theoriginally designated Executing Broker (EP) will notbe able to use the lnvestor lD to place sell order onand after the effective date specified in the form.
11
Sell Order lnput and Pre-trade Checking at CSC
Sellorder
t- - -
! orders from I
¡ lnvestor I
ttr with SPSA I
L--
: CSC will verify:i o EP A is a designated broker for the
I investor 1
| .) lnvestor t has sufficient holding in
I ¡ts accountI
I
i lf both checking pass -> Accept order
I lt eittrer checking fails -> Reject orderI
L--
Notes:
1. lnvestor can appoint20 EPs as brokerslnvestor lD
at mostfor each
2. lnvestor lD is not applicable tobuy orders
12
Securities Settlementr Post Trade Transfer for Short CNS Stock Position
How to settle CruS Se// obligation from SPSA ?Before CNS Batch Settlement Run (BSR) on T day,
For non-EP GCPs:Transfer the CNS sellquantity from SPSA toClearing Account via STl,via two new STI transferruns for SPSAI
For Custodian PaÉicipants:Transfer the CNS sell quantity fromSPSA to Clearing Participant via Sl,via two new Sl BSR2
cPl
13
Other changes to facilitate Pre-trade Gher Change of GGASS Processing Schedule
r Revise the CNS batch settlement run schedule for SSE Securities- 1"t run: 16:30 ) 17:30- 2nd run: 18:00 ) 19:00
Additional Sl matching runs- 13:45- 17:30- 19:00
Additional Sl batch settlement runs (for SPSA as delivering account only)- 17:30- 19:00
Additional ATI / STI validation- 17:30
STI batch transfer runs in two groups and additional runs- Add¡tional STI batch transfer runs at 17:30, 19:00 and 20:00 will- Existing STI batch transfer runs, including the additional run at
SPSA only
be applicable to SPSA17.30, will be applicable to non -
Refer to Appendix 1 for CCASS Repod Enhancement14
Enhanced CCASS Processing Schedule for A-share Market
CNS BSR
SI BSR
Sl Matchingrun
STIvalidation
STI Batch Transfer(exclude SPSA)
STI Batch Transfer(SPSA only)
E
E83":t'#i,'"::å,,
.::EHl"å,.fli",.
ATIvalidation E
f4
@
@
EE
w Only from SPSAto clearing account
A Shares TradingSessions
Market Original Function Time New Function Time
19:15 to 19:30Change Dl Requirement 18:15 to 19:30
O7:15 to 19:00
08:00 to 19:45 (for rights issue subscription)19:00 to 19:45 (for takeover offer)
Subscription lnstruction Maintenance 18:00 to 19:00
08:00 to 19:45
Other changes to fac¡litate Pre-trade Checkin g(21r Change of CCASS Funct¡on Times and Reports
1) CCASS function time changes
* lmpact to all CCASS Participants
2) New value in reports to indicate Sell Trades from SPSA
3) New CCASS Data File - Trade File of SPSA(available to Custodians / non-EP GGPs only):
Report lD Report Name Market New Value
"lo wiJl be shown in the "Origin lnd,icatod' for sell trades from SPSAFinal Clearing Statement
"1" will be shown in the "Origin lndicator" for sell trades from SPSAlntra-day Trade File
RepoÉ ID Report Name Time File Content
16
Other changes to facilitate Pre-trade Checking(3)I SI DVP
r Currently, only Free of Payment (FOP) Sl is allowed for SSE Securitiesr Delivery versus Payment (DVP) Sl for USD, HKD and RMB will be added to enhance the settlement
process of SSE Securities, settlement amount detail will be displayed in the "Enquire Money Position"function of CCASS
Time of EPI Generation for DVP Sl:
Refer to Appendix 2 for CCASS enhancement due to Sl DVP of SSE Securifresbe available by mid-January 2015
Time of Sl Settlement EPI Generation Payment Gonfirmation
Morning Sl BSR at around 07:45 17:45After 16:00
After morning Sl BSR Next Day 09:30After 20:00
17
Agenda
Ëxisting Pre-trade Checking Model
Enhanced Pre-trade Checking Model
Modified Risk Management Measures for Enhanced Model
Appendix
Implementation Schedule
Modification to Existing Risk ManagementMeasures on Northbound Trades
l{I(EnfirWÈä,ffi
Pre-trade checking of holdingsunder GP
r Pre-trade stock delivery to CP
r Low risk of settlementfailure for short positions
r Risk of settlement failure
choose not to deliver stocksin SPSA to CP in certaincircumstancesl
r Pre-trade checking of holdingsunder registered custodian's SPSAaccount
For SPSA trades, pre-trade deliveryof stocks to GP is NOT required
Existing
New
19
Modification to Daily Mainland Settlement DepositRequirement
Daily Mainland Settlement Deposit Requirement:
Gurrent:
Settlement deposit rateix
(CP's daily buy turnover in SSE Securities+
Overdue short positions in SSE Securities)
Note 1: Settlement deposit rate is currently at 20%
New:
Settlement deposit ratex
(GP's daily buy turnover in SSE Securities+
Overdue short positions in SSE Securities
,- - - + - - r - -
I Oaily sell turnover from SPSA I'l
r _ _ _ _ jls_s_e_sgiriti":)_ _ _ _l
20
Modification to Monthly Mainland SettlementDeposit Requirement
Monthly Mainland Settlement Deposit Requirement :
+
Gurrent
Sum of CP's daily buy turnover* overdue short positionsin the previous month *Number of days havingbuy turnover by the CP
in the previous month
New
Number of days havingsell turnover by the SPSA
in the previous month
Gurrent
X Settlement Deposit Rate
Note:* For the day without buy turnover in SSE Secunïre s, overdue shotT positions witl be excluded from the "ELtm of CP's dailybuy turnover in SSE Securifies + overdue short poslúions /n SSE Securlies in the previous month" in calculating the MonthlyMainland Settlement Deposit requirement.
CPs who do not have SPSA selj trade will not be affected21
Galculation of MainlandRequirement - Same as
SettlementToday
Deposit
1. Mainland Settlement Deposit Requirement:
Higher of
And
2. Amount to be collected from GP:
hand
22
Galculation of Mainland Settlement Depos¡t -An Example
(20,000)
O
oo
No Special Segregated Accaunt's sellturnaver
Notes:1. MSTD = Mainland Settlement Deposit2. Refund (if any) will only be made on the 1Oth business day of the month. lf thelOth business day of the month is not a trading day in A-share market, refund will be made on nextbusiness day which is a trading day in A-share market.
Modification toPayable Report
ettlement)
Deposit
Additional field "SPSA SELL TURNOVER lN A SHARES" will be added to cater the change of:
Daily Mainland Settlement Deposit RequirementMonthly Mainland Settlement Deposit Requirement
I
I
3456 XKSCC - CCLsSIIßTWI.AT{I} 5ETÏI.8}4E!T? ÐEFOSIT P.A]A3LE R,EPORI
: 3Î.ÐE€3.,tcca55 co{FÀIrr RÌIN ÎIl.{E : 1,9:3#r&0
PåË2 : å
ÐtrTE : 31Ð8C14
Enï I3R}{CTVER tH }, SÌitg,ÊS : (]fY :-û*,0ð0. û0
{ !t{IlfI}!!&t ÃxoüHr ÐI.lT
cl{ycNvürYG{r
$O[fffllt HSÎD REQI]IF,EI{E¡FÏ PER LASÎ l{Olrllf{tY *ÍX¡IEII :I{ETÐ RE{¡{¡IREIEI{T :HSTD Ol{ Hn¡fD .Àt{oÜ}|r Ît BE {corjlEcTEÐ} lRErrnrÐEÐ l¡J'A Ðaï-EñÐ !#in,i :
* foR -'\iE v?tf.ttE, To BE coIÍ.gcÎsD vIA q*Y-E!tÐ ÐÐIroR +tE 1r3¡,u8, ffirgtJLA,TEü ON r$e lorff tsA!{K ear or EAc?r ùåo}r$i oR THE t{E¡m gãlÙK Ðav ?ft*Ic!l rs ã TRBÐH{G ÐÀE :N À-3ilà*¿ }4RKE1 rrTflE lt?X åâl{K ÐÀY ûF TI|E t{oilfle IS ¡üCIÍ A ?RåÐr}¡ß ÐAy r}Ì &-Süå&.8 ¡&*!t91" TO tsE RgEûilÐEÐ \rIÀ ÐÀY-S}.tÐ ÐCI
fr* ENE QF RSXÐRT i**
24
Agenda
lmplementation Schedule
Existing Pre-trade Checking Model
Enhanced Pre-trade Checking Model
Modified Risk Management Measures for Enhanced Model
Appendix
lmplementation Schedu le (Tentative)
r Expect enhanced service Iaunches in 1Q 2015*
ohnd ofFebruary /Early March2015- Rollout Test
March 2015- System Launch
oDecember 2014-Tech nical S pecification
oEarly
January 2015- Briefing Session
* Subject fo SFC's approval and the final schedule will be furfher announced via circular
26
Agenda
Existing Pre-trade Checking Model
lmplementation Schedule
Enhanced Pre-trade Checking Model
Modified Risk Management Measures for Enhanced Model
Appendix
Appendix 1
CCASS Report Enhancement1l Revised report qeneration time / frequencv
CSEBAOl ATI Batch lnput Control Report GLOB 09:15, 10:00, 11:30, 12:45,15:15, 17:00, 17:30,2O:0O Additional ATI batchvalidation run
CSEATOl STI Batch lnput Control Report GLOB Additional STI batchvalidation run
CSEATO2 STlActivity Report 09:15, 10:00, 12:45, 15:30, 17:O0, 17:.3O, 19:00, 20:00 Additional STI batchtransfer runs
CCLUSOl Unmatched Sl Report MAMK 08:15, 12:15, 14:15, 15:30, 17:30, 18:00, 19:30, 20:00 Additional Sl matchingruns
CSESI02 lntra-day lSl / Sl Full List 08:15, 12:15, 14:15, 15:30, 17:30, 18:00, 19:30, 20:00 Additional Sl matchingruns and Sl BSR
CSESPO4 lntra-day Settled Position Reporl MAMK 08:15, 18:00, 19:30 Revise of CNS BSR
cFtBr0l Buy-in Notification Report 19:15 Revise of CNS BSR
2) New field value to indicate sell trades oriqlnated from SPSA
Report lD Report Name Market New Value
Final Clearing Statement "l" will be shown in the "Origin lndicato/' for sell trades from SPSA
ccltD0l lntra-day Trade File "1" will be shown in the "Origin lndicator" for sell trades from SPSA
3) New CCASS Report - Trade File of SPSA(available to Custodians / GGP who are non-EP only):
Report lD Report Name Market Time File Content
Trade File of SPSA Showing detail of the sell trades from SPSA, including trade time,counterparty participant lD, execution broker firm lD, SPSA account number,to facilitate the preparation of STI / Sl by Custodian for CNS settlement
Appendix2CCASS Enhancement for Sl DVP
DVP Sl information be displayed different sections "Enquire Money Position" function
Detail of SSE Securities Sl with DVP as settlement method will be included in the following reports:r DDI / DCI / EPI Summary for Participant (CSEMA28 / CSEMS2S)r Settlement Related EPI Listing (CSEMA29 / CSEMS29)I CCASS Funding Projection Report for Participant (CSEMP02)
Money Obligation forÂ*hare Martett*ffffi
iþtAmount
3,00û,{x}- ?,000,00
tt"ffJfr *tArno¡r¡t
3,qxi.00" 2,000,00
*tffiïffi net Amount
3,00{1,00" 2,{m,m
"^ifiiffi -etlmount
3noo0,{10- r,o0Û,0û
5,ü)f¡.00" 4,00û,û0-
9,000,ü0" 3,00û.ú0-
o*mrf üetAmount
6,000,00- l,oûü.ot-
6,00ü.ffi 4,üp.0e-
t¿,ûWffi^ A,û{4.ÛS-
Re¿Gfo¡bþJßecôfrlp{,Âmount
5,00t 00
R¿caÍv¡trþ/fteccivcdÀmount
s,tsû.û0
Fece fuabþftecelveúAmount
5,o(¡s.0t
ßeæivabþ¡RsceivedAmount
4,000,00
2,000,{xl
ô,000,CIo
Reee iv¡bleJReceþodAmount
2,000,00
?,00Û.00
4,00û.00
Shows settlement amount from Sl settledon previous business day (except those Slsettled at 1"tBSR)
Shows settlement amount from Sl settled at1st BSR (i.e. 07:45) of current day
Shows settlement amount from Sl whichEPls are not yet delivered to HKICL
Shows settlement amount from Sl withsettlement date < = current CCASS date
30
Appendix 3Other Features of SPSA
Voting Delegation
SPSA holders delegate the input of voting instructions to CP and are notallowed to input voting instructions themselves
r Not available to SPSA
Nominee Services
Subscription forSMS / Email Alerts
Hard CopyStatement Services
r Not available to SPSA
31