ESES Flux-Bourse Phase 1 - wip.swapclear.com guide ESES v3... · 1.context of the eses flux bourse...

Although LCH. Clearnet SA has made every effort to make this document accurate, up-to-date, and complete, LCH.Clearnet SA offers no warrants, express or implied, related to this document. You should be aware that its content may be changed without prior notice. In no event shall LCH.Clearnet SA be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or consequential damages of any kind arising from any error in this document.

ESES Flux-Bourse Phase 1 DETAILED TESTING GUIDE JUNE 2007 Version 3.0

ESES Flux Bourse phase 1 - Testing Guide - Version 3.0 2

TABLE OF CONTENTS Page

1.CONTEXT OF THE ESES FLUX BOURSE PHASE 1 TESTS ............................... 3 1.1. INTRODUCTION 3 1.2. MAIN OBJECTIVES OF THE TESTS 3 1.3. PERIMETERS 3 1.4. SCHEDULE OF THE TESTS 4 1.5. SCOPE OF THE SYSTEMS 6 1.6. MEMBER’S INVOLVEMENT 6 1.7. READINESS CRITERIA 6 1.8. INFORMATION ON THE TEST ENVIRONMENT 7 1.9. ACCESS TO DOCUMENTATION 7

2.SETTINGS............................................................................................................... 8 2.1. FILES DESCRIPTION 8

2.1.1. Private files ............................................................................................................................................... 8 2.1.2. Public files................................................................................................................................................. 8

2.2. MEMBERS ACCOUNT STRUCTURE ARCHITECTURE 9 2.3. AVAILABLE FUNCTIONALITIES 9

3. DESCRIPTION OF THE PASSIVE TESTING PERIODS..................................... 10 3.1. GOALS 10 3.2. MEMBER PARTICIPATION 10 3.3. REFERENTIAL DATA 10 3.5. TEST & CHECK LIST RECOMMENDATION 11 3.6. PRINCIPLE 11

4. DESCRIPTION OF THE FREE TESTING PERIODS........................................... 12 4.1. GOALS 12 4.2. MEMBER’S INVOLVEMENT 12 4.3. REFERENTIAL DATA 12 4.4. TEST & CHECK LIST RECOMMENDATION 13 4.5. CURRENCY CONVERSION IN EURO 13 4.5. LAUNCH REHEARSALS 13 4.6. BUY IN PROCEDURE TEST 14

4.6.1. Main objective ................................................................................................................................... 14 4.6.2. Schedule of the test ............................................................................................................................ 14 4.6.3. Member’s involvement ...................................................................................................................... 14 4.6.4. Securities eligible for the test............................................................................................................. 14

5. MEMBER SUPPORT ........................................................................................... 15

6. APPENDIX ........................................................................................................... 16 6.1. INSTRUMENTS AND COE 16 6.2. PASSIVE TESTING SCHEDULE 17 6.3. PASSIVE TESTING SCENARIOS 23 CHECKLIST AND TEST RESULTS 35


1.CONTEXT OF THE ESES FLUX BOURSE PHASE 1 TESTS

1.1. INTRODUCTION This test platform guide covers member testing to prepare:

• The upgrade of the Corporate Events (COE) principles on all the cash clearing segments.

• The settlement migration of the current RELIT+ system towards the phase 1 of the ESES project on the French cash clearing segment.

The launch date is planned for the 26th November 2007. All Clearing Members active at the launch date on the cash clearing segments (Amsterdam, Paris, Brussels and Lisbon) and their relatives ISV(s) are invited to test impacts linked to the changes of Corporate events processing and validate their internal applications connected to CLEARING 21®. The testing platform will be opened in order to ensure that members are still technically and functionally ready to access CLEARING 21® and can correctly manage the functionalities via their CCW and/or their CAP/MAP. This document aims to describe:

• the different test phases, • the scheduled dates, • the type of test that could be performed.

This guide could be regularly updated with additional documents on specific test phases. Info Flash will provide more detailed information along the project.

1.2. MAIN OBJECTIVES OF THE TESTS The tests aim to:

• Allow Members and ISVs to get ready to integrate new/updated functionalities o Enable them to test the evolutions of the COE processing on all clearing

segments. o Enable them to proceed “End to End” testing on Paris cash clearing segment.

• To get Members ready on time for the Go live date. ESES is a Euroclear’ project, all the actors have the to follow the time schedule defined by Euroclear.

1.3. PERIMETERS

The test perimeters is defined as follows:

• Launch rehearsals are organized to help Members to test their capacity to switch internal applications in line with the market.

• Passive COE testing is created and directly keyed by LCH.Clearnet. LCH.Clearnet is

proposing the most exhaustive possible tests and wants to master the complex preparation and progress.


• Free Testing is offered to validate internal applications on Paris clearing segment

principally. The EUA test platform is connected to the trading and the settlement test platforms to allow end-to-end tests.

1.4. SCHEDULE OF THE TESTS

The test schedule is synchronised with the one defined by Euroclear. The testing period is open from the 21st May 2007 to the 31st October 2007, CLEARING 21® cash test platform remains up and running during the green periods (cf detailed planning next page).


ESES Detailed planning for testing phase 1

Although LCH. Clearnet SA has made every effort to make this document accurate, up-to-date, and complete, LCH.Clearnet SA offers no warrants, express or implied, related to this document. You should be aware that its content may be changed without prior notice. In no event shall LCH.Clearnet SA be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or consequential damages of any kind arising from any error in this document.

1.5. SCOPE OF THE SYSTEMS

Type of tests

Systems’ scope (EUA environment)

Passive testing and End to End testing

Members’ access means to clearing CAP/MAP; CCW

Data provider: Fininfo

Trading system: Euronext

Clearing system: CLEARING 21®

Settlement platforms:

Euroclear France

Euroclear Bank

Euroclear Belgium

Euroclear Netherlands

All theses systems are linked and synchronised to a common referential data with corporate events scheduled.

1.6. MEMBER’S INVOLVEMENT

The tests are mandatory for Clearing Members active on each Euronext cash clearing segment:

• The first launch rehearsal is mandatory for Members who change their account structure.

• Passive testing is mandatory until readiness criteria are reached (cf next section).

Members have to: • Give a TMF code to be used in passive testing phase for each clearing segment by

the 3rd May 2007, an info flash will be sent as a reminder. • Test the account structure as close as possible to the production one • Check the referential to be synchronised with the test platforms

1.7. READINESS CRITERIA The following readiness criteria will allow LCH.Clearnet to evaluate the capacity of the members to go live:

• Modifications of account structure successfully checked. • Messages and/or files are perfectly integrated in Member’s internal applications, • The more frequent COE and the new elementary process codes 13, 14, 15, 17 and

18 are successfully checked and COE regularisations are successfully integrated in internal applications.

• A successful reconciliation of COE regularisations between the various systems from trading to settlement.


LCH.Clearnet will set-up a follow-up (cf checking points on the detailed planning, section 1.4) of the tests progress with the members in order to monitor the good progress of the tests.

A Check list of readiness evaluation attached in appendix will have to be filled in and returned for final status by the 9th November 2007.

1.8. INFORMATION ON THE TEST ENVIRONMENT Members will be able to access the EUA platform only with their acceptance equipment. The acceptance test environment of CLEARING 21® is available to test participants from 9:00 to 18:00 (CET) and could be extended during launch rehearsals (Saturdays included). Real time messages resulting from trades’ regularisations on COE are sent during the batch treatments of the afternoon and evening (same timing as today). The result files (PR3 and SIF) will be made available for members the following day in the morning (same timing as today). LCH.Clearnet reminds members that the EUA platform is used for functional purposes only and not for performance testing.

1.9. ACCESS TO DOCUMENTATION Members could access all the available Clearing documentation about this project via the Internet site: http://www.lchclearnet.com/projects/eses/default.asp The following documentation is already available to members:Q&A.

• Detailed service description and the files description (SIF, PR3, Messages). • Description of the corporate event record sequences.Info flashes

Additional Clearing documentation will be provided via Info-Flashes.

http://www.lchclearnet.com/projects/eses/default.asp


2.SETTINGS

2.1. FILES DESCRIPTION During the testing period, members will receive as currently all the requested clearing files on their test equipment. Detailed specifications and description of the functional content of the files can be found on the web site at: http://www.lchclearnet.com/projects/eses/default.asp

2.1.1. Private files Private Files FILE NAMES ON CASH TEST PLATFORM IMPACTED by ESES

phase1 Positions

Position Report 3rd Resume: POS.SHxxxS3

YES

Margin Requirements

PB Result ITD1: POS.SHxxxxB1

NO

SIF SIF file for Brussels: EHxxxxxxxxBESIFday SIF file for Paris: EHxxxxxxxxFRSIFday SIF file for Amsterdam: EHxxxxxxxxNLSIFfay SIF file for Lisbon: EHxxxxxxxxPTSIFday

YES

BIF BIF file for Brussels: EHxxxxxxxxBEBIFday BIF file for Paris: EHxxxxxxxxFRBIFday BIF file for Amsterdam: EHxxxxxxxxNLBIFday BIF file for Lisbon: EHxxxxxxxxPTBIFday

NO

2.1.2. Public files

Public Files CASH IMPACTED by ESES

phase1 COE file Corporate event summary file : POS.ShxxxCE

YES

Instruments characteristics

For the current business date (morning - 0353): EHPUBLICXXLCCD02day

NO

Instruments characteristics

For the next business date (morning - 0453): EHPUBLICXXLCCD01day

NO



2.2. MEMBERS ACCOUNT STRUCTURE ARCHITECTURE The account structure defined with members and default parameters returned by the end of March 2007 have been parameterised on the CLEARING 21® testing platform. If the member did not give any answer, his current account structure will remain unchanged.

2.3. AVAILABLE FUNCTIONALITIES

The functionalities of CLEARING 21® impacted by the project ESES phase 1 are detailed in the service description document available on our website via: http://www.lchclearnet.com/projects/eses/default.asp



3. DESCRIPTION OF THE PASSIVE TESTING PERIODS

3.1. GOALS From ESES phase 1, the principles of treatments of the COE change fundamentally. All the COE are impacted on all the clearing segments. Trades entered in the clearing system 3 days before the record date and fail positions can potentially be regularised by COE processing. LCH.Clearnet decided to set up passive testing in order to make member’s tests preparation easier. It would have been heavy for Members to manage the order entries in due time regards to the record date of the COE, adjust their balance at the CSD level for all the COE on all the clearing segments to get fails. Test scenarios are created and directly keyed by LCH.Clearnet into CLEARING 21® test platform. The passive tests focus on a set of test cases that allow participants to:

• Get used to the new COE mechanism • Check the files/messages and results expected in accordance with the test scenarios

that are provided • Integrate these changes to their internal applications.

3.2. MEMBER PARTICIPATION

Passive testing is mandatory for all members active on a clearing segment until readiness criteria are reached (cf section of 1.7 Readiness criteria).

3.3. REFERENTIAL DATA A list of the instruments used for COE in passive testing for all the clearing segments is given in appendix 6.2


3.5. TEST & CHECK LIST RECOMMENDATION LCH.Clearnet recommends members to include the following checks within their test plan:

• Delivery of all reporting (messages & files) • Checking the retrieval of public and private files (CCW, CAP/MAP) • Checking the retrieval of public and private messages (CAP/MAP) • Check the content of messages and files, particularly the new fields implemented for

ESES phase 1 • Feeding of internal applications or Back Office systems • Reconciliation between COE regularisations applied at the CCP and the ones applied

at the settlement level.

3.6. PRINCIPLE 4 tests cycles are proposed (cf detailed planning, section 1.4). For each cycle:

• Same set of test cases on all clearing segments • Same COE triggered on same instruments (exceptions in cycle 2 for reorganizations), • Balances at the CSD are set as follows to get fails:

- Initalised to 1000 in Euroclear France, 0 in Euroclear Bank and Euroclear Belgium,

- Not initialised for other clearing segments. • Trades are injected at CCP by LCH.Clearnet,Trading quantity set to 2000 for Paris

and Brussels segments,Trading quantity set above the greatest balance found for one member on other segments (to be communicated later).Example: greatest balance for one member is 10.000 the trading quantity for all members will be set to 20.000 …

• Members integrates day to day messages and files in their internal applications Members are free to give-up and take-up trades to check the COE regularisation on give-ups (messages 5031: notice of give-up creation). The passive test cases are listed in appendix 6.2 and 6.3


4. DESCRIPTION OF THE FREE TESTING PERIODS

4.1. GOALS The free testing period is organised to allow CMF/TMF to test in the platform with regard to the clearing system and to allow members to finalise their tests and check their internal developments. Members are able to perform complete cycle from order introduction, posting in CLEARING 21® and settlement. They have to define their own scripts according to the specific aspects of their activities and to select the scope of instruments adapted. No clearing tests scripts will be provided by LCH.Clearnet. The members are free to manage their balance in Euroclear France.

4.2. MEMBER’S INVOLVEMENT The free tests are advised for all members active and their relative ISV on a cash clearing segment equipped with a CCW and a CAP/MAP access means. Members can use the account structure of their choice according to their test plan. Nevertheless, LCH.Clearnet recommends members to test the account structure as close as possible to the production one.

4.3. REFERENTIAL DATA Members on the French segment can test a list of cash instruments existing in Production, except instruments used for COE in passive testing. Members will be able to perform tests on:

- Guaranteed instruments, - Non-guaranteed instruments, - Instruments traded in other currency than euro, - Instruments reserved for buy-in procedure tests, - Instruments on which Euroclear France will trigger some COE except those

reserved for passive testing. A short list of instruments for conversions in Euro is available in appendix 6.1.


4.4. TEST & CHECK LIST RECOMMENDATION LCH.Clearnet suggests members to include the following check points within their test plan:

• Delivery of all reporting (messages & files) • Checking the retrieval of public and private files (CCW, CAP/MAP) • Checking the retrieval of public and private messages (CAP/MAP) • Check the content of messages and files, particularly the new fields implemented for

ESES phase 1 • Treasury reports (not impacted by ESES) may be sent during few days (to be

communicated later). • Validate the following parameterizations settings:

• Accounts structures • Trading set up of clearing information

• Test of the functionalities: • Postings (manual; systematic; automatic) • Give-ups/ Take ups

• Feeding of internal applications or Back Office systems • Currency conversion to Euro detailed hereafter • Launch rehearsals detailed hereafter • Buy-in procedure detailed hereafter

4.5. CURRENCY CONVERSION IN EURO

Members are free to enter trades on instruments traded in non-euro securities on the French clearing segment. They will check the currency conversion in Euro operated at the CCP level in the messages and files reporting. The rate of conversion will be the ECB fixing of the previous business day in production.

4.5. LAUNCH REHEARSALS 3 Launch rehearsals are organized. The first rehearsal is mandatory for members who change their account structure. Members are requested to check their account structure and related positions before and after the launch test. Details on the organization and the schedule of theses tests will be provided in due time and will be communicated by info flash.


4.6. BUY IN PROCEDURE TEST The buy-in procedure is not impacted by the ESES project except the schedule of the dates that are harmonised across the various clearing segments. Nevertheless, a buy-in procedure test is scheduled in cycle 2 on the French clearing segment.

4.6.1. Main objective The buy-in test will allow each clearing member to test the buy-in as defaulting seller. Members will have to compare their test case with the resulting SIF and BIF files generated all along the test and to reconcile this information with the results expected. These tests have to simulate a defect delivery on the dedicated security. The final regularization will be done by cash indemnity.

4.6.2. Schedule of the test

Planning from 23/07/07 to 02/08/07 for buy-in test

Buy-in triggered at S+4

STEPS DATE

Trade entry by Members 23/07/07 ( ISD = 26/07/07) SIF reporting for positions to be settled (record 60)

25/07/07

SIF reporting with fails (records 20 and 30) 26/07/07 to 31/07/07 BIF 10 reporting with warning 31/07/07 BIF 20 reporting with notification 01/08/07 Regularisation of Buy-in 02/08/07 SIF reporting including Buy-in 02/08/07

4.6.3. Member’s involvement All members currently active on the French clearing segment in production are free to participate to the test. Members will enter the trades in the trading test platform by the 23rd July 2007.

4.6.4. Securities eligible for the test The following security is dedicated to this test run: FR0000120404 ACCOR The buy-in delay of both securities will be configured with a buy-in triggering from S+7 to S+4 in order to reduce the length of the test.


5. MEMBER SUPPORT

LCH.Clearnet will provide assistance to the members for all kinds of problems encountered when accessing the clearing central information systems. Procedures and terms during the test phase will be identical to those applied to normal use situation.

In case of a problem Who to contact A functional problem at the clearing level such as: • Understanding and using the

CLEARING 21® software • Using the CCW • Understanding clearing files and

messages

Operations Department: Tel: +33 1 70 37 66 27 or +33 1 70 37 66 26 or +33 1 70 37 65 76 Email: [email protected]

A technical problem at the clearing level such as: • Connecting CAPIs • Connecting CCWs • Receiving files & messages

CTS Helpdesk Tel: +33 (0) 1 49 27 50 50 Fax: +33 (0) 1 49 27 50 55 Email: [email protected] CTS Operations Tel: +33 (0) 1 49 27 50 80 Fax +33 (0) 1 49 27 50 85 Email: [email protected]

In the event of questions regarding: • General information on the project • Global follow up • Test organisation • Coming steps of the project

Product Implementation managers: Joëlle DEVARS Phone: +33 1 70 37 65 85 e-mail: [email protected] or Christophe ROBERT Phone: +33 1 70 37 67 08 e-mail: [email protected]

Moreover, the Operations Department will act as a “virtual” clearing member throughout the tests, providing a counterpart for all members wishing to carry out give-ups and take-ups on the Cash market.

mailto:[email protected]






6. APPENDIX

6.1. INSTRUMENTS AND COE The list of Instruments and COE used for passive tests is detailed in section 6.2. PASSIVE TEST SCHEDULE. The instruments available on the test platform are those existing in production on the 23rd March 2007 The corporate events in free testing on the French segment will be communicated by Euroclear France.


6.2. PASSIVE TESTING SCHEDULE For each test case, please refer to the detailed scenario associated (cf section 6.3). This schedule is available for cycle 1 and might be updated and communicated by Info flash. The schedule on the other cycles will be communicated 3 weeks before the beginning of the cycle at the latest. Keys:

AMSTERDAM


BRUSSELS


LISBON


PARIS (1/2)


PARIS (2/2)


6.3. PASSIVE TESTING SCENARIOS

A scenario can be assigned to one or many test cases (cf test cases at section 3.6) GLOSSARY R-D: Record date Ex-D: Ex date P-D : Payment date End M: End of month


Scenario ID:13A COE description Security code change or/and quantity modification Conditions: Clearing segment AMSTERDAM BRUSSELS LISBON Dates order Ex D = RD + 1 Process code 13 LCH.Clearnet ope. code MRGR and SPLFO for Amsterdam/Brussels, CHAN

Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions, reverse and new trade/position principles are checked Calendar

D-3 D D+1 D+2

R-D Ex-D P-D

Test case description

From D-3 until D-1: LCH.Clearnet injects trades in the CCP testing platform (cf details hereafter) On D evening: T1 is returned unsettled by the CSD as a fail The COE is sent in the public CE file

The open position resulting from T1 unsettled is regularised with the CE application The trade T2 is regularised with the CE application

Trades injection at CCP

ISIN code Trade Date Trade-Id Trade-type

ISD Qty Price Cash amount

Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-1 T2* MK D+2 Q2 P2 C2

*T2 is not applicable for the CHAN COE in Lisbon, because no trading possible on Sec A after D-3. Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE1 on Sec A and one CE2 on Sec

B** in SIF 25 are created. Check records: SIF 10, 20, 30. Messages 5011: A reverse trade leg on Sec A and a new trade leg on Sec B are sent for the regularisation of T2. PR3 file: T2 is regularized, a reverse trade on Sec A and a new trade on Sec B in records 20000 Check records 10000 and 30000 On D +1 evening: SIF file: The position resulting from T1 and T2 on Sec B is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30. **Sec B is the daughter instrument and could be equal to A


Scenario ID:13B COE description Security code change or/and quantity modification Conditions: The instrument is on SRD market, the ISD of T3 is End of month Clearing segment PARIS Dates order Ex D = RD + 1 Process code 13 LCH.Clearnet ope. code MRGR, PARI, SPLFO Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions, reverse and new trade/position principles are checked Calendar

D-3 D D+1 D+2 D+n

R-D Ex-D P-D End M


From D-3 until D: LCH.Clearnet injects trades in the CCP testing platform (cf details hereafter)

On D evening: T1 is returned unsettled by the CSD as a fail The COE is sent in the public CE file

The open position resulting from T1 unsettled is regularised with the CE application The trades T2 and T3 are regularised with the CE application




Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-1 T2 MK D+2 Q2 P2 C2 Sec A D T3 MK End M Q3 P3 C3

Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE1 on Sec A and one CE2 on Sec B*

in SIF 25 are created. Check records: SIF 10, 20, 30. Messages 5011: A reverse trade leg on Sec A and a new trade leg on Sec B are sent for the regularisation of T2 and T3. PR3 file: T2 and T3 are regularized, a reverse trade on Sec A and a new trade on Sec B in records 20000 Check records 10000 and 30000 On D +1 evening: SIF file: The position resulting from T1 and T2 on Sec B is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30. On M - 1 evening: SIF file: The position resulting from T3 on Sec B is sent to settlement (SIF 60 and SIF 70) *Sec B is the daughter instrument


Test case:13C COE description Security code change or/and quantity modification Conditions: Clearing segment LISBON Dates order Ex D = RD - 2 Process code 13 LCH.Clearnet ope. code SPLFO Objectives

Validate Member’s applications with the reporting related to the regularisation on positions. Calendar

D-3 D-2 D D+1 D+2

Ex-D R-D P-D


D-3 and D-2: LCH.Clearnet injects trades in the CCP testing plaform (cf details hereafter)

On D: T1 is returned unsettled by the CSD as a fail On D:evening The COE is sent in the public CE file The open position resulting from T1 unsettled is regularised with the CE application The trade T2 is not regularised Trades injection at CCP



Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-2 T2 MK D+1 Q2 P2 C2

Data to be checked

At D evening: SIF File: The open position resulting from T1 unsettled is regularised Check records: SIF 10, 20, 30 + 2 books entries CE1 and CE2 in SIF 25 - No trades regularised in messages - No regularisations in PR3 file.


Scenario ID:14A COE description Loss of drawing right Conditions: Clearing segment PARIS Dates order Ex D = RD - 2 Process code 14 LCH.Clearnet ope. code DRAW Objectives

Validate Member’s applications with the reporting related to the regularisation on trades but not on positions. Calendar

D-3 D-2 D-1 D D+1 D+2

Ex-D R-D P-D




The open position resulting from T1 unsettled is not regularised T2 is regularised with the CE application

T3 is not selected by the regularisation principle (ISD= P-D) Trades injection at CCP



Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-2 T2 MK D+1 Q2 P2 C2 Sec A D-1 T3 MK D+2 Q3 P3 C3

Data to be checked

On D evening: SIF file: No regularisation on fails Messages 5011: a reverse trade leg (D+1) and a new trade leg are sent for the regularisation on T2, new ISD= D+2 PR3 file: T2 is regularized, a reverse trade (D+1) and a new trade (D+2) in records 20000 Check records 10000 and 30000


Scenario ID:15A COE description Free of payment creation Conditions: Clearing segment AMSTERDAM BRUSSELS LISBON PARIS Dates order Ex D = RD – 2 Process code 15 LCH.Clearnet ope. code DVSE, DVOPI, EXRI, BONUI for NL+ DVCAV for BE+BONU, BONUI, EXRI

for PT+ DECRI, DVOPI for FR Objectives


D-3 D-2 D D+1 D+2

Ex-D R-D P-D




The open position resulting from T1 unsettled is regularised with the CE application The trade T2 is not regularised





² Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE2 on Sec B* in SIF 25 is created. Check records: SIF 10, 20, 30. Messages 5011: No trade legs regularised PR3 file: No regularization on fails *Sec B is the daughter instrument


Scenario ID:15B COE description Free of payment creation Conditions: The instrument is on SRD market, the ISD of T3 is End of month Clearing segment PARIS Dates order Ex D = RD + 1 Process code 15 LCH.Clearnet ope. code BONU, BONUI, EXRI Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions with link trade principles on daughter instrument. Calendar

D-3 D-2 D D+1 D+2 D+3 D+4 D+5 D+n

R-D Ex-D P-D P-D+n End M




The open position resulting from T1 unsettled is regularised with the CE application The trades T2, T3 and T4 are regularised with the CE application




Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-1 T2 MK D+2 Q2 P2 C2 Sec A D-1 T3 MK End M Q3 P3 C3 Sec A D T4 MK D+3 Q4 P4 C4

Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE2 on Sec B* in SIF 25 is created. Check records: SIF 10, 20, 30. Messages 5011: Link trade legs on Sec B are sent for the regularisation of T2 (ISD= D+2), T3 (ISD= D+3) and T4 (ISD= D+3) PR3 file: T2, T3 and T4 are regularized, link trade legs created on Sec B in records 20000 Check records 10000 and 30000 On D +1 evening: SIF file: The position resulting from T1 and T2 on Sec B is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30. On D+2 evening: SIF file: The position resulting from T3 and T4 on Sec B is sent to settlement (SIF 60 and SIF 70) *Sec B is the daughter instrument


Scenario ID:15C COE description Free of payment creation Conditions: Clearing segment BRUSSELS Dates order Ex D = RD + 1 Process code 15 LCH.Clearnet ope. code BONU, BONUI, EXRI Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions with link trade principles on daughter instrument. Calendar

D-3 D-2 D D+1 D+2 D+3 D+4 D+5

R-D Ex-D P-D P-D+n




The open position resulting from T1 unsettled is regularised with the CE application The trades T2, T3 and T4 are regularised with the CE application




Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-1 T2 MK D+2 Q2 P2 C2 Sec A D T4 MK D+3 Q3 P3 C3

Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE2 on Sec B* in SIF 25 is created. Check records: SIF 10, 20, 30. Messages 5011: Link trade legs on Sec B are sent for the regularisation of T2 (ISD= D+2) and T3 (ISD= D+3) PR3 file: T2 and T3 are regularized, a link trade leg created on Sec B in records 20000 Check records 10000 and 30000 On D +1 evening: SIF file: The position resulting from T1 and T2 on Sec B is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30. On D+2 evening: SIF file: The position resulting from T3 on Sec B is sent to settlement (SIF 60 and SIF 70) *Sec B is the daughter instrument


Scenario ID:17A COE description Cash transaction creation Conditions: Clearing segment AMSTERDAM BRUSSELS LISBON Dates order Ex D = RD – 2 Process code 17 LCH.Clearnet ope. code DVCA, INTR, DECR Objectives


D-3 D-2 D D+1 D+2

Ex-D R-D P-D



On D: T1 is returned unsettled by the CSD as a fail On D evening: The COE is sent in the public CE file






Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE7 on Sec A in SIF 25 is created. Check records: SIF 10, 20, 30. Messages 5011: No trade legs regularised PR3 file: No regularisation


Scenario ID:17B COE description Cash transaction creation Conditions: The instrument is on SRD market, the ISD of T2 is End of month Clearing segment PARIS Dates order Ex D = RD – 2 Process code 17 LCH.Clearnet ope. code DVCA, INTR, DECR Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions with link trade principles on mother instrument. Calendar

D-3 D-2 D D+1 D+2 D+n

Ex-D R-D P-D End M




The open position resulting from T1 unsettled is regularised with the CE application The trade T2 is regularised with the CE application The trade T3 is not regularised




Sec A D-3 T1 MK D Q1 P1 C1 Sec A D-3 T2 MK End M Q2 P2 C2 Sec A D-2 T3 MK D+1 Q3 P3 C3

Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: a book entry CE7 on Sec A in SIF 25 is created. Check records: SIF 10, 20, 30. Messages 5011: Link trade leg on Sec A is sent for the regularisation of T2 (ISD= End M) PR3 file: T2 is regularized, a link trade leg is created on Sec A in records 20000 Check records 10000 and 30000 On M-1 evening: SIF file: The position resulting from T2 on Sec A is sent to settlement (SIF 60 and SIF 70) At D evening:


Scenario ID:18A COE description Security and cash transaction creation Conditions: Clearing segment AMSTERDAM PARIS Dates order Ex D = RD + 1 Process code 18 LCH.Clearnet ope. code REDM Objectives

Validate Member’s applications with the reporting related to the regularisation on trades and positions, reverse and new trade/position principles are checked. Calendar

D-3 D-2 D D+1 D+2 D+3

R-D Ex-D P-D




The open position resulting from T1 unsettled is regularised with the CE application The trades T2 (Buy) and T3 (Sell) are regularised with the CE application



ISD Buy/Sell Qty Price Cash amount

Sec A D-3 T1 MK D Buy Q1 P1 C1 Sec A D-1 T2 MK D+2 Buy Q2 P2 C2 Sec A D T3 MK D+3 Sell Q3 P3 C3

Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: 1 book entry CE1 on Sec A and 2 CE7 on Sec A in SIF 25 are created. Check records: SIF 10, 20, 30. Messages 5011: 1 reverse trade leg and 2 new trade legs on Sec A are sent for the regularisation of T2 and T3. PR3 file: T2 and T3 are regularized: 1 reverse trade on Sec A and 2 new trades on Sec A in records 20000 Check records 10000 and 30000 On D +1 evening: SIF file: The position resulting from T1 and T2 on Sec A is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30. On D +2 evening: SIF file: The position resulting from T1, T2 (returned unsettled) and T3 on Sec A is sent to settlement (SIF 60 and SIF 70) Check records: SIF 10, 20, 30.


Scenario ID: 18B COE description Security and cash transaction creation Conditions: Clearing segment LISBON Dates order Ex D = RD – 2 Process code 18 LCH.Clearnet ope. code REDM Objectives

Validate Member’s applications with the reporting related to the regularisation on positions, reverse and new position principles are checked. Calendar

D-3 D-2 D D+1 D+2

Ex-D R-D P-D









Data to be checked

On D evening: SIF file: The open position resulting from T1 unsettled is regularised: 1 book entry CE1 on Sec A and 2 CE7 on Sec A in SIF 25 are created. Check records: SIF 10, 20, 30. Messages 5011: No trade legs regularised PR3 file: No regularisation


CHECKLIST AND TEST RESULTS Identification

Company name: Clearing member code: Project manager name

Functions TESTED COMMENTS OK/NOK/NA (Date)

Visualisation of trades Visualisation of positions Account structure Internal applications Referential data Position Results 3rd resume SIF file Corporate events file Manual give-up/take-up Buy-in test Passive test case: A1 Passive test case: A2 Passive test case: A3 Passive test case: A4 Passive test case: A5 Passive test case: A6 Passive test case: A7 Passive test case: A8 Passive test case: A9 Passive test case: B1 Passive test case: B2 Passive test case: B3 Passive test case: B4 Passive test case: B5 Passive test case: B6 Passive test case: B7 Passive test case: B8 Passive test case: L1 Passive test case: L2 Passive test case: L3 Passive test case: L4 Passive test case: L5 Passive test case: L6 Passive test case: L7 Passive test case: L8 Passive test case: P1 Passive test case: P2


Functions TESTED COMMENTS OK/NOK/NA (Date)

Passive test case: P3 Passive test case: P4 Passive test case: P5 Passive test case: P6 Passive test case: P7 Passive test case: P8 Passive test case: P9 Passive test case: P10 Passive test case: P11 Passive test case: P12 Passive test case: P13

On the basis of our test activities, we_____________________________[name of the company

involved] hereby confirm the LCH.Clearnet Clearing test was [successfully, not successfully] *

completed.

If it is not successfully, please list actions to drive to be ready for launch: _______________________________________________________________________________________________

_______________________________________________________________________________________________

_______________________________________________________________________________________________

_______________________________________________________________________________________________

_______________________________________________________________________________________________

_______________________________________________________________________________________________

___________________________________________________________________

Place, Date

Signature

Name of project manager or test co-ordinator

To be returned to your Product Implementation Manager for 10th November 2007 at the latest

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