Target2 Securities Repo Trades Buy Sell Back (PCT) Reinvestment of Coupon. Test Plan. 03 August Version 1.0

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1 Repo Trades Buy Sell Back (PCT) Reinvestment of Coupon Test Plan 03 August 2016 Version 1.0

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3 Contents 1.0 TEST FRAMEWORK ORGANIZATION OF TEST TEST PLAN TIME-LINE GUIDELINES FOR TESTING TEST DETAILS TEST SUPPORT 8

4 Repo BSB Reinvestment of Coupon Test Plan v TEST FRAMEWORK The present document defines the guidelines of a test for computation of the forward leg countervalue of Buy Sell Back Repos (PCT) traded with a negative Repo rate and with the settlement date of the forward leg after the ex-date of coupon of the securities in subject of trade. The current rules in production for the calculation of the interest amount of payable coupon is the following: The COUPON INTEREST corresponds to the amount calculated on the encased coupon, with simple capitalisation, at the rate set in the PCT (if the rate is negative the absolute value is taken into consideration) considering the number of days between the payment date and the settlement date of forward leg, according to the calendar year. The change already available in the test environment, consists in the following calculation method: The COUPON INTEREST corresponds to the amount calculated on the encased coupon, with simple capitalisation, at the rate set in the PCT (if the rate is negative it is considered an absolute value) considering the number of days between the payment date and the settlement date of forward leg, according to the calendar year. This new functionality will be subject to test both for ICPs and DCPs. 2.0 ORGANIZATION OF TEST Operating procedures The clients are invited to adhere to test to confirm the correct computation of the forward leg countervalue considering the reinvestment of the coupon at the repo rate (either positive or negative). The test cases have been scheduled in a time period specified in the section 3.0. The test environment will operate according to the standard day schedule as reported in section 4.0. MONTE TITOLI SPA 4

5 Repo BSB Reinvestment of Coupon Test Plan v TEST PLAN TIME-LINE The Monte Titoli s test environment Avviamento is connected to T2S test environment UTEST and is already made ready to perform the tests required. The Go-live in Production environment is currently planned on 5 th September 2016 based on the test outcomes. 4.0 GUIDELINES FOR TESTING 1. STATIC DATA The parties and accounts currently configured in CLIMP 1 will be used in the test environment. 2. MARKET TRADING PLATFORM MTS trading platform (for Repo trades) is connected to Monte Titoli s Avviamento environment, therefore clients are kindly invited to insert trades in the platform in order to verify the correctness of the calculation. 3. SCHEDULING OF PROCESSES The table below represents the scheduling timeline configured in the test environment, i.e. standard day Note: all time are CET, source ECB documentation. 1 MONTE TITOLI S STATIT DATA MANAGEMENT TOOL MONTE TITOLI SPA 5

6 Repo BSB Reinvestment of Coupon Test Plan v. 1.0 OPERATIONAL DAY SCHEDULE T2S STANDARD DAY SCHEDULE - START OF TESTING 07:00 REAL TIME SETTLEMENT TIMINGS OF MASSIVE RECYCLING 06: PARTIAL SETTLEMENT 1 - PARTIAL SETTLEMENT 2 10:00 10:15 12:00 12:15 - PARTIAL SETTLEMENT 3 14:00-14:15 - PARTIAL SETTLEMENT 4 15:45-16:00 - DVP/ CASH SR1 CUT-OFF4 16:00 - COLLATERAL REIMBURSEMENT 16:20 - BATM / CBO CUT-OFF 16:40 - INBOUND LTO CUT-OFF / AUTOMATIC CASH SWEEP 16:45 - SECURITIES SR / FOP CUT-OFF 17:00 END-OF-DAY/START-OF-DAY - CHANGE OF BUSINESS DATE 17:45 - FEEDS FROM CMS 18:00 - CASH INJECTION 18:30 - START OF NIGHT-TIME SETTLEMENT 18:30 NIGHT-TIME SETTLEMENT - END OF TESTING 19:00 MONTE TITOLI SPA 6

7 Repo BSB Reinvestment of Coupon Test Plan v TEST DETAILS In order to allow the verification of the correct calculation of the new functionality and comparison of differences of the operations with positive Repo rate, Monte Titoli will insert, for each participant of Repo Market, 2 Buy Sell Back Repo not guaranteed trades of each ISIN reported below during the days 05/08/2016 and 10/08/2016 Upload on 05/08/2016: ISIN IT BTP 9% IT CCT TV Nominal Spot price 101,60 101,60 Spot leg SD 09/08/ /08/2016 Forward leg SD 16/11/ /09/2016 Repo rate 1 PCT with repo rate +0,7 1 PCT with repo rate -0,7 1 PCT with repo rate +1 1 PCT with repo rate -1 Date of payment Coupon (rate) 01/11/2016 (4,5%) 01/09/2016 (0,13%) Upload on 10/08/2016 ISIN IT BTP IND IT CCTEU TV Nominal Spot price 101,60 101,60 Spot leg SD 12/08/ /08/2016 Forward leg SD 30/09/ /11/2016 Repo rate 1 PCT with repo rate +0,5 1 PCT with repo rate -0,5 1 PCT with repo rate +1,5 1 PCT with repo rate -1,5 Date of payment Coupon (rate) 15/09/2016 (1,05%) 15/10/2016 (0,662% on annual basis) In order to differenciate Repo trades (PCT) with positive rate from the ones with negative rates, the contract number will be composed as follows: 000POSxxxx Repo with positive repo rate; 000NEGxxxx Repo with negative repo rate. MONTE TITOLI SPA 7

8 Repo BSB Reinvestment of Coupon Test Plan v. 1.0 Each client is invited to send a feedback of the outcomes of executed test to this address: mt-testsett@lseg.com by the 26 th August TEST SUPPORT Any request for support or clarification regarding the operating principle of the functionalities to be tested should be forwarded to: mt-test-sett@lseg.com Any request for support or changes to the masterdata set-up during the period of testing should be forwarded to: mdm@lseg.com. MONTE TITOLI SPA 8

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10 Luglio Il presente documento è adottato a norma delle leggi speciali. Monte Titoli S.p.A. non deve essere ritenuta responsabile per eventuali danni, derivanti anche da imprecisioni e/o errori, che possano derivare all utente e/o a terzi dall uso dei dati contenuti nel presente documento. AGREX, BORSA ITALIANA, BORSA ITALIANA ITALIAN STOCK EXCHANGE, BORSA VIRTUALE, BORSAM@T, CITY FOR GOOD, DDM, ELITE, ETFplus, EUROMOT, EXPANDI, EXTRAMOT, IDEM-THE ITALIAN DERIVATIVES MARKET, IDEX, MIB, MIB 30, MIBTEL, MIDEX, MINIFIB, MIV, MOT, MTA, MTF, NIS, SEDEX, STAR, STAR SEGMENTO TITOLI CON ALTI REQUISITI, TECHSTAR nonché il marchio figurativo costituito da tre losanghe in obliquo sono marchi registrati di proprietà di Borsa Italiana S.p.A. CC&G è un marchio registrato di proprietà di Cassa di Compensazione e Garanzia S.p.A. MONTE TITOLI, X-TRM e MT-X sono marchi registrati di proprietà di Monte Titoli S.p.A. MTS, BOND VISION, EUROMTS sono marchi registrati di proprietà di MTS S.p.A. PALAZZO MEZZANOTTE CONGRESS CENTRE AND SERVICES, BEST VENUE INDICATOR, MARKET CONNECT sono marchi registrati di proprietà di BIt Market Services S.p.A. London Stock Exchange ed il relativo logo, nonché AIM sono marchi registrati di proprietà di London Stock Exchange plc. FTSE è un marchio registrato di proprietà del Gruppo London Stock Exchange ed è utilizzato da FTSE International Limited sotto licenza. GATElab, Traderpath, Algorithmicpath, Exchangepath sono marchi registrati di proprietà di Gatelab S.r.l. I suddetti marchi registrati, nonché gli ulteriori marchi di proprietà del Gruppo London Stock Exchange, non possono essere utilizzati senza il preventivo consenso scritto della società del Gruppo proprietaria del marchio. Il Gruppo promuove e offre i servizi Post Negoziazione prestati da Cassa di Compensazione e Garanzia S.p.A. e da Monte Titoli S.p.A., secondo modalità eque, trasparenti e non discriminatorie e sulla base di criteri e procedure che assicurano l'interoperabilità, la sicurezza e la parità di trattamento tra infrastrutture di mercato, a tutti i soggetti che ne facciano domanda e siano a ciò qualificati in base alle norme nazionali e comunitarie e alle regole vigenti nonché alle determinazioni delle competenti Autorità. Contatti: Informazioni generali: Monte Titoli S.p.A. Piazza degli Affari, Milano Per aspetti tecnici e problematiche di rete relative allo svolgimento dei collaudi: Service Operation MT ptts-somt@lseg.com