Business/Technical
Design Document
-SLIB CRMS: CCP Bank Holidays-
Change Requestor
Nick Scott/ Gemma Sanger/
SLIB
EURC number
Delivery manager
Dave Boynton
IT service affected
CCMS SLIB processing
MFCPRIORITY
Emergency
High
Medium
Low
MFCDETAILS
Business Justification
CCMS has no concept of CCP holidays- SLIB CRMS has a holiday calendar
that lists CCPS closed days- they do not expect to receive a file from
CCMS for the CCP when it is closed. There was a P2 ticket raised where
CCMS sent a file CRMS wasnt expecting- the file was available from CRMS
and therefore it was decided to introduce a workaround to prevent the
CCP files being sent to CRMS when the CCP was closed.
Incident and/or problem report
(PR) numbers that relate to this
MFC (if applicable)
ConQuest ticket 19270606
Impact assessment
Who will validate change in UAT
Central Testing Group for CCMS
AUTHORIZATION
Authorized by
Dave Boynton
ClearanceandCollateralManagement
Date
01/07/2014
Page1
Priori
ty
Problem Summary
CCMPM637
MUST
HAVE
Busines
s
Impact
Operatio
ns
Open questions
# Question
Status
1.
Developer
2.
3.
4.
5.
The extract is sent to CRMS on week days and not weekends. This
must be using a calendar to distinguish the days? Or is it hard
coded? Or is there some weekday logic in CCMS?
What do SLIB want JPM to send to CRMS on non working days??
Ans: SLIB dont want CCMS to send any files to CRMS if the
CCP is on holiday
When the CCP was closed (it was a European holiday but not whole
world) CCMS did not send the files as requested (workaround) CCMS
did however receive a file that was USD on the closed day but was
not able to reply- due to fix- is this a valid scenario? If the CCP was
closed would it be for all markets? Or just selected markets?
A: Hi Caroline,
Apologies for our late answer.
If a CCP is closed and there is a currency holiday, are only the
currencies that are also closed subject to files not being sent
from CRMS?
In the case above it was an EUR holiday but a USD file was
received while the CCP was on a closed day.
CRMS considers only CCP calendars.
It will reject all files received for a closed CCP, whichever the
currency.
If a CCP is closed, is it closed for all markets or just selected
ones?
It is considered as closed when the CCP doesnt publish any
parameter mandatory for the margin calls calculation (or report when
the algorithm is not published). This means that it will be closed for
all markets.
CCPs in CRMS are (need to confirm with SLIB):
LCH Clearnet Ltd
LCH Clearnet SA
CC&G
EUROCCP
EMCF
ECAG (Eurex)
X-Clear
HKSE
Which days are definitely CCP bank holidays?
A: Those dates confirmed with Gemma Sanger in Jan 2014
ClearanceandCollateralManagement
CLOSED
CLOSED
Yann SLIB- Email
sent Tuesday 24/6
Nathalie replied
16/07
CLOSED
SLIB- email sent to
Yann 14/5
Yann replied 15/5
list is confirmed.
CLOSED
SLIB- email sent to
Yann 14/5
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6.
7.
8.
CLOSED
SLIB- email sent to
Yann 14/5
Yann replied 15/5
CLOSED
SLIB- email sent to
Yann 14/5
Yann replied 15/5
Note that the issue can be avoided by not sending positions to SLIB
on a closed day (using the CCP holiday list).
In that case, on the 2nd of May, CRMS will find position from the 30th
of April and compute the CCP risk using the corresponding CCP
parameters of the 30th of April.
Instead of having a null risk on the 1st of May and on 2nd of May (as in
the previous version), CRMS will use the latest risk computation
made on the 30th of April.
An additional alerting is raised to the CRMS users and to be
acknowledged by them before proceeding a margin call.
9.
This is available every week day including the 25/12 and 1st of
January.
Why has the bank holiday issue not been seen before December
ClearanceandCollateralManagement
CLOSED
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1
0.
2013?
Ans: Because SLIB CRMS didnt have the holiday dates added.
From SLIB: It was the date on the file sent by JPM which was wrong
eg on a Tuesday following BH Monday- JPM needs to send Tuesday
date rather than the date for Monday. The workaround applied by
JPM at Easter meant the date didnt roll over.
From Dipak Gorasia:
There were no problems after the Easter bank holidays 2014
the change we put in place to prevent the date from rolling
over ensured that the positions sent the following Tuesday
from CCMS had the correct date.
It is thought by Operations that the fix that SLIB are implementing
in July 2014 will cause account discrepancies in reporting for JPMtherefore the do nothing/ make no change in CCMS will not be
possible. The only option remaining for JPM is to prevent the files
going to SLIB CRMS when there is a CCP holiday to avoid the old data
being used.
ClearanceandCollateralManagement
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Requirements
Phase1 (can be manually set up or set up by script as part of the
project)
1. Add a new holiday type in SD4 to use specifically for CRMS CCP
Holidays.
CCMS Function SD4 > SS HTYP
Table Entry
Description
Available
*use available
SLIB CCP
Y
code*
2. Add Each CCP as a holiday key in CCMS function ER6 using the new
holiday type- add dates per CCP.
CCMS Function > ER6
Holiday Type
Holiday Key
Description
SLIB CCP HOLIDAYS
SLIB CCP HOLIDAYS
SLIB CCP HOLIDAYS
SLIB CCP HOLIDAYS
SLIB CCP HOLIDAYS
Requiremen
t
Id
Description
EUROCCP NV
LCH LTD
LCH SA
CCG
ECAG
EUROCCP NV
LCH LTD
LCH SA
CC & G
ECAG
(this change can then be tested along with the SLIB holiday fix QA
testing to begin in July 2014)
3. Add the holiday dates for each CCP as one-offs to enable the dates
to change each year.
This step can be used to test the process if a new CCP comes on
board- rather than a project to update the static tables.
Phase 2 (code change)
1.Before sending files to SLIB CRMS CCMS processing must check
the holiday table created in phase 1-if (todays date?) has been added
as a non working day for the specified CCP- then create the file, but
DO NOT send to SLIB CRMS.
2. A second check must then be made before sending the file to SLIB
CRMS:
If the CCP has a non-working day and there is a currency
holiday then the file must not be sent to CRMS for the specified
currency
OR
If the CCP has a non-working day and there is NO currency
holiday then the file must be sent to CRMS for the specified
currency.
FR_01
Add in CCMS a holiday table specifically for SLIB CCPs
Using the dates for the different CCPs (potentially using existing
function ER6)
01 Jan 14 18 Apr 14 21 Apr 14 01 May 14 25 Dec 14 26 Dec 14 01 Jan 15
Closed
Closed
Closed
Closed
EuroCCP NV
Closed
Closed
LCH Ltd
Closed
Closed
Closed
LCH SA
Closed
Closed
Closed
Closed
Closed
Closed
Closed
CC&G
Closed
Closed
Closed
Closed
Closed
Closed
Closed
ClearanceandCollateralManagement
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Business
Rules
Acceptance
Criteria
Testing
Considerati
ons
Closed
Closed
Closed
Closed
Closed
Closed
X-Clear
HKSE
Closed
These dates will change on an annual basis and therefore this table
will have to be manually maintained- Operations to liaise with SLIB to
confirm the dates and then raise a request to action to
Datamanagement. Can use existing forms for ER6 and would be a
normal request and therefore wouldnt need buy in from the Ops
teams as it wouldnt be too much additional work/ time to complete.
Operations rules apply for approval of any GUI change and any CCMS
amendment.
CRMS GUI must be used as it is currently.
Ops must be trained in completing the holiday addition requests.
Files are not sent to SLIB CRMS from CCMS when there is a CCP
bank holiday as recorded in the holiday table. Where one CCP is
on a non working day, the other CCP files must still be generated
and sent to SLIB CRMS.
If a new CCP is added to the holiday table then the new record will
be subject to the same checks- ie do not send the file when the
CCP has been set as a non working day.
Test normal working days
1 bank holiday eg May day
2 bank holidays eg simulate Christmas where 25 & 26 th are BHs
2 bank holidays sandwiching a weekend eg Easter.
Appendix A
Email confirmation of SLIB suggested CCP holidays.
RE 2014 Closing
Days Validation.msg
Appendix B
Email confirmations of questions posed to SLIB
ClearanceandCollateralManagement
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Proposed Solution
1.1.
Processes
Title
Current Processing
Proposed Processing
Database Changes
Retired Database
Amended Database
New Database
1.2.
1.3.
Turnover Worklists
Name
Description
Type
Action
Worklist
Description
Post Implementation
Support Documents
Reference Document
Gateway Support Tracking Log
Environment Manager Manual
Location
http://intraspectkm.jpmorganchase.com/gm/document1.9.2437537
http://intraspectkm.jpmorganchase.com/gm/document1.9.1966542
Reference Documents
None.
ClearanceandCollateralManagement
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Document Control
Approval
0.1
Caroline
Bridle
Title
Operations Team leader
Operations SME
SLIB Technical Representative
SLIB Project Manager
JPM Project Manager
QA Test Manager
Technical Developer
Technical Manager
Approver?
Yes
Yes
No
No
No
No
No
No
Date
Description
14/05/1
4
Document Storage
ClearanceandCollateralManagement
Page8