Statement of holdings (semt.002)
in delta mode (delta version)
Documents from CRG meeting of 9 July 2015
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Option 1 – Current implementation
Delta mode for semt.002
Option 1 – Current Implementation (Reporting of individual/aggregated positions
limited those which have changed)
 The Statement of Holdings in delta mode provides the current securities positions
within a security account, which were either newly created or changed or turned zero.
Conversely it will not report the securities position positions of securities that didn’t
get impacted within the reporting period
 The calculation of aggregated positions of a specific security in specific securities
accounts only considers the securities positions which were either newly created or
changed or turned zero
 In any case, securities positions will never be reported as zero if they have not
changed
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Option 2a
Delta mode for semt.002 to consider unchanged
positions for calculation of aggregated positions
The delta mode version of the semt.002 report created in T2S is enhanced to consider
unchanged positions for the calculation of aggregated positions e.g. for available
balance, non-available balance.
The unchanged positions are not reported in the delta semt.002, they are only used for
calculation purposes.
 Billing reduced compared to option 2b, but higher than for current delta semt.002
 All securities positions which were newly created or changed or turned zero can be easily
identified by using only 2 building blocks
 Re-Design of T2S functionality (Interface and Back-End) required. Risk assessment is medium.
 Mix of information of changed securities positions (delta mode) with unchanged securities
positions (full mode).
 Performance impact is expected to be negative
 The calculated aggregated positions differ from the sum of the reported positions
 Additional logic required on the CSD side in case reconciliation is based on aggregated position.
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Option 2b
Delta mode for semt.002 to consider unchanged
positions for calculation and reporting
The delta mode version of the semt.002 report created in T2S is enhanced to consider
unchanged positions for the calculation of aggregated positions e.g. for available
balance, non-available balance.
Contrary to the handling in option 2a the unchanged positions are also reported in the
delta semt.002 and are not only used for calculation purposes.
 No additional logic required on the CSD side in case reconciliation is based on aggregated
position.
 The calculated aggregated positions are equal to the sum of the reported positions
 Re-Design of T2S functionality (Interface and Back-End) required. Risk assessment is medium.
 Performance impact is expected to be negative
 Mix of information of changed securities positions (delta mode) with unchanged securities
positions (full mode).
 Billing increased compared to option 2a due to higher number of reported business item
 Transfer volume increased compared to option 2a due to higher number of reported securities
positions
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Option 2a & 2b
Reporting of Restriction References in semt.002
delta mode
 For each securities position included in the report the associated Restriction
References for reserved and blocked securities positions regardless of their quantity
and the Business Day when they turned zero are reported. Sample (*):
Restriction
Reference
Reporting
for ISIN A
D
D+1
D+2
BLO1
30
0
n/a
50
n/a
0
30
0
…
D+25
RestrRef123
50
RestrRef245
* For further details on restriction references kindly refer to
http://www.ecb.europa.eu/paym/t2s/progress/pdf/tg/crg/crg44/2015-0601_semt%20002_restriction_reference_reporting.pdf
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Option 2a & 2b
Way forward – Delta Report
 If market requests to change the creation of the semt.002 in delta mode, select
option 2a or 2b by 23 July 2015.
 Feasibility assessment, i.e. is a design change feasible which avoids negative
performance impact as seen within the current design and high level CR assessment
plan will be made available for CRG meeting in September 2015.
 Changes to Restriction References might require additional feasibility assessment
time.
 Delivery planning will be provided within detailed planning to be done after
establishment of CR.
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T2S PROGRAMME OFFICE
07.07.2015
Statement of Holdings (semt.002)
DELTA version (delta mode)
1. Introduction
The note clarifies current T2S behaviour for reporting of delta Statement of Holdings report (semt.002) and
proposes the options that could be considered by the CRG.
2. Statement of holdings in Delta version
The delta version reflects the current securities positions within a security account, which were either
newly created or changed or turned zero. The reflected period starts at the creation of the previous
Statement of Holdings of the current settlement day, or by default since the start of day if such report was
not already created since the start of the current settlement day.
2.1. Option 1 - Current Implementation for Statement of holdings in Delta version (Reporting of
individual/aggregated positions limited those which have changed)
In this approach:

The Statement of Holdings in delta version provides the current securities positions within a
security account, which were either newly created or changed or turned zero. Conversely it will not
report the securities position positions of securities that didn’t get impacted within the reporting
period.

The calculation of aggregated positions of a specific security in specific securities accounts only
considers the securities positions which were either newly created or changed or turned zero.

In any case, securities positions will never be reported as zero if they have not changed.
2.1.1. Advantages and drawbacks of the Option 1
 No change in current T2S behaviour.

All securities positions which were newly created or changed or turned zero can be easily identified.
They will be reported in either of the two building blocks:
- BalanceBreakdown/Quantity/Quantity only for deliverable securities positions, i. e. where
BalanceBreakdown/SubBalanceType/Code is AWAS
- BalanceBreakdown/AdditionalBalanceBreakdown/Quantity/Quantity for all securities positions except
deliverable.
 Reduced billing compared to other options.
 Creates complexity on the T2S actor side for reconciliation as not all securities positions within the
securities accounts are reported for the security.
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 The CSDs could not rely on the aggregated positions and would need to recalculate them on their side,
which could cause more effort on CSD’s side especially during the critical EOD/SOD time.
2.2. Option 2a for Statement of holdings in Delta version (Reporting of aggregated positions considering
unchanged positions as well)
T2S behaviour could be enhanced to provide the reporting of calculated balances at level of securities
account. The calculated balances (Aggregated, Available, NonAvailable and BalanceBreakdown for
proprietary SubBalanceType) would reflect the sum of all securities positions of a security within securities
account for the security. In this approach:

The Statement of Holdings in delta version provides the current securities positions within a
security account, which were either newly created or changed or turned zero. Conversely it will not
report the securities position positions of securities that didn’t get impacted within the reporting
period.

For the calculation of aggregated positions of a specific security in specific securities accounts, all
securities positions regardless of their restriction type have to be considered even if they did not
change or turn zero within the reporting period.

In any case, securities positions will never be reported as zero if they have not changed.
Refer examples for delta reporting under Option 2a in the Annexure.
2.2.1. Advantages and drawbacks of the Option 2a
 Reporting will be specific to only securities positions which are impacted within the reporting period.
This could be reduce billing compared to other Options

All securities positions which were newly created or changed or turned zero can be easily identified.
They will be reported in either of the two building blocks:
- BalanceBreakdown/Quantity/Quantity only for deliverable securities positions, i. e. where
BalanceBreakdown/SubBalanceType/Code is AWAS
- BalanceBreakdown/AdditionalBalanceBreakdown/Quantity/Quantity for all securities positions except
deliverable.
 Same costs for report receiver by avoiding the reporting of securities positions which did not change
within the reporting period but only considering them for the calculation.
 Even though the position of the security has changed, if the securities positions are sometimes included
and sometimes not, depending on whether they have changed. This creates the need for additional
logic on the CSD side.

Impact on the T2S design.
 The calculated Aggregated Positions (Aggregated, Available, NonAvailable and BalanceBreakdown for
proprietary SubBalanceType) differ from the reported positions – a verification using the reported
positions is not possible.
2.3. Option 2b for Statement of holdings in Delta version (considering unchanged positions for calculation
and reporting)
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The approach for Option 2b would be:

The delta version reports all securities positions within the securities account when the securities
positions have been subject to settlement within the reporting period. This includes a change in
any securities position. Associated Restriction References for reserved and blocked securities
positions regardless of their quantity and the Business Day when they turned zero.

It would report all securities positions even if any one of the securities position within the securities
account is subject to settlement within the reporting period.

As all securities positions of a security within the securities account are reported, the calculated
aggregated positions (Aggregated, Available, NonAvailable and BalanceBreakdown for proprietary
SubBalanceType) will reflect the sum of securities positions considered for reporting.
Our understanding is that these calculated positions are not queried/stored but calculated based on the
query extract done for reported securities positions. Refer examples for delta reporting under Option 2
in the Annexure.
2.3.1. Advantages and drawbacks of the Option 2b
 Separate query may not be required to derive the information on aggregated positions as they can be
easily calculated based on the data extract done for reporting at securities position level. This could
have less complexity in the design.
 Option 2b seems to be the expected solution of CSDs. It also seems to be the easiest to implement
from the CSDs point of view, i.e. no additional computations or logic is needed.
 Impact on the T2S design
 Mix information on securities positions which changed and securities positions which are unchanged
 Volume increase reporting of securities positions which has not been impacted in the impacted
securities account which has to be sent via network
 Cost increase for reporting of securities positions which has not been impacted in the impacted
securities account, i. e. possible increase of number of business items as well as transmission fees per
report. E.g. EAR1 will be reported even if the positions are not impacted if AWAS is impacted under the
given securities account.
3. Way forward
The CRG to provide their opinion regarding the 4CB analysis, and decide potential way forward on the
delta version of statement of holdings.
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Annexure A - Delta Statement of holdings – Example - Option 1
For securities account 123 and ISIN ABC the following securities positions are valid at SoD:
Position Id
Quantity
Restriction Type
P1
100
AWAS
P2
200
BLO1
After a booking of +50 in AWAS positions, the following securities positions are stored:
Position Id
Quantity
Restriction Type
P1
150
AWAS
P2
200
BLO1
Consequently, the statement of holdings would look as follows:
Delta statement of holdings
Aggregated
150
Available
150
NonAvailable
0
Balance Breakdown
AWAS
150
The NonAvailable position of 0 indicates that during the reporting period no blocked, reserved, CoSD
blocked or collateralised securities position changed.
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Annexure B - Delta Statement of holdings – Example - Option 2a
Attached an example on the reporting of available, earmarked and Restriction References for reserved and blocked securities.
On Day 1 the blocked RestrRef12 with a quantity of 25 is used fully.
On Day 2 the blocked RestrRef13 with a quantity of 75 is used fully.
On Day 3 the new RestrRef14 is created with a quantity of 30. Additionally, EAR1 securities position is
created with a quantity of 25.
On Day 4 the blocked RestrRef14 with a quantity of 30 is used fully. Additionally, EEUR securities position
is created with a quantity of 25.
On Day 5 no business related to BLK1 and the related Restriction References occurs. However, EEUR
securities position is used fully.
On Day 6 the blocked RestrRef12 is re-used and filled up with a quantity of 50. Also, the blocked
RestrRef21 under BLK2 is created with +50 and reused 50 with result zero at EOD. Additionally, EAR1
securities position is used fully.
On Day 7 the blocked RestrRef12 is emptied with a quantity of 50
On Day 8 no change in the positions. A delta semt.002 will be generated for SAC 123 with activity indicator
set to “false”.
The following table provides the Restriction References with their quantities which will be included in the
delta version of semt.002.
Securities
Account 123
ISIN ABC
Day
0
Day 1
Day 2
Day 3
Day 4
Day 5
Day 6
DAY 7
DAY 8
Aggregated
200
175
100
155
150
125
150
100
Available
100
100
100
125
150
125
100
100
Not Available
100
75
0
30
0
0
50
0
no reporting
in semt.002
no reporting
in semt.002
no reporting
in semt.002
Balance breakdown:
Securities
Position AWAS
100
no
reporting
no
reporting
no
reporting
no
reporting
no
reporting
no
reporting
no
reporting
no reporting
Earmarked
EARM
Securities
position
EAR1
Securities
position
EEUR
-
-
-
25
50
25
0
no
reporting
no reporting
-
-
-
no
reporting
no
reporting
0
no
reporting
no reporting
-
-
-
-
no
reporting
no
reporting
no reporting
Securities
Position BLCK
Securities
Position
BLK1
RestrRef12
100
75
0
30
50
0
no reporting
25
30
0
no
reporting
0
100
75
25
0
0
0
0
RestrRef13
75
75
0
0
0
RestrRef14
-
-
-
30
0
Securities
Position
BLK2
RestRef21
0
25
0
no
reporting
50
no
reporting
no
reporting
no
reporting
-
-
-
-
-
-
-
-
-
-
-
-
0
50
0
no reporting
no reporting
0
0
no reporting
0
0
no reporting
no
reporting
no reporting
no
reporting
no reporting
0
0
“-“ No position existed before
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Annexure C - Delta Statement of holdings – Example - Option 2b
Attached an example on the reporting of available, earmarked and Restriction References for reserved and blocked securities.
On Day 1 the blocked RestrRef12 with a quantity of 25 is used fully.
On Day 2 the blocked RestrRef13 with a quantity of 75 is used fully.
On Day 3 the new RestrRef14 is created with a quantity of 30. Additionally, EAR1 securities position is
created with a quantity of 25.
On Day 4 the blocked RestrRef14 with a quantity of 30 is used fully. Additionally, EEUR securities position
is created with a quantity of 25.
On Day 5 no business related to BLK1 and the related Restriction References occurs. However, EEUR
securities position is used fully.
On Day 6 the blocked RestrRef12 is re-used and filled up with a quantity of 50. Also, the blocked
RestrRef21 under BLK2 is created with +50 and reused 50 with result zero at EOD. Additionally, EAR1
securities position is used fully.
On Day 7 the blocked RestrRef12 is emptied with a quantity of 50
On Day 8 no change in the positions. A delta semt.002 will be generated for SAC 123 with activity
indicator set to “false”
The following table provides the Restriction References with their quantities which will be included in the
delta version of semt.002.
Securities
Account 123
ISIN ABC
Day 0
Day 1
Day 2
Day 3
Day 4
Day 5
Day 6
DAY 7
DAY 8
Aggregated
Available
Not Available
200
100
100
175
100
75
100
100
0
155
125
30
150
150
0
125
125
0
150
100
50
100
100
0
no reporting
no reporting
no reporting
Balance breakdown:
Securities
Position AWAS
100
100
100
100
100
100
100
100
no reporting
Earmarked
EARM
Securities
position EAR1
Securities
position EEUR
-
-
-
25
50
25
0
no reporting
no reporting
-
-
-
no reporting
no reporting
-
-
-
-
no reporting
no reporting
no reporting
Securities
Position BLCK
Securities
Position BLK1
RestRef12
RestrRef13
RestrRef14
Securities
Position BLK2
RestRef21
100
75
0
30
50
0
no reporting
100
75
25
75
-
25
0
0
75
-
25
25
0
no reporting
0
30
0
0
-
25
0
0
0
30
no reporting
0
50
no reporting
0
0
0
50
0
0
no reporting
no reporting
-
-
-
-
-
-
-
-
-
-
-
-
0
no reporting
0
0
0
no reporting
0
no reporting
0
no reporting
no reporting
no reporting
no
reporting
no reporting
“-“ No position existed before
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