Minor Functional Change Change Control Process

Business/Technical
Design Document
-SLIB CRMS: CCP Bank Holidays-

MFC SUMMARY INFORMATION

Change Requestor
Nick Scott/ Gemma Sanger/
SLIB

EURC number

Delivery manager
Dave Boynton

Planned date for deployment

TBC

Business area affected

CCM

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

Service levels affected by this

change

Impact assessment
Who will validate change in UAT
Central Testing Group for CCMS
AUTHORIZATION

Authorized by
Dave Boynton
ClearanceandCollateralManagement

Date
01/07/2014
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Minor Functional Change Change Control Process

Background/Summary of the Problem

Referen
ce

Priori
ty

Problem Summary

CCMPM637

MUST
HAVE

CCMS sends extracts to SLIB CRMS, a header is used to

show the date of the information in the extract. CCMS
sends this extract to SLIB every week day.
CCMS does not use a holiday table to source the date
for the header- instead it uses the previous days date,
and on Mondays the date for the previous Friday.
SLIB CRMS does not expect that a file will be sent when
the CCP is closed.

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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Minor Functional Change Change Control Process

6.

7.

8.

Q: Are the given holidays full closure as opposed to partial?

A: From the CRMS point of view a closing day has a very precise
definition.
It is a day when the CCP does not publish the risk parameters files
and/or risk reports needed for us to make a CCP risk computation on
our systems.
In other words, we cant compute the risks this day. We declare the
day as a closed day, and handle it in an appropriate way.
Q: Any CCP holidays for X-Clear or HKSE? Do JPM use these?
A: X- Clear and HKSE do have closing days. They were not provided
to JPM in the January list because these CCP are not set-up in the JPM
production environment.
As I understand it the fix that is being implemented by SLIB is that if
a CCP is closed, the fallback MR loading will send the previous dates
margin out but also inform/ alert that data is for previous date. This
alert must be acknowledged before processing can occur.
Firstly, is my understanding correct? Secondly will this be available
every week day- including 25th Dec and 1st Jan?
A: In the example if JPM sends data on the end of day of the 1st of
May for a CCP closed on the 1st of May.
This data will be substituted to the latest data from the 30 of April.
The 2nd of May CRMS will process the latest available data for CCP
parameters and positions.
The CCP parameters have been published on the 30 of April. It
is the last opened date for the CCP. It checks OK.
The positions sent by JPM have the date of the 1st of May (a
closed day). CRMS expects data from the 30 of April, CRMS
rejects the data.
No risk computation will be made on the 2nd of May with an
alert raised (error on the position file business date).

Yann replied 15/5

CLOSED
SLIB- email sent to
Yann 14/5
Yann replied 15/5

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.

The case of no computation on the 1st of May would have

been planned.
The case of no computation on the 2nd of May would not have
been planned, because we dont expect it to happen.
The fall back process described in the document would be the
same during the margin call process.

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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Minor Functional Change Change Control Process

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

CLOSED- JPM need

to do full regression
for the SLIB CRMS
fix to be applied in
July 2014. Any
impact to feeds and
reporting.

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Minor Functional Change Change Control Process

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

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Minor Functional Change Change Control Process

ECAG

Business
Rules

Acceptance
Criteria

Testing
Considerati
ons

Closed

Closed

Closed

Closed

Closed

Closed

X-Clear

This CCP is not set up for JPM on CRMS

HKSE

This CCP is not set up for JPM on CRMS

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

RE Risk- CCP Closed

for Business .msg

RE Risk- CCP Closed

for Business_2 .msg

ClearanceandCollateralManagement

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Minor Functional Change Change Control Process

Proposed Solution
1.1.

Processes

Title

Current Processing
Proposed Processing

Database Changes

Retired Database

No database objects or data is being retired for the requirement

Amended Database

New Database

No database objects or data is being amended for the requirement.

No database objects being added for the requirement.

Programs / Process Changes

Retired Programs/Processes
No processes/Programs are being retired for this requirement:
Amended Programs/Processes
Followings are processes/Programs are being Added for this
requirements

1.2.

Affected Object List

1.3.

Turnover Worklists

Name

Description

Type

Action

The following worklist(s) will be used for this development:

Application

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.

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Minor Functional Change Change Control Process

Document Control
Approval

The following groups and individuals have approved this document:

Name
Gemma Sanger
Nick Scott
Yann.Grozay@slib.com
Nathalie.Corona@slib.com
Caroline Bennett
TBC
Sabarish Ganapathi
Craig D Palmer
Document History
Versi
Name
on

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

Initial document including Business summary

Document Storage

Jira: C&CM Minor Functional Changes / CCMSMFC-653

https://issuetracking.jpmchase.net/jira8/browse/CCMSMFC-653

ClearanceandCollateralManagement

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