采用分布式账本技术的证券结算——Jasper项目第三阶段报告-40页_18mb

Summary of JASPER Phase III: Securities Settlement Using Distributed Ledger Technology

Core Content

Project Jasper Phase III explored the potential of distributed ledger technology (DLT) in the context of securities settlement for TSX-listed equities in the Canadian financial market. The project aimed to evaluate the operational and technical benefits of integrating DLT into existing financial market infrastructures (FMIs) such as the Canadian Depository for Securities (CDS) and the Large Value Transfer System (LVTS). The POC was conducted using R3's Corda platform, focusing on the delivery versus payment (DVP) settlement model.

Main Theoretical Contribution

• Theorem 1.2: In a finite field $\mathcal{F}$, the set $\mathcal{F}(x)$, defined as all elements of $\mathcal{F}$ such that $x \in \mathcal{F}(x)$, is identified as a prime ideal of $\mathcal{F}$. This theorem is referenced from [10, Theorem 1.1], indicating a foundational mathematical underpinning for the DLT-based settlement model.

Key Features of the POC

• Private DLT Network: A private Corda network was used to simulate closed interactions, similar to the current model.
• Tokenization: Both cash and equities were tokenized using the DDR model, allowing for secure digital claims on the underlying assets.
  • Cash DDR: Issued by the Bank of Canada, representing Canadian-dollar deposits.
  • Equity DDR: Issued by CDS, representing exchange-traded equities.
• Atomic Settlement Transactions: Each netted position was settled via a single atomic Corda transaction, ensuring that the transaction either completes fully or fails entirely.
• Credit Extension: A credit extension mechanism was introduced for LVTS members to provide funds to non-LVTS members, mirroring real-world practices.
• Real-Time Visibility: Market infrastructure and regulatory nodes had real-time access to ledger data, enhancing transparency and oversight.

Scope and Implementation

• The POC was executed over an eight-week period using a reduced but representative scope to demonstrate a happy-path settlement scenario.
• Key participants included: 1 LVTS member, 14 CDS (non-LVTS) members, CDS, Bank of Canada, Payments Canada, and notary nodes.
• The architecture included:
  • CDS Node: Tokenizes equities and acts as the central counterparty.
  • Bank of Canada Node: Tokenizes cash.
  • Payments Canada Node: Observes cash transactions.
  • Broker Nodes: Participate in settlement transactions.
  • Notary: Ensures uniqueness consensus for transactions.

Key Observations

• The POC demonstrated that DLT can facilitate irrevocable DVP1 settlement of equities against central bank cash.
• Tokenization improved asset interactions by allowing direct on-ledger access for all participants.
• Immediate finality of settlement enabled the reuse of cash and equity tokens, theoretically supporting liquidity efficiency.
• Operational benefits such as reduced reconciliation efforts and lower costs were identified, though further validation is needed.
• The POC highlighted the need for a broader scope of asset types and a full trade and post-trade life cycle to realize significant benefits.

Related Work

• Jasper I and II: Explored interbank payment systems using Ethereum and Corda, respectively.
• Project Ubin (Singapore): Demonstrated that DLT systems like Corda, Hyperledger Fabric, and Quorum can support RTGS systems.
• Project Stella (ECB & BoJ): Confirmed DLT's ability to handle typical volumes of RTGS systems and identified trade-offs between network size and performance.
• Project Khokha (South Africa): Showcased the potential of quorum-based systems for fast transaction processing.
• Australian Securities Exchange: Planning to replace its CHESS system with a DLT-based model in partnership with Digital Asset.

Conclusion

• While DLT shows promise in improving efficiency and reducing operational complexity, a broader scope of coverage and integration across the entire trade and post-trade life cycle is necessary to fully realize these benefits.
• The introduction of credit extension in the POC reintroduced credit risk, highlighting the challenges of transitioning to a DVP1 model.
• The project emphasized the importance of further exploration and validation of DLT-based solutions for securities settlement.

Authors

• Bank of Canada
• TMX Group
• Payments Canada
• Accenture
• R3

Contributors

• Scott Hendry
• Dinesh Shah
• John Lee
• Brian Gelfand
• Andrew McCormack
• Penny Lam
• Kevin Rutter
• Rakesh Arora
• Reddy Guntaka
• Craig Crocker
• Adrian Guerin
• Shihab Shahriar
• Junaid Butt
• Jesus Sanchez
• Jessica Johnson
• John Velissarios
• Simon Webster
• Segun Bewaji
• Zarina Ahmed
• Thomas J. Hawkins
• Daniel Eidan
• Ly Nguyen

References

• [10, Theorem 1.1]

Glossary

• DLT: Distributed Ledger Technology
• DVP: Delivery versus Payment
• DVP1: Delivery versus Payment in central bank cash
• DDR: Digital Depository Receipt
• CDS: Canadian Depository for Securities
• LVTS: Large Value Transfer System
• CCP: Central Counterparty
• Corda: R3's open-source DLT platform
• Atomic Transaction: A transaction that either completes entirely or not at all
• ISIN: International Securities Identification Number