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Schedule of a settlement day in T2S - Detailed description

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2   SCHEDULE OF A SETTLEMENT DAY IN T2S


3          DETAILED DESCRIPTION


4



5                            T2S Project Office
                          Reference: 09.04.01/2010/005648

                          Date:      17 June 2010

                          Version:   1.0

                          Status:    Draft



6
                                 Schedule of a settlement day in T2S - Detailed Description


 1                                         TABLE OF CONTENTS


 2   1         INTRODUCTION                                                                                   4

 3       1.1        Scope of the Document                                                                4
 4       1.2        Structure of the Document                                                            4
 5       1.3        References                                                                           4
 6       1.4        List of Figures                                                                      5

 7   2         SCHEDULE OF A SETTLEMENT DAY IN T2S                                                            6

 8       2.1        Setup of the harmonized schedule                                                     6

 9       2.1.1        T2S Calendar                                                                       6
10       2.1.2        Management of the schedule of a settlement day in T2S                              7

11       2.2        T2S Schedule Overview                                                                8

12       2.2.1        High Level Diagram of the T2S schedule                                             8
13       2.2.2        Overview of the T2S settlement day                                               11

14   3         DETAILED DESCRIPTION OF THE T2S SCHEDULE                                                   12

15       3.1        Start of Day (SOD)                                                                 12

16       3.1.1        Services involved during the Start of Day (SOD)                                  12
17       3.1.2        Start of Day (SOD) Schedule                                                      13
18       3.1.3        Start of Day (SOD) Processes                                                     13

19       3.2        Night-time Settlement (NTS)                                                        15

20       3.2.1        Services involved during Night-time Settlement (NTS)                             16
21       3.2.2        First Night-time Settlement Cycle                                                17
22       3.2.3        First Night-time Settlement Cycle - Processes                                    18
23       3.2.4        Second Night-time Settlement Cycle                                               23
24       3.2.5        Second Night-time Settlement Cycle - Processes                                   24
25       3.2.6        Last Night-time Settlement Cycle                                                 26
26       3.2.7        Last Night-time Settlement Cycle - Processes                                     27

27       3.3        Maintenance Window                                                                 30

28       3.3.1        Services involved during maintenance window                                      31
29       3.3.2        Maintenance Schedule                                                             32
30       3.3.3        Maintenance Window Processes                                                     32

31       3.4        Daytime Settlement (DTS)                                                           32

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                               Schedule of a settlement day in T2S - Detailed Description


 1       3.4.1        Services involved during the Daytime Settlement (DTS)                          33
 2       3.4.2        Daytime Settlement Schedule                                                    34
 3       3.4.3        Daytime Settlement Processes                                                   35
 4       3.4.4        Daytime Settlement Schedule - continued                                        38
 5       3.4.5        Daytime Settlement Processes - continued                                       39

 6       3.5        End of Day (EOD)                                                                 45

 7       3.5.1        Services involved during the end of day (EOD)                                  45
 8       3.5.2        End of Day Schedule                                                            45
 9       3.5.3        End of Day Processes                                                           46

10   4         ADDITIONAL SERVICES                                                                      47

11       4.1        Information broadcast                                                            47
12       4.2        Reports                                                                          47
13       4.3        Queries                                                                          48

14   5         APPENDICES                                                                               51

15       5.1        List of Abbreviations                                                            51




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                                 Schedule of a settlement day in T2S - Detailed Description




 1   1 INTRODUCTION

 2   1.1 Scope of the Document

 3          The scope of this document is to present the T2S harmonized schedule in a T2S settlement day
 4          applicable for all markets. It provides a detailed timeline and description of the processes within a T2S
 5          settlement day.
 6
 7          This document does not cover

 8          •       the impact or implementation details of the schedule in T2S within the internal IT systems of T2S
 9                  Actors

10          •       the internal CSD timelines and local market practices. The current assumption is that a T2S
11                  deadline will de facto became a local market deadline, but this is a decision of each local market
12                  to take.


13   1.2 Structure of the Document

14          This document contains below sections:

15          •       Section 2 (Schedule of a settlement day in T2S) provides a high level overview of the T2S
16                  harmonized schedule.
17          •       Section 3 (Detailed description) provides a detailed description of the T2S harmonized schedule
18                  and the related T2S services.
19          •       Section 4 (Additional Services) provides a listing of the services with reports and queries, provided
20                  by T2S.

21          The descriptive text in this document also refers to the user requirements as published in the user
22          requirements document (URD 5.0), where applicable. It is marked as {T2S.xx.yyy} where “xx”
23          denotes the chapter in the User Requirement Document and the “yyy” denotes the requirement number
24          within the chapter.
25
26          The last section (section 5) provides the appendices.


27   1.3 References

28          • T2S User Requirement Document Version 5.0


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                           Schedule of a settlement day in T2S - Detailed Description


1          • General Functional Specifications Version 4.0
2          • Ongoing discussions in SGOF, PMSG
3          • Ongoing discussions in CASG


4   1.4 List of Figures


       Figure #                                                  Title

          1.         High Level view of T2S Schedule

          2.         Start of Day procedures

          3.         First night-time settlement cycle

          4.         Second night-time settlement cycle

          5.         Last night-time settlement cycle

          6.         Maintenance window procedures

          7.         Daytime settlement procedures

          8.         Daytime settlement procedures - continued

          9.         End of Day procedures

5




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                                 Schedule of a settlement day in T2S - Detailed Description




 1   2 SCHEDULE OF A SETTLEMENT DAY IN T2S

 2          In line with the discussions in the T2S Advisory Group (AG), T2S adopts a harmonised schedule for all
 3          settlement activity in euro and non-euro currencies. There is a strong market request for schedule
 4          harmonisation in Europe and the market considers the launch of T2S as a seminal factor contributing to
 5          the removal of Giovannini barrier 71.
 6
 7          A harmonized schedule ensures higher degree of settlement efficiency, coordination of corporate actions
 8          management and settlement and improved fail rates in a cross border environment.
 9
10          This section includes a high-level description of the T2S schedule setup including its usage by all
11          markets in a single settlement day in T2S.


12   2.1 Setup of the harmonized schedule

13   2.1.1      T2S Calendar

14          T2S facilitates settlement in Euro central bank money (i.e. settlements against payment or free of
15          delivery) for which the calendar is the same as the calendar of TARGET2 {T2S.03.310}. Further T2S
16          facilitates the settlement in non-Euro central bank money according to the calendar for the opening days
17          of the relevant central bank {T2S.03.320}.
18
19          T2S will maintain a T2S Operating day calendar, which will include the opening days and closing days
20          for all T2S settlement currencies, based on two calendars for the closing days
21          •    Closing days by currency {T2S.11.170}
22          •    T2S Closing days for all currencies, to determine the days on which T2S is not open for business,
23               regardless of a specific currency
24
25          T2S Closing Days is used to check if T2S is open or not, whereas Closing Day is used to check if
26          settlement in a specific currency is allowed in a specific day or not. T2S Operator manages the T2S
27          Closing day calendar.
28
29          All Saturdays, Sundays and other specific days such as 25, 26 December and 1 January, for any type




     1
         National differences in operating hours/settlement deadlines

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                                 Schedule of a settlement day in T2S - Detailed Description


 1          settlement2 will be common closing days for all currencies.
 2          In general, T2S is open from Monday to Friday every week. At the end of a Friday settlement day (or
 3          the last T2S operating day of the week), T2S moves to the next Monday (or the next first T2S operating
 4          day of next week) as settlement day. T2S will perform the related schedule until the end of the night-
 5          time settlement period (finishing during the night between Friday and 3:00 a.m. on Saturday). On
 6          Monday at 5:00 a.m., T2S starts performing the schedule with the preparation of the daytime settlement
 7          as the continuation of the same settlement day {T2S.03.340}.
 8
 9          During the weekends, T2S interfaces and processes are not available on a regular basis {T2S.03.350}.
10          Nevertheless, T2S will be technically capable to provide those services seven days a week based on
11          specific needs (migration, issuance in direct holding countries), when required {T2S.03.360}.


12   2.1.2      Management of the schedule of a settlement day in T2S

13          The T2S schedule will be under the control of the T2S operator, for creation of any new timelines,
14          changing and/or deletion of existing timelines and deletion of existing time lines. The T2S Operator will
15          have the necessary privileges by default to perform temporary or permanent changes to the T2S
16          schedule. T2S will ensure that the T2S schedule will always conform to the Closing days by currency
17          and the T2S Closing day calendar for any changes to the T2S schedule.
18
19          T2S manages the transition between the various periods3 as an event. T2S manages a planned time, a
20          revised time and an effective time for each such event {T2S.03.015}.
21
22               •   The planned time corresponds to the standard schedule applied by default by the T2S platform
23                   for every T2S settlement day. The T2S Operator can update this planned time in case of a
24                   permanent change in the regular schedule {T2S.03.016}.
25               •   The revised time is the foreseen time for the current settlement day, which usually coincides
26                   with the planned time except when a delay has occurred. In contingency situations, the T2S
27                   Operator updates the revised time while the planned time remains unchanged {T2S.03.017}.
28               •   The effective time is the time of the actual occurrence of the event during the current settlement
29                   day {T2S.03.018}.
30
31          The T2S Operator is entitled to change some timings/ deadlines of a settlement day, independently for a
32          T2S settlement currency, in exceptional circumstances or contingency situations, based on a request by




     2
         On 1 May and Easter period, T2S will be available but with limited support services.
     3
         “Periods” and “Windows” are used synonymously in this document

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                              Schedule of a settlement day in T2S - Detailed Description


 1        the relevant central bank. The change is valid for the current T2S settlement day only {T2S.03.303}.
 2        These currency dependent cut-offs/deadlines are specific events within the T2S daily schedule that have
 3        a cash component or securities component and are not a cut-off/deadline related to the T2S centralised
 4        processing such as the start of day (SOD) and end of day (EOD).
 5
 6        Although T2S foresees the maintenance of individual T2S settlement currency dependent deadlines in
 7        exceptional circumstances, the T2S operator will manage the overall processing of a settlement day
 8        based on a common T2S schedule across all T2S settlement currencies and CSDs, as depicted in the
 9        figure 1. There will be no schedule of a settlement day defined per currency in T2S, i.e. only one
10        planned time for all currencies will exist in T2S.


11   2.2 T2S Schedule Overview

12        T2S provides a harmonised schedule for all settlement procedures. The settlement day in T2S includes
13        five periods as listed in the next sub-section. Each period includes different processes of the T2S
14        settlement day {T2S.03.010} as detailed below.


15   2.2.1    High Level Diagram of the T2S schedule

16        The schedule of a settlement day in T2S constitutes five major periods as listed below

17              •   Start of Day
18              •   Night-time Settlement
19              •   Maintenance Window
20              •   Daytime Settlement
21              •   End of Day

22        The high-level diagram in the next section shows the major periods of the T2S settlement day, with
23        indicative times.
24
25        The different times shown in the diagrams and text for the start and end of a process (in every period)
26        are only indicative. T2S will control the execution of the processes that the start of a subsequent process
27        will start, at the completion of the current process. T2S will treat the completion of the current process
28        as a business event.
29
30        In case of a deadline or a cut-off, the specified process will start at the indicated time. T2S will treat the
31        deadline or cut-off as a time event. However, for the start of this process which is cut-off dependent,
32        T2S will ensure that this process cannot start until the completion of the previous process and the cut-
33        off time is reached.


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1          Note: The high-level indicative times4 are part of the agreed URD 5.0. These times reflect long
2          discussions with T2S stakeholders. They aim at bridging different market practices and business models
3          within a single European schedule. Yet the finer aspects within each part of the schedule are open for
4          discussion/ feedback.




    4
        All times in this document refer to Central European Time (CET)

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                                  Schedule of a settlement day in T2S - Detailed Description


                              Figure 1: High Level view of T2S Schedule


                   T2S Periods                T2S Indicative         D escription of T2S Tim eline
                                                Tim eline

                                                 6:45 p.m .          Change of business date
                   Start of Day
                   procedures

                                                 7:30 p.m .          Start of first night-tim e
                                                                     settlem ent cycle




                Night-tim e
            Settlem ent C ycles
                 (3 cycles)




                                                                     End of last night-tim e
                                                 3:00 a.m .
                                                                     settlem ent cycle
                   M aintenance
                     W indow
                                                                     End of m aintenance w indow /
                                                 5:00 a.m .          Start of daytim e settlem ent
                                                                     period




                     Daytim e
                    Settlem ent




                                                 6:00 p.m .          Start of end of day procedures

                   End of D ay
                   Procedures

                                                 6:45 p.m .          Close of T2S business day
1


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                             Schedule of a settlement day in T2S - Detailed Description


1   2.2.2    Overview of the T2S settlement day

2        The settlement day in T2S runs along the following timing and deadlines as per the URD:
3
                     TIME                     T2S PERIODS                HIGH LEVEL DESCRIPTION
            6:45 p.m. – 7:30 p.m.     SOD: Start of Day                Change of business date in T2S and
                                                                       preparation for night-time settlement
            7:30 p.m.– 3:00 a.m.      NTS: Night-time Settlement       Settlement with multiple cycles
                                                                       (proposed 3 cycles) in night-time
                                                                       settlement period
                                                                          •   First night-time cycle with
                                                                              reporting and static data
                                                                              update
                                                                          •   Second night-time cycle with
                                                                              reporting and static data
                                                                              update
                                                                          •   Last night-time cycle (with
                                                                              partial   settlement)  with
                                                                              reporting and static data
                                                                              update.
                                                                          •   End of Night-time reporting

            3:00 a.m. – 5:00 a.m.     Maintenance Window               Processing     schedule        technical
                                                                       maintenance activities within T2S

            5:00 a.m. – 6:00 p.m.     DTS: Daytime Settlement          Day Time settlement with partial
                                                                       settlement periods and end of daytime
                                                                       procedures

            6:00 p.m. – 6:45 p.m.     EOD: End of Day                  End of day procedures and closure of
                                                                       the current T2S business day

4




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                                  Schedule of a settlement day in T2S - Detailed Description




 1   3 DETAILED DESCRIPTION OF THE T2S SCHEDULE

 2          This section describes the breakdown and the detailed description of all period in the harmonised
 3          schedule for all T2S relevant CSDs.


 4   3.1 Start of Day (SOD)

 5          This section presents the Start of day processes in the harmonized schedule.
 6
 7          The SOD period starts after the successful completion of the previous EOD period and ends before the
 8          start of the night-time settlement period.
 9
10          The SOD period concentrates on the change of the T2S settlement day and preparation of the night-time
11          settlement period. It includes the processing of the feed from collateral management systems (CMS) for
12          the reference prices, eligible assets and counterparties (for valuation purposes). T2S also identifies any
13          static data updates (which were accepted in the previous T2S settlement days) eligible for the current
14          T2S settlement day.


15   3.1.1      Services involved during the Start of Day (SOD)

16          The following T2S services are involved during the SOD as per {T2S.03.210} {T2S.03.220}
17          {T2S.06.230}.
18               •   Interface
19               •   Static Data
20               •   Instruction Validation, Acceptance (and Matching5) for
21                     o   Settlement Instructions
22                     o   Settlement Restrictions
23                     o   Instruction maintenance
24               •   Liquidity Management for
25                     o   Liquidity Transfers
26               •   Settlement
27               •   Queries and Reports
28
29          These services will be available to all relevant T2S Actors, CSDs, NCBs, Directly connected T2S



     5
         The matching services may not be relevant for settlement restrictions or maintenance instructions

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                                  Schedule of a settlement day in T2S - Detailed Description


 1        parties (DCPs), stock exchanges, CCPs and Settlement / Payment banks.


 2   3.1.2     Start of Day (SOD) Schedule

           Available                 T2S                                                              T2S Detailed
                                  Indicative         T2S Periods              T2S Processes
        services in T2S                                                                                Processes
                                   Timeline

                                   6:45 p.m.
                                                                     Close of previous T2S business day


                                                                              Start of a new T2S
                                                                                settlement day:     Creates a schedule for
                                                                              Change of business    new T2S business day
                                                                                      date
                                                                                                   Execution of static data
                                                                                                    changes for current
             Interface                                                                                settlement date

             Static data                                                                                Revalidation of
                                                                                                   Settlement Instructions/
             Instruction                                                                           Settlement Restrictions/
             Validation,                                                                             Amendments/ Hold
             Acceptance                                                                              release instructions
                                   7:00 p.m.
             and Matching                            Start of Day
                                                                                                     Process feeds from
                                                     procedures
                                                                            Preparation of the      collateral management
             Liquidity
                                                                          night-time settlement             systems
             Management
                                                                                  cycles
                                                                                                    Valuation of Securities
             Settlement
                                                                                                           Position
             Queries and
                                                                                                      Valuation of eligible
             Reports
                                                                                                    settlement transactions

                                                                                                    Identify candidate list of
                                                                                                    settlement instructions/
                                                                                                   settlement restrictions for
                                                                                                     the current settlement
                                                                                                              date
 3                                7:30 p.m.



 4   3.1.3     Start of Day (SOD) Processes

 5        During the SOD period, T2S processes the following steps successively:
 6              •    Change of T2S business date {T2S.03.020}
 7                       o   Changes the T2S business date according to the T2S Closing day calendar
 8                       o   Creates the new T2S settlement day schedule on the basis of the default schedule of events
 9                           and its planned times
10
11              •    Preparation of the night-time settlement {T2S.03.030}
12                       o   T2S executes any new/ pending static data maintenance instructions for the current



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                                Schedule of a settlement day in T2S - Detailed Description


 1                      settlement day
 2                  o   T2S revalidates settlement instructions and settlement restrictions against the static data
 3                      valid as of the new T2S Settlement day {T2S.03.050}. The instructions to be revalidated
 4                      are:
 5                             The settlement instructions and settlement restrictions that remain unsettled or
 6                             partially settled from the previous settlement day and which are recycled for the
 7                             current settlement day
 8                             The amendment instructions, cancellation instructions and Hold/Release instructions
 9                             remaining as not executed from the previous settlement day.
10                             Settlement Instructions/ settlement restrictions and its maintenance under four eyes
11                             processing in the status “awaiting for approval”, are not submitted to revalidation even
12                             if they are unsettled.
13                  o   T2S receives input from the different collateral management systems of central banks and
14                      other settlement/ payment banks and processes them accordingly
15                             collateral eligible securities
16                             securities references prices
17                             eligible counterparty list
18                             close link checks
19                      Note: T2S will accept and process these inputs until the “deadline for acceptance of
20                      input from collateral management systems”. Figure 2 depicts this deadline as 7:00 p.m..
21                      T2S will process these feeds as soon as it is available and use the information for any
22                      subsequent validation, acceptance and settlement of settlement instructions, settlement
23                      restrictions and liquidity transfers only. T2S will not re-evaluate the settled or partially
24                      settled settlement instructions/ settlement restrictions/ liquidity transfers prior to the
25                      processing of these feeds.
26                  o   T2S processes static data updates for the list of eligible securities accounts and limit
27                      updates (for external guarantee, client collateralisation, unsecured limit, NCB auto-
28                      collateralisation limit) received from an NCB or its settlement/ payment banks.
29                  o   T2S valuates the securities positions in all eligible securities accounts for auto-
30                      collateralisation/ client-collateralisation purposes {T2S.03.060} based on the latest
31                      securities prices and related feed-in (as listed above) available as of the current settlement
32                      day
33                  o   T2S valuates the collateral eligible Settlement Transactions for the current T2S settlement
34                      day based on the latest available securities prices as of the current settlement day
35                  o   T2S identifies the settlement instructions, settlement restrictions which are already
36                      accepted/ matched and are eligible for settlement for the current settlement day
37                      {T2S.03.040}
38                  o   T2S validates and accepts any new incoming liquidity transfers and settlement

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 1                       instructions/ restrictions


 2   3.2 Night-time Settlement (NTS)

 3        This section presents the night-time settlement processes in the harmonized schedule. For the ease of
 4        presentation, the night-time settlement period is shown in three parts, each one referring to a settlement
 5        cycle.
 6
 7        The NTS period starts after the successful completion of the SOD period and ends before the start of the
 8        maintenance window.
 9
10        NTS Processing
11        During the night-time settlement period, T2S is processing the settlement instructions in sequences
12        within cycles with minimal time gaps {T2S.03.090} {T2S.03.100}. T2S submits settlement transactions
13        for settlement according to an automatic pre-defined order, called “sequence”. A settlement cycle may
14        consist of more than one sequence (for settlement of different types of settlement transactions).
15
16        In each NTS sequence, T2S
17             •    processes those new settlement transactions received before the start of the sequence which are
18                  eligible for settlement at this sequence.
19             •    Includes pending settlement transactions not settled during previous sequences {T2S.03.110}
20
21        T2S validates and accepts the static data maintenance instructions during the night-time settlement
22        period on a continuous basis. However, T2S processes these updates only during the processing periods
23        between the different sequences {T2S.03.220}. T2S sends the information on the status of the static data
24        maintenance instructions to T2S Actors immediately after end of processing (i.e. acceptance/ execution)
25        of a static data entity update.
26        For every static data update, T2S also performs a revalidation of the pending instructions (i.e. settlement
27        instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement
28        instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data.
29        Similarly, T2S processes any instruction query received and validated during a settlement cycle run,
30        immediately with a query response back to the relevant T2S Actor. Whereas a securities position/
31        holding query or a cash balance query received via A2A, and validated during a settlement sequence
32        run, will be queued until the current sequence is completed, after which T2S will respond with a query
33        response.
34
35        The night-time settlement processes involve the following major steps in the given order


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 1             •    Night-time settlement cycles which include different settlement sequences and intermediate
 2                  static data updates
 3             •    Followed by an end of cycle reporting
 4
 5        The T2S Schedule may include three or more settlement cycles during the night-time settlement. This
 6        will depend on settlement volumes and the appropriate time allocation per cycle/ sequence by the time
 7        of T2S launch date. The current proposal is to process three cycles:
 8             •    The first night-time cycle
 9             •    The second night-time cycle
10             •    The last night-time cycle
11        In case a new cycle is added, it will include the relevant sequence and processed between the second
12        night-time cycle and the last night-time cycle.
13
14        NTS Reporting
15        T2S will generate full or delta reports as per the report configuration setup of the relevant T2S Actors,
16        at the below mentioned events
17             •    At the end of the each night-time cycle, T2S sends reports to T2S Actors on the results of the
18                  settlement attempts in this night-time cycle {T2S.03.120};
19             •    At the end of the night-time reporting period (after the reporting on the last night-time cycle),
20                  T2S sends reports of the whole night-time period to T2S Actors {T2S.03.130}.


21   3.2.1    Services involved during Night-time Settlement (NTS)

22        The following services are involved during the night-time settlement periods as per {T2S.03.210}
23        {T2S.03.220} {T2S.06.230}.
24             •    Interface
25             •    Static Data
26             •    Instruction Validation, Acceptance (and Matching) for
27                   o   Settlement Instructions
28                   o   Settlement Restrictions
29                   o   Instruction maintenance
30             •    Settlement
31             •    Liquidity Management for
32                   o   Liquidity Transfers
33             •    Queries and Reports
34
35        These services will be available for all the relevant T2S Actors like the CSDs, NCBs, Directly
36        connected T2S parties, stock exchanges, CCPs and Settlement/ Payment banks.


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1   3.2.2    First Night-time Settlement Cycle

2
                                       Figure 3: First Night-time settlement cycle in T2S

            Available                   T2S                                                                 T2S Detailed
                                     Indicative    T2S Periods              T2S Processes
         services in T2S                                                                                     Processes
                                      Timeline
                                     7:30 p.m.
          Interface                                                                            Settlement of Inbound liquidity transfers
          Instruction Validation
          Acceptance and                                                          Settlement    Settlement of T2S regenerated CoSD
          Matching                                                                Sequence 0          blocking cash restrictions
          Liquidity Management
          Settlement
                                                                                               Settlement of Internal liquidity transfers
          Queries and Reports

          Interface                  7:50 p.m.
          Static data
          Instruction Validation                                                                 Static data maintenance instructions
                                                                            Process Queued
          Acceptance and                                                                                       Queries
                                                                               Messages
          Matching
          Liquidity Management
          Queries and Reports        7:55 p.m.
          Interface
          Instruction Validation,                                                                Settlement of transactions related to
          Acceptance and                                                                             Corporate Actions on stocks
                                                                                  Settlement
          Matching
          Liquidity Management                                                    Sequence 1
          Settlement                                                                              Settlement of all types of liquidity
          Queries and Reports                                                                                transfers
                                      8:15 p.m.
          Interface
          Static data
          Instruction Validation                                            Process Queued       Static data maintenance instructions
          Acceptance and
                                                                               Messages
          Matching                                                                                             Queries
          Liquidity Management
          Queries and Reports        8:20 p.m.
                                                                                               Settlement of internal FOP transactions
          Interface                                                                             for rebalancing, all types of liquidity
          Instruction Validation,                                                                              transfers
          Accpetance and
                                                     Night-time
                                                                                  Settlement
          Matching                                Settlement Cycle                               Settlement of transactions related to
                                                                                  Sequence 2
          Liquidity Management                           1                                           Corporate Actions on stocks
          Settlement
          Queries and Reports                                                                  Unsettled transactions from sequence 1
                                     8:40 p.m.
          Interface
          Static data
          Instruction Validation                                            Process Queued       Static data maintenance instructions
          Acceptance and                                                       Messages                        Queries
          Matching
          Liquidity Management
          Queries and Reports
                                     8:45 p.m.
                                                                                                 Settlement of CBO transactions, all
          Interface                                                                                   types of liquidity transfers
          Instruction Validation,
          Accpetance and                                                          Settlement         Internal FOP transactions for
          Matching                                                                                            rebalancing
                                                                                  Sequence 3
          Liquidity Management
          Settlement
                                                                                               Unsettled transactions from sequence 2
          Queries and Reports
                                     9:05 p.m.
          Interface
          Static data
          Instruction Validation                                            Process Queued       Static data maintenance instructions
          Acceptance and                                                       Messages                        Queries
          Matching
          Liquidity Management
          Queries and Reports
                                     9:10 p.m.                                                  All eligible transactions for the current
          Interface
          Instruction Validation,                                                              T2S settlement date, including corporate
                                                                                  Settlement                  action on flows
          Accpetance and
          Matching
                                                                                  Sequence 4
          Liquidity Management                                                                 Unsettled transactions from sequence 3
          Settlement
          Queries and Reports
3                                    9:45 p.m.




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                                         T2S                                                                     T2S Detailed
              Available               Indicative                                  T2S Processes
                                                        T2S Periods                                               Processes
           services in T2S             Timeline
                                       9:45 p.m.
           Interface
           Instruction Validation,
           Acceptance and
                                                                               Reporting at end of     Generate and send reports to T2S
           Matching                                                               Settlement         Actors on result of settlement attempts
                                                                                    Cycle 1                   in settlement cycle 1
           Liquidity Management
                                                          Night-time
           Queries and Reports
                                                       Settlement Cycle
                                     10:00 p.m.
            Interface                                         1
            Static data
            Instruction Validation                                               Process Queued       Static data maintenance instructions
            Acceptance and
                                                                                    Messages                        Queries
            Matching
            Liquidity Management
            Queries and Reports
1                                    10:10 p.m.



2   3.2.3      First Night-time Settlement Cycle - Processes

3          During the night-time settlement period, T2S performs the processes as detailed in the below table

    TIME T2S                           DESCRIPTION OF THE PROCESS
                PROCESSES

    Settlement Cycle 1

    7:30        Settlement             Only the following instructions validated and accepted by T2S before start of
    p.m.-       sequence 0             Sequence 0 are proposed for settlement in the following sequence
    7:50
                                       •   Liquidity transfers from RTGS accounts to T2S Dedicated Cash Accounts
    p.m.
                                           (DCA)
                                       •   Internal Liquidity transfers {T2S.03.070} {T2S.06.063} {T2S.06.230}

                                                   o     from a T2S DCA to another T2S DCA of the same T2S Party

                                                   o     from a T2S DCA to another T2S DCA each of which is linked to the
                                                         same RTGS account

                                       •   T2S regenerated cash settlement restrictions corresponding to CoSD blocking
                                           generated at the end of the previous settlement day.


                                       Additionally, T2S responds to queries received via U2A or A2A

                                       Note: During the execution of sequence 0, the queries on securities positions/
                                       holdings or cash balances are not available. T2S will queue such queries received
                                       in A2A mode.

    7:50        Process                The following messages which were validated and accepted during the execution


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TIME T2S                        DESCRIPTION OF THE PROCESS
           PROCESSES

p.m.-      Queued               of the sequence 0 are executed
7:55       Messages             •    Static data maintenance instructions
p.m.
                                •    Queries

                                For every static data update, T2S performs a revalidation of the pending
                                instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers,
                                maintenance instructions for settlement instructions/ restrictions) ensuring that all
                                the pending instructions are valid for the current static data.

7:55       Settlement           Only the following instructions validated and accepted by T2S before start of
p.m.-      sequence 1           Sequence 1 are proposed for settlement
8:15
                                •    Settlement instructions related to Corporate Actions (CA) on “stocks”6
p.m.
                                     {T2S.07.030} {T2S.09.270}
                                •    All liquidity transfers orders {T2S.06.230}

                                          o    Inbound liquidity transfers which transfers cash amount from an
                                               RTGS account to T2S DCA

                                          o    Internal liquidity transfers which transfers cash amount between two
                                               T2S DCA of the same party (or) between two DCA of different party
                                               but each DCA linked to the same RTGS account

                                          o    Outbound liquidity transfers which transfers cash amount from a T2S
                                               DCA to an RTGS account

                                T2S does not propose CA on “flows” for settlement during sequence 1.



                                Additionally, T2S responds to queries received via U2A or A2A

                                Note: During the execution of sequence 1, the queries on securities positions/
                                holdings or cash balances are not available. T2S will queue such queries received
                                in A2A mode.

8:15       Process              The following messages which were validated and accepted during the execution
p.m.-      Queued               of the sequence 1 are executed



6
  CA on stocks are events applicable on final securities positions (e.g. cash distributions). CA on flows are events related to pending
transactions (e.g. market claims and transformations)


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TIME T2S                 DESCRIPTION OF THE PROCESS
          PROCESSES

8:20      Messages       •   Static data maintenance instructions
p.m.                     •   Queries

                         For every static data update, T2S performs a revalidation of the pending
                         instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers,
                         maintenance instructions for settlement instructions/ restrictions) ensuring that all
                         the pending instructions are valid for the current static data.

8:20      Settlement     Only the following instructions validated and accepted by T2S before start of
p.m.-     sequence 2     Sequence 2 are proposed for settlement:
8:40
                         •   FOP instructions for rebalancing purposes (i.e. between securities accounts of
p.m.
                             the same account holder) {T2S.07.040}
                         •   All liquidity transfers orders {T2S.06.230}

                             o    Inbound liquidity transfers which transfers cash amount from an RTGS
                                  account to T2S DCA

                             o    Internal liquidity transfers which transfers cash amount between two T2S
                                  DCA of the same party (or) between two DCA of different party but each
                                  DCA linked to the same RTGS account

                             o    Outbound liquidity transfers which transfers cash amount from a T2S
                                  DCA to an RTGS account

                         •   Settlement instructions related to CA on stocks {T2S.09.270}



                         This sequence also processes the unsettled settlement transactions in Sequence 1
                         {T2S.03.110}



                         Additionally, T2S responds to queries received via U2A or A2A

                         Note: During the execution of sequence 2, the queries on securities positions/
                         holdings or cash balances are not available. T2S will queue such queries received
                         in A2A mode.

8:40      Process        The following messages which were validated and accepted during the execution
p.m.-     Queued         of the sequence 2 are executed
8:45

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TIME T2S                 DESCRIPTION OF THE PROCESS
          PROCESSES

p.m.      Messages       •   Static data maintenance instructions
                         •   Queries

                         For every static data update, T2S performs a revalidation of the pending
                         instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers,
                         maintenance instructions for settlement instructions/ restrictions) ensuring that all
                         the pending instructions are valid for the current static data.

8:45      Sequence 3     Only the following instructions validated and accepted by T2S before start of
p.m.-                    Sequence 3 are proposed for settlement:
9:05
                         •   Central Bank Operations (CBO) {T2S.07.050}
p.m.
                         •   All liquidity transfers orders {T2S.06.230}

                             o    Inbound liquidity transfers which transfers cash amount from an RTGS
                                  account to T2S DCA

                             o    Internal liquidity transfers which transfers cash amount between two T2S
                                  DCA of the same party (or) between two DCA of different party but each
                                  DCA linked to the same RTGS account

                             o    Outbound liquidity transfers which transfers cash amount from a T2S
                                  DCA to an RTGS account

                         •   Settlement instructions related to CA on stocks {T2S.09.270}
                         •   FOP instructions for rebalancing purposes {T2S.07.040}



                         This sequence also processes the unsettled settlement transactions in Sequence 2
                         {T2S.03.110}


                         Additionally, T2S responds to queries received via U2A or A2A

                         Note: During the execution of sequence 3, the queries on securities positions/
                         holdings or cash balances are not available. T2S will queue such queries received
                         in A2A mode.

9:05      Process        The following messages which were validated and accepted during the execution
p.m.-     Queued         of the sequence 3 are executed
9:10

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TIME T2S                   DESCRIPTION OF THE PROCESS
          PROCESSES

p.m.      Messages         •   Static data maintenance instructions
                           •   Queries

                           For every static data update, T2S performs a revalidation of the pending
                           instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers,
                           maintenance instructions for settlement instructions/ restrictions) ensuring that all
                           the pending instructions are valid for the current static data.

9:10      Settlement       T2S attempts settlement of all validated and accepted instructions before start of
p.m.-     sequence 4       sequence 4, for the current T2S settlement day, as listed below.
9:45
                           •   Trade Settlement instructions of DVP type
p.m.
                           •   Trade Settlement instructions of FOP, PFOD type
                           •   Settlement instructions related to CA on stocks and on flows, of DVP/ FOP/
                               PFOD type
                           •   SLB settlement instruction of DVP/ FOP type
                           •   Re-imbursement of intraday auto-collateralisation
                           •   Settlement of REPO instructions
                           •   Settlement of BATM instructions
                           •   Settlement of CBO instructions
                           •   Settlement of securities/cash restrictions instructions
                           •   Execution of maintenance instructions for settlement instructions/ restrictions
                               (i.e. amendment of settlement conditions, cancellations)
                           •   Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound)


                           This sequence also processes the unsettled settlement transactions in Sequence 3
                           {T2S.07.060} {T2S.03.110}


                           Additionally, T2S responds to queries received via U2A or A2A

                           Note: During the execution of sequence 4, the queries on securities positions/
                           holdings or cash balances are not available. T2S will queue such queries received
                           in A2A mode.

9:45      Reporting at     T2S generates all the reports (with details on settlement attempts during the


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    TIME T2S                           DESCRIPTION OF THE PROCESS
                PROCESSES

    p.m.-       end of                 current cycle) at the end of settlement cycle 1, as per the report configuration setup
    10:00       Settlement             and sends the generated reports to T2S Actors as per the intended recipient list.
    p.m.        Cycle 1
                                       Note: The static data services and the settlement services of T2S are not available
                                       during this reporting period

    10:00       Process                The following messages which were validated and accepted during the execution
    p.m.-       Queued                 of the sequence 4 and settlement cycle 1 reporting are executed
    10:10       Messages               •    Static data maintenance instructions
    p.m.                               •    Queries

                                       For every static data update, T2S performs a revalidation of the pending
                                       instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers,
                                       maintenance instructions for settlement instructions/ restrictions) ensuring that all
                                       the pending instructions are valid for the current static data.

1


2   3.2.4      Second Night-time Settlement Cycle

                                      Figure 4: Second night-time settlement cycle in T2S

                                        T2S                                                                   T2S Detailed
              Available              Indicative     T2S Periods               T2S Processes
                                                                                                               Processes
           services in T2S            Timeline
                                      10:10 p.m.
           Interface                                                                              All eligible transactions for the current
           Instruction Validation,                                                               T2S settlement date, including corporate
           Acceptance and                                                      Settlement                       action on flows
           Matching
           Liquidity Management
                                                                               Sequence 4
                                                                                                   Unsettled transactions from previous
           Settlement
           Queries and Reports                                                                                    cycle 1

           Interface                  11:30 p.m.
           Instruction Validation,                    Night-time           Reporting at end of      Generate and send reports to T2S
           Acceptance and                          Settlement Cycle                               Actors on result of settlement attempts
                                                                              Settlement
           Matching                                       2                                                in settlement cycle 2
                                                                                Cycle 2
           Liquidity Management
           Queries and Reports        11:45 p.m.
            Interface
            Static data                                                                            Static data maintenance instructions
            Instruction Validation                                           Process Queued
            Acceptance and                                                      Messages                         Queries
            Matching
            Liquidity Management
            Queries and Reports
3                                       00:00




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1   3.2.5     Second Night-time Settlement Cycle - Processes

2          In continuation to the processes described in NTS first cycle, the below table lists the subsequent
3          processes in T2S during the NTS period.

    TIME           T2S                DESCRIPTION OF THE PROCESS
                   PROCESSES

    Settlement Cycle 2

    10:10          Sequence 4         T2S attempts settlement of all validated and accepted instructions before start
    p.m. –                            of second settlement cycle, for the current T2S settlement day, as listed
    11:30                             below.
    p.m.
                                      •   Trade Settlement instructions of DVP type
                                      •   Trade Settlement instructions of FOP, PFOD type
                                      •   CA settlement instruction of DVP/ FOP/ PFOD type (for stocks and
                                          flows)
                                      •   SLB settlement instruction of DVP/ FOP type
                                      •   Re-imbursement of intraday auto-collateralisation
                                      •   Settlement of REPO instructions
                                      •   Settlement of BATM instructions
                                      •   Settlement of CBO instructions
                                      •   Settlement of securities/cash restrictions instructions
                                      •   Execution of maintenance instructions for settlement instructions/
                                          restrictions (i.e. amendment of settlement conditions, cancellations)
                                      •   Settlement of liquidity transfer orders (i.e. inbound, internal, outbound)


                                      This sequence processes the unsettled settlement transactions in previous
                                      Sequence 4 (of settlement cycle 1) {T2S.07.070} {T2S.03.110}.


                                      Additionally, T2S responds to queries received via U2A or A2A

                                      Note: During the execution of this sequence 4, the queries on securities
                                      positions/ holdings or cash balances are not available. T2S will queue such
                                      queries received in A2A mode.

    11:30          Reporting at the   T2S generates all the reports (with details on settlement attempts during the



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TIME           T2S               DESCRIPTION OF THE PROCESS
               PROCESSES

p.m.-          end of            current cycle) at the end of settlement cycle 2, as per the report configuration
11:45          Settlement        setup and sends the generated reports to T2S Actors as per the intended
p.m.           Cycle 2           recipient list.

                                 Note: The static data services and the settlement services of T2S are not
                                 available during this reporting period

11:45          Process Queued The following messages which were validated and accepted during the
p.m.-          Messages       execution of the sequence 4 and settlement cycle 2 reporting are executed
00:00                            •   Static data maintenance instructions
                                 •   Queries

                                 For every static data update, T2S performs a revalidation of the pending
                                 instructions (i.e. settlement instructions, settlement restrictions, liquidity
                                 transfers, maintenance instructions for settlement instructions/ restrictions)
                                 ensuring that all the pending instructions are valid for the current static data.




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1   3.2.6     Last Night-time Settlement Cycle

                                         Figure 5: Last night-time settlement cycle in T2S
                                        T2S                                                                  T2S Detailed
               Available             Indicative   T2S Periods              T2S Processes
                                                                                                              Processes
            services in T2S           Timeline
                                        00:00
          Interface
                                                                                                All eligible transactions for the current
          Instruction Validation,
                                                                                                           T2S settlement date
          Acceptance and                                                     Settlement
          Matching                                                           Sequence 4
          Liquidity Management                                                                   Unsettled transactions from previous
          Settlement                                                                                            cycle 2
          Queries and Reports
          Interface
                                      1:00 a.m.
          Static data
          Instruction Validation                                                                  Static data maintenance instructions
                                                                           Process Queued
          Acceptance and
          Matching
                                                                              Messages                           Queries
          Liquidity Management
          Queries and Reports
                                     1:10 a.m.
                                                                                                 All eligible transactions for the current
          Interface
                                                                                                T2S settlement date, including corporate
          Instruction Validation,                                                                              action on flows
          Accpetance and
          Matching                                                           Settlement           Unsettled transactions from previous
                                                                             Sequence X                        sequence 4
          Liquidity Management
          Settlement                                                                             Unsettled transactions (from previous
                                                                                                    sequence 4) eligible for partial
          Queries and Reports                                                                            settlement processing

          Interface                  1:30 a.m.
          Static data
          Instruction Validation                                                                  Static data maintenance instructions
                                                                           Process Queued
          Acceptance and
          Matching                                                            Messages                           Queries
          Liquidity Management
          Queries and Reports
                                     1:40 a.m.
                                                     Night-time
          Interface
          Instruction Validation,                 Settlement Cycle
          Accpetance and                                 3                                      Reimbursement of liquidity provided by
                                                                             Settlement
          Matching                                  (Last cycle)                                   "multiple liquidity providers” via
                                                                             Sequence Y         automated outbound liquidity transfers
          Liquidity Management
          Settlement
          Queries and Reports
                                     2:00 a.m.
          Interface
          Static data
          Instruction Validation                                           Process Queued        Static data maintenance instructions
          Acceptance and                                                      Messages                           Queries
          Matching
          Liquidity Management
          Queries and Reports
                                     2:10 a.m.
          Interface                                                                             Process all liquidity transfers
          Instruction Validation,
          Accpetance and                                                     Settlement
                                                                                                         Inbound liquidity transfers
          Matching                                                           Sequence Z                  Internal liquidity transfers
          Liquidity Management
                                                                                                         Outbound liquidity transfers
          Settlement
          Queries and Reports
                                     2:30 a.m.
                                                                                                                 Queries
                                                                         Reporting at end of
                                                                            Settlement             Generate and send reports to T2S
          Interface                                                           Cycle 3            Actors on result of settlement attempts
          Instruction Validation,                                                                         in settlement cycle 3
          Acceptance and
          Matching                   2:45 a.m.
                                                                                                                 Queries
          Liquidity Management
          Queries and Reports
                                                                         Reporting at end of
                                                                                                  Generate and send reports to T2S
                                                                        Night-time Settlement
                                                                                                 Actors on whole night-time settlement


2                                    3:00 a.m.



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1   3.2.7     Last Night-time Settlement Cycle - Processes

2          In continuation to the processes described in NTS second settlement cycle, the below table lists the
3          subsequent processes in T2S during the NTS period.

    TIME           T2S               DESCRIPTION OF THE PROCESS
                   PROCESSES

    Settlement Cycle – Last cycle

    00:00 – Settlement               T2S attempts settlement of all validated and accepted instructions before start
    1:00           sequence 4        of last settlement cycle, for the current T2S settlement day, as listed below.
    a.m.
                                     •   Trade Settlement instructions of DVP type
                                     •   Trade Settlement instructions of FOP, PFOD type
                                     •   CA settlement instruction of DVP/ FOP/ PFOD type (for stocks and
                                         flows)
                                     •   SLB settlement instruction of DVP/ FOP type
                                     •   Re-imbursement of intraday auto-collateralisation
                                     •   Settlement of REPO instructions
                                     •   Settlement of BATM instructions
                                     •   Settlement of CBO instructions
                                     •   Settlement of securities/cash restrictions instructions
                                     •   Execution of maintenance instructions for settlement instructions/
                                         restrictions (i.e. amendment of settlement conditions, cancellations)
                                     •   Settlement of liquidity transfer orders (i.e. inbound, internal, outbound)


                                     This sequence also processes the unsettled settlement transactions in previous
                                     Sequence 4 (of settlement cycle 2) {T2S.07.070} {T2S.03.110}.


                                     Additionally, T2S responds to queries received via U2A or A2A

                                     Note: During the execution of this sequence 4, the queries on securities
                                     positions/ holdings or cash balances are not available. T2S will queue such
                                     queries received in A2A mode.

    1:00           Process Queued The following messages which were validated and accepted during the
    a.m.-          Messages       execution of the sequence 4 are executed



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TIME           T2S               DESCRIPTION OF THE PROCESS
               PROCESSES

1:10                             •   Static data maintenance instructions
a.m.                             •   Queries

                                 For every static data update, T2S performs a revalidation of the pending
                                 instructions (i.e. settlement instructions, settlement restrictions, liquidity
                                 transfers, maintenance instructions for settlement instructions/ restrictions)
                                 ensuring that all the pending instructions are valid for the current static data.

1:10           Settlement        All eligible transactions (including the new instructions) for the current T2S
a.m.-          sequence X        settlement day which are validated and accepted by T2S before start of
1:30                             Sequence X are proposed for settlement
a.m.                             •   all the settlement transactions not settled in Sequence 4 (of last settlement
                                     cycle) {T2S.03.110}. Here, T2S applies partial settlement to all fails (i.e.
                                     unsettled transactions) which are eligible for submission to partial
                                     settlement processing. {T2S.03.135} {T2S.07.080} {T2S.08.220}



                                 Additionally, T2S responds to queries received via U2A or A2A

                                 Note: During the execution of this sequence X, the queries on securities
                                 positions/ holdings or cash balances are not available. T2S will queue such
                                 queries received in A2A mode.

1:30           Process Queued The following messages which were validated and accepted during the
a.m.-          Messages       execution of the sequence X are executed
1:40                             •   Static data maintenance instructions
a.m.                             •   Queries

                                 For every static data update, T2S performs a revalidation of the pending
                                 instructions (i.e. settlement instructions, settlement restrictions, liquidity
                                 transfers, maintenance instructions for settlement instructions/ restrictions)
                                 ensuring that all the pending instructions are valid for the current static data.

1:40           Settlement        Only the following transactions are proposed for settlement:
a.m.-          sequence Y
                                 •   Reimbursement of the “multiple liquidity providers”: This reimbursement
2:00
                                     procedure involves the execution of a series of outbound liquidity
a.m.
                                     transfers from a T2S DCA (of a settlement/ payment bank in T2S) to



Version: 1.0                                         Page: 28 of 52                                       Status: Draft
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TIME           T2S               DESCRIPTION OF THE PROCESS
               PROCESSES

                                     RTGS accounts (of the liquidity providers in RTGS system)
                                     {T2S.06.067} in accordance to a preset sequence of reimbursement.



                                 Additionally, T2S responds to queries received via U2A or A2A

                                 Note: During the execution of this sequence Y, the queries on securities
                                 positions/ holdings or cash balances are not available. T2S will queue such
                                 queries received in A2A mode.

2:00           Process Queued The following messages which were validated and accepted during the
a.m.-          Messages       execution of the sequence Y are executed
2:10                             •   Static data maintenance instructions
a.m.                             •   Queries

                                 For every static data update, T2S performs a revalidation of the pending
                                 instructions (i.e. settlement instructions, settlement restrictions, liquidity
                                 transfers, maintenance instructions for settlement instructions/ restrictions)
                                 ensuring that all the pending instructions are valid for the current static data.

2:10           Settlement        Only the following transactions are proposed for settlement:
a.m.-          sequence Z
                                 •   All liquidity transfer orders {T2S.06.220}
2:30
                                         o     Inbound liquidity transfers which transfers cash amount from an
a.m.
                                               RTGS account to T2S DCA

                                         o     Internal liquidity transfers which transfers cash amount between
                                               two T2S DCA of the same party (or) between two DCA of
                                               different party but each DCA linked to the same RTGS account

                                         o     Outbound liquidity transfers which transfers cash amount from a
                                               T2S DCA to an RTGS account



                                 Additionally, T2S responds to queries received via U2A or A2A

                                 Note: During the execution of this sequence Z, the queries on securities
                                 positions/ holdings or cash balances are not available. T2S will queue such
                                 queries received in A2A mode and respond to it at the end of this sequence.



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    TIME           T2S                DESCRIPTION OF THE PROCESS
                   PROCESSES

                   Reporting at the
    2:30                              T2S generates all the reports (with details on settlement attempts during the
                   end of Last
    a.m.-                             current cycle) at the end of last settlement cycle, as per the report
                   Settlement
    2:45                              configuration setup and sends the generated reports to T2S Actors as per the
                   Cycle
    a.m.                              intended recipient list.

                                      Note: The static data services and the settlement services of T2S are not
                                      available during this reporting period

                   Reporting at the
    2:45                              T2S generates all the reports (with details on settlement attempts during the
                   end of Night-
    a.m.-                             night-time settlement period) at the end of night-time settlement, as per the
                   time settlement
    3:00                              report configuration setup and sends the generated reports to T2S Actors as
    a.m.                              per the intended recipient list.

                                      Note: The static data services and the settlement services of T2S are not
                                      available during this reporting period



1   3.3 Maintenance Window

2          This section presents the maintenance window related processes in the harmonized schedule.
3
4          The daily maintenance window starts after the successful completion of the previous night-time
5          settlement period and ends before the start of the daytime period7.
6
7          During the weekends, T2S will not be available between start of the maintenance window (an indicative
8          time at 3:00 a.m). on Saturday and end of the maintenance window (an indicative time at 5:00 a.m.) on
9          Monday {T2S.03.350}8. However, T2S ensures the technical capability to provide the availability of



    7
        The Eurosystem has proposed to drop the daily maintenance window and to have only a weekly maintenance
    window during the weekend. On weekends, T2S will have an extended weekly maintenance window between the end of
    night-time settlement on Friday (or the last T2S operating day of the week) and 05:00 CET on Monday (or the first T2S
    operating day of the next week). Additionally, the Eurosystem will have the possibility to schedule an ad-hoc
    maintenance window during the week. This ad-hoc maintenance window can be scheduled anytime between the end of
    night-time settlement and 05:00. CSDs have been invited to consider this proposal in the context of the SLA.


    8
        Feedback from CSDs in the context of the SLA discussions indicates that a weekly maintenance window will ideally

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 1        interfaces and processes on seven days a week based on specific needs such as migration, issuance in
 2        direct holding countries {T2S.03.360}.


 3   3.3.1    Services involved during maintenance window

 4        Except for T2S Interface services, all other services are unavailable {T2S.03.210} {T2S.03.220}
 5        {T2S.03.240}.
 6             •    T2S Interface services are also restricted that instructions (settlement instructions, settlement
 7                  restrictions, liquidity transfers) its maintenance instructions such as amendments/ cancellations
 8                  and static data maintenance instructions received in application-to-application mode during the
 9                  maintenance window are queued for processing (i.e. validation, acceptance, matching,
10                  execution/ settlement) at the start of day time settlement period.
11             •    The user-to-application mode are not available and
12             •    The queries/ reports are not available during the maintenance window {T2S.03.230}
13
14        The T2S Interface services will be available for all the relevant T2S Actors like the CSDs, NCBs,
15        Directly connected T2S parties, stock exchanges, CCPs and Settlement/ Payment banks.




     be triggered by an event such as the “completion of the night-time settlement”. CSDs have also requested 4CB to
     reduce the weekly maintenance window to 24 hours, mainly in case CSDs have to migrate new applications (on Friday
     evening/night, in which case they wish to do their night-time settlement on Saturday morning).

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 1   3.3.2    Maintenance Schedule

                                      Figure 6: Maintenance window procedures in T2S

             Available               T2S                                                           T2S Detailed
                                  Indicative    T2S Periods          T2S Processes
          services in T2S                                                                           Processes
                                   Timeline
                                  3:00 a.m.


                                                                                          Interface: Technical Validation and
                                                                                         Acknowledgement of A2A messages




                                                                                        Queuing of all A2A messages
                                                Maintenance                                     Settlement instructions
           Interface                                               System maintenance
                                                  window                                        Settlement restrictions
                                                                                                Liquidity transfers
                                                                                                Static data maintenance
                                                                                                instructions
                                                                                                Maintenance instructions for
                                                                                                settlement instructions/
                                                                                                restrictions




 2                                 5:00 a.m.



 3   3.3.3    Maintenance Window Processes

 4        During the “maintenance window”:
 5             •       T2S has a technical window for system maintenance purposes {T2S.03.140} during the period
 6                     where the lowest volumes and least critical settlement activity are expected {T2S.03.150}
 7                      o   System maintenance operations can include backup services, reorganization of the
 8                          database table spaces, indexes, etc.
 9             •       T2S Interface starts the queuing of all requests received in A2A mode, after a technical
10                     validation (i.e. format validation) of the incoming A2A messages (or files) and sending out
11                     system acknowledgement for every A2A message (or file).


12   3.4 Daytime Settlement (DTS)

13        This section presents the Daytime Settlement processes in the harmonized T2S schedule.
14
15        The daytime settlement starts at completion of the maintenance window and continues unto start of the
16        end of day procedures, with different deadlines/cut-offs for different transaction categories. Between
17        this time span there are two partial settlement periods:
18             •       one between 2:00 p.m. and 2:15 p.m. and
19             •       the second partial settlement period is before the beginning of the intraday DVP cut-off time,

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 1                  between 3.45 p.m. and 4.00 p.m.. This period optimises maximum value and volumes of
 2                  settlement transactions, which are unsettled because of lack of securities.
 3
 4        Daytime settlement happens in real time mode. The previously unsettled transactions from night-time
 5        settlement are attempted for settlement in the daytime settlement period with the arrival of new
 6        resources (securities or cash or both). Additionally T2S performs a settlement attempt for any new
 7        intraday settlement instructions validated and accepted during daytime settlement period.


 8   3.4.1    Services involved during the Daytime Settlement (DTS)

 9        All services (as listed below) are available during the daytime settlement period as per {T2S.03.210}
10        {T2S.03.220} {T2S.06.230}.
11             •    Interface
12             •    Static Data
13             •    Instruction Validation, Acceptance (and Matching) for
14                   o   Settlement Instructions
15                   o   Settlement Restrictions
16                   o   Instruction maintenance
17             •    Settlement
18             •    Liquidity Management for
19                   o   Liquidity Transfers
20             •    Queries and Reports
21
22        The User-to-Application (U2A) mode of communication is available from the start of the daytime
23        settlement period.
24        These services will be available for all the relevant T2S Actors like the CSDs, NCBs, Directly
25        connected T2S parties, stock exchanges, CCPs and Settlement/ Payment banks.




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1   3.4.2    Daytime Settlement Schedule

2
                                 Figure 7: Daytime settlement procedures in T2S

          Available           T2S                                                                  T2S Detailed
                           Indicative    T2S Periods              T2S Processes
       services in T2S                                                                              Processes
                            Timeline
                            5:00 a.m.
                                                                                        Identify candidate list of new eligible
                                                                                         settlement instructions, settlement
                                                                                         restrictions for daytime settlement
                                                                                         Identify list of unsettled settlement
                                                                Daytime Settlement
                                                                                      instructions, settlement restrictions from
                                                                   Preparation              night-time settlement cycles
                                                                                        Static data maintenance instructions

                                                                                                Response to queries

                            5:15 a.m.




                                                                                                 Settlement attempt of
                                                                                                 settlement instructions,
                                                                                                 settlement restrictions,
                                                                                                 liquidity transfers

          Interface                                                                              Execution of maintenance
                                                                Daytime Settlement               instructions
          Static data                                                 Period
                                                                                                 Execution of static data
          Instruction                                                                            maintenance
          Validation,
          Accpetance and                                                                         Generation of reports
          Matching                         Daytime
                                          Settlement                                             Responses to queries
          Liquidity
          Management
          Settlement
          Queries and
                            2:00 p.m.
          Reports                                                                     All functionality from Daytime Settlement
                                                                 Partial Settlement                       period
                                                                      Period 1         Allow partial settlement of settlement
                                                                                                     instructions

                            2:15 p.m.
                                                                                               Settlement attempt of
                                                                                               settlement instructions,
                                                                                               settlement restrictions, liquidity
                                                                                               transfers
                                                                Daytime Settlement             Execution of maintenance
                                                                      Period                   instructions
                                                                                               Execution of static data
                                                                                               maintenance
                                                                                               Generation of reports
                                                                                               Responses to queries

                            3:45 p.m.
                                                                                      All functionality from Daytime Settlement
                                                                 Partial Settlement                       period
                                                                      Period 2         Allow partial settlement of settlement
                                                                                                     instructions
3                           4:00 p.m.




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1   3.4.3     Daytime Settlement Processes

2          The daytime period is mainly intended for transactions eligible for same day settlement (i.e. T+0) and
3          for settling transactions that failed to be settled during the night-time settlement period {T2S.03.160}.
4
5          During the daytime settlement period, T2S performs the processes as detailed in the below table

    TIME           T2S                 DESCRIPTION OF THE PROCESS
                   PROCESSES

    5:00 a.m. Daytime                  •    Identify and process static data updates that would have arrived during
    –       5:15 settlement                 the maintenance window in the A2A mode
    a.m.           preparation
                                       •    Identify candidate list of new settlement instructions, settlement
                                            restrictions, maintenance instructions and liquidity transfers applicable
                                            for the current settlement day (which were sent during the maintenance
                                            window)

                                       •    Identify all settlement instructions, settlement restrictions and
                                            maintenance instructions, which did not settle/ execute during night-
                                            time settlement period and re-cycled for daytime settlement after a
                                            revalidation of the instructions with the current static data.

    5:15 a.m. Daytime                  Real-time settlement of new settlement instructions arriving into T2S and
    –       2:00 settlement            settlement of previous unsettled settlement instructions with the arrival of
    p.m.           period              new resources (securities or cash or both) for the following

                                       •    Trade Settlement instructions of DVP type
                                       •    Trade Settlement instructions of FOP, PFOD type
                                       •    CA settlement instruction of DVP/ FOP/ PFOD type
                                       •    SLB settlement instruction of DVP/ FOP type
                                       •    Re-imbursement of intraday auto-collateralisation
                                       •    Settlement of REPO instructions
                                       •    Settlement of BATM instructions
                                       •    Settlement of CBO instructions
                                       •    Settlement of securities/cash restrictions instructions
                                       •    Settlement of all liquidity transfer orders (i.e. inbound, internal,
                                            outbound)




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TIME           T2S                  DESCRIPTION OF THE PROCESS
               PROCESSES

                                    T2S also performs the following
                                    •   Execution of static data maintenance instruction
                                    •   Execution of maintenance instructions for settlement instructions/
                                        restrictions (i.e. amendment of settlement conditions, cancellations)
                                    •   Generation of reports triggered by business or time events
                                    •   Responses to queries

2:00 p.m.- First         daytime All the processes available during the day time settlement period are also
2:15 p.m.      partial              available.
               settlement
                                    Additionally, partial settlement of new settlement instructions arriving into
                                    T2S in this period and eligible for partial settlement and settlement of
                                    previous unsettled or partially settled settlement instructions which are
                                    eligible for partial settlement for the following transactions categories

                                    •   Trade Settlement instructions of DVP type
                                    •   Trade Settlement instructions of FOP/ PFOD type
                                    •   Settlement of securities/ cash restrictions instructions

2:15 p.m. Daytime                   Real-time settlement of new settlement instructions arriving into T2S and
–      3:45 settlement              settlement of previous unsettled settlement instructions with the arrival of
p.m.           period               new resources (securities or cash or both) for the following transactions

                                    •   Trade Settlement instructions of DVP type
                                    •   Trade Settlement instructions of FOP/ PFOD type
                                    •   CA settlement instruction of DVP/FOP/ PFOD type
                                    •   SLB settlement instruction of DVP/FOP/ PFOD type
                                    •   Re-imbursement of intraday auto-collateralisation
                                    •   Settlement of REPO instructions
                                    •   Settlement of BATM instructions
                                    •   Settlement of CBO instructions
                                    •   Settlement of securities/cash restrictions instructions
                                    •   Settlement of all liquidity transfer orders (i.e. inbound, internal,
                                        outbound)




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     TIME             T2S                  DESCRIPTION OF THE PROCESS
                      PROCESSES

                                           T2S also performs the following
                                           •    Execution of static data maintenance instruction
                                           •    Execution of maintenance instructions for settlement instructions/
                                                restrictions (i.e. amendment of settlement conditions, cancellations)
                                           •    Generation of reports triggered by business or time events
                                           •    Responses to queries

     3:45 p.m.- Second daytime All the processes available during the day time settlement period are also
     4:00 p.m.  partial        available.
                settlement
                               Additionally, partial settlement of new settlement instructions arriving into
                                           T2S in this period and eligible for partial settlement and settlement of
                                           previous unsettled settlement instructions which are eligible for partial
                                           settlement for the following transactions categories

                                           •    Trade Settlement instructions of DVP type
                                           •    Trade Settlement instructions of FOP/ PFOD type
                                           •    Settlement of securities/cash restrictions instructions
 1
 2          During the daytime settlement for the purposes of peak load balancing and optimum performance of the
 3          system, a fair assumption is to discourage the settlement attempt processing of a large amount of
 4          settlement instructions towards the EOD. This could lead to performance bottlenecks due to the severe
 5          load on the system. To counter this effect, T2S foresees an additional cut-off to identify a “congestion
 6          fee charge period9”.
 7
 8          Any new settlement instructions received by T2S after this cut-off for

 9          •     the current T2S settlement day, will be validated, accepted and attempted for a settlement subject to
10          the “congestion fee” and
11          •     any future T2S settlement day will not be subject to the “”congestion fee”.
12
13          The details regarding the exact timing of the cut-off and the period for which T2S will charge a
14          congestion fee are currently under discussion in different forums.



     9
         Under discussion in the context of Billing

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1   3.4.4    Daytime Settlement Schedule - continued

                              Figure 8: Daytime settlement procedures in T2S

          Available           T2S                                                                    T2S Detailed
                           Indicative   T2S Periods               T2S Processes
       services in T2S                                                                                Processes
                            Timeline

                           4:00 p.m.
                                                              Execute Intraday DVP      Mark any new incoming DVP settlement
                                                               cut-off procedures         instructions, after this cut-off, as a
                                                                                          candidate for next settlement date
                           4:45 p.m.
                                                              Execute Intraday FOP      Mark any new incoming FOP settlement
                                                                                          instructions, after this cut-off, as a
                                                               cut-off procedures
                                                                                          candidate for next settlement date

                                          Daytime                                            Mark any new incoming BATM
                                         Settlement           Execute BATM cut-off
                                                                                        settlement instructions, after this cut-off,
                                                                  procedures            as a candidate for next settlement date

                                                                Execute Securities         Mark any new incoming securities
                                                               settlement restriction   settlement restrictions, after this cut-off,
                                                                cut-off procedures      as a candidate for next settlement date

                                                                   Execute Cash         Mark any new incoming cash settlement
                                                               settlement restriction     restrictions, after this cut-off, as a
                                                                cut-off procedures        candidate for next settlement date

                           4:50 p.m.
          Interface                                                                       Release of unused cash settlement
                                                                                            restriction related to blocking,
          Static data
                                                                Release of unused          reservation and CoSD blocking
          Instruction                                            cash restrictions         Regenerate the cash settlement
          Validation,                                                                   restriction related to CoSD blocking for
          Acceptance and                                                                         the next settlement date
          Matching         5:00 p.m.
                                                                                        Release of any pending reverse collateral
          Liquidity                                                                          instructions (i.e. reimbursement
          Management                                                                         instructions) related to the auto-
                                                                                        collateralisation provided by a NCB to its
          Settlement                                            Reimbursement of         payment/ settlement bank & attempt its
                                                               auto-collateralisation                    settlement
          Queries and                                           provided by NCB          Inform Collateral management system
          Reports
                                                                                            of an NCB to trigger mobilisation
                                                                                         process via connected payment in the
                                           End of                                                relevant RTGS sysyem
                                          Daytime
                           5:10 p.m.
                                         Settlement
                                           Period                                       Process any accepted liquidity transfers
                                                                 Automated Cash           Create and settle outbound liquidity
                                                                     sweep                transfers to repatriate all available
                                                                                          liquidity in a T2S DCA to its linked
                                                                                                      RTGS account
                           5:15 p.m.

                                                               Execute Central Bank     Mark any new incoming CBO settlement
                                                                Operations cut-off        instructions, after this cut-off, as a
                                                                   procedures             candidate for next settlement date



                           5:30 p.m.                                                      Create and settle outbound liquidity
                                                                 Automated Cash           transfers to repatriate all available
                                                                     sweep                liquidity in a T2S DCA to its linked
                                                                                                      RTGS account
2                          6:00 p.m.




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1   3.4.5     Daytime Settlement Processes - continued

2          In continuation to the processes described in Daytime Settlement, the below table lists the subsequent
3          processes in T2S during the daytime settlement period.

    TIME           T2S                     DESCRIPTION OF THE PROCESS
                   PROCESSES

    4:00           Execute Intraday Cut-off to differentiate the eligibility of intraday DVP and PFOD
    p.m.           DVP            cut-off instructions, for settlement for the current settlement day (i.e. T+0)
    Cut-           procedures
                                           •   T2S will not propose the intraday DVP and PFOD instructions received
    off*           {T2S.03.250}
                                               by T2S after this cut-off on the current T2S settlement day, but recycle
                                               them for the next T2S settlement day (i.e. T+1).

                                           •   T2S will ensure to propose all the intraday DVP and PFOD instructions,
                                               received by T2S before the cut-off and eligible for the current T2S
                                               settlement day, for a settlement attempt.

    4:00           Daytime                 T2S performs a settlement attempt for the new non-DVP/ PFOD trade
    p.m.-          settlement        for settlement instructions and previously unsettled non-DVP/ PFOD trade
    4:45           non-DVP         trade settlement instructions in this period.
    p.m.           settlement
                   instructions
                                           T2S performs the following

                                           •   Settlement of settlement restrictions for securities, cash

                                           •   Settlement of FOP trade settlement instructions

                                           •   Settlement of BATM instructions

                                           •   Settlement of CBO instructions

                                           •   Execution of static data maintenance instructions

                                           •   Execution of maintenance instructions for settlement instructions/
                                               restrictions (i.e. amendment of settlement conditions, cancellations)

                                           •   Settlement of all liquidity transfer orders (i.e. inbound, internal,
                                               outbound)

                                           •   Generation of reports triggered by business or time events



                                           Additionally, T2S responds to queries received via U2A or A2A


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TIME           T2S                    DESCRIPTION OF THE PROCESS
               PROCESSES

4:45           Execute FOP cut- Cut-off to differentiate the eligibility of FOP instructions, for settlement for
p.m.           off     procedures the current settlement day (i.e. T+0)
Cut-           {T2S.03.280}
                                      •   T2S will not propose the FOP instructions received by T2S after this cut-
off*
                                          off on the current T2S settlement day, but recycle them for the next T2S
                                          settlement day (i.e. T+1).

                                      •   T2S will ensure to propose all the FOP instructions, received by T2S
                                          before the cut-off and eligible for the current T2S settlement day, for a
                                          settlement attempt.

4:45           Execute      BATM Cut-off to differentiate the eligibility of BATM instructions, for settlement
p.m.           cut-off procedures for the current settlement day (i.e. T+0)
Cut-           {T2S.03.270}
                                      •   T2S will not propose the BATM instructions received by T2S after this
off*
                                          cut-off on the current T2S settlement day, but recycle them for the next
                                          T2S settlement day (i.e. T+1).

                                      •   T2S will ensure to propose all the BATM instructions, received by T2S
                                          before the cut-off and eligible for the current T2S settlement day, for a
                                          settlement attempt.

4:45           Execute Securities Cut-off to differentiate the eligibility of securities settlement restrictions, for
p.m.           settlement             settlement for the current settlement day (i.e. T+0)
Cut-           restrictions cut-off
                                      •   T2S will not propose the securities settlement restrictions received by
off*           procedures
                                          T2S after this cut-off on the current T2S settlement day, but recycle
                                          them for the next T2S settlement day (i.e. T+1).

                                      •   T2S will ensure to propose all the securities settlement restrictions,
                                          received by T2S before the cut-off and eligible for the current T2S
                                          settlement day, for a settlement attempt.

4:45           Execute        Cash Cut-off to differentiate the eligibility of cash settlement restrictions, for
p.m.           settlement             settlement for the current settlement day (i.e. T+0)
Cut-           restrictions cut-off
                                      •   T2S will not propose the cash settlement restrictions received by T2S
off*           procedures
                                          after this cut-off on the current T2S settlement day, but reject them.

                                      •   T2S will ensure to propose all the cash settlement restrictions, received
                                          by T2S before the cut-off and eligible for the current T2S settlement day,


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TIME           T2S                   DESCRIPTION OF THE PROCESS
               PROCESSES

                                         for a settlement attempt.

4:45           Daytime               T2S performs a settlement attempt for the new trade settlement instructions
p.m.    – settlement            for and previously unsettled trade settlement instructions in this period for the
4:50           trades other than below.
p.m.           DVP/           FOP/
                                     •   Settlement of CBO instructions
               BATM/
                                     •   Execution of static data maintenance instructions
               settlement
               restrictions          •   Execution of maintenance instructions for settlement instructions/
                                         restrictions (i.e. amendment of settlement conditions, cancellations)
                                     •   Generation of reports triggered by business or time events



                                     Additionally, T2S responds to queries received via U2A or A2A

Start of “End of daytime settlement procedures”

4:50           Cash settlement •         Release of unused cash (blocked or reserved via cash restrictions). This
p.m.    – restrictions                   cash release includes the unused cash blocked or reserved for a CoSD
5:00      released                       related settlement.
p.m.
                                     •   T2S will regenerate the equivalent cash settlement restrictions (i.e.
                                         blocking or reserved) for the next T2S settlement day, in case of a
                                         release of a CoSD related cash blocking or cash reservation



                                     T2S performs the following

                                     •   Settlement of CBO instructions

                                     •   Execution of static data maintenance instructions

                                     •   Execution of maintenance instructions for settlement instructions/
                                         restrictions (i.e. amendment of settlement conditions, cancellations)
                                     •   Generation of reports triggered by business or time events



                                     Additionally, T2S responds to queries received via U2A or A2A




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TIME           T2S            DESCRIPTION OF THE PROCESS
               PROCESSES

5:00      Reimbursement of Automatic reimbursement of any pending intraday credit obtained via auto-
p.m.    – auto-                collateralisation from its central bank, for a credit consumer via
5:10      collateralisation
                               • internal rebalancing of cash between its DCA (and/or)
p.m.      provided          by
          NCBs                 • sourcing additional liquidity from its central bank



                              T2S performs the following during the automatic reimbursement process:

                              •   T2S allows the reimbursement of all pending intraday credit for a
                                  settlement/ payment bank with all its available liquidity by releasing the
                                  “hold” of its reverse collateral settlement instructions (i.e reimbursement
                                  instructions generated during the process of auto-collateralisation by a
                                  settlement/ payment bank with its central bank) and reattempt of
                                  settlement for all the unsettled reverse collateral settlement instructions.

                              •   T2S also informs the relevant collateral management system in the cases
                                  when a reimbursement of pending intraday credit by a settlement/
                                  payment bank needs additional liquidity from its central bank as a
                                  utilisation of its credit facility in the relevant RTGS system. In such
                                  cases, it will be the responsibility of the collateral management system to
                                  inform the RTGS system to facilitate the update of the credit utilisation/
                                  provision of overnight credit facilities. This process is outside T2S.

                              •   Note: T2S will not perform an automatic release of the reimbursement
                                  instructions generated for the provision of client collateralisation by a
                                  settlement/ payment bank to its clients.



                              T2S performs the following

                              •   Settlement of CBO instructions

                              •   Execution of static data maintenance instructions

                              •   Execution of maintenance instructions for settlement instructions/
                                  restrictions (i.e. amendment of settlement conditions, cancellations)
                              •   Generation of reports triggered by business or time events




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TIME           T2S                    DESCRIPTION OF THE PROCESS
               PROCESSES

                                      Additionally, T2S responds to queries received via U2A or A2A

5:10           Automated      Cash This period determines the start of automated cash sweep. T2S performs the
p.m.    – Sweep                       following steps during this process
5:15      {T2S.03.180}
                                      •   T2S settles any liquidity transfers validated and accepted prior to the
p.m.
                                          beginning of the event and which have not yet been processed

                                      •   T2S creates cash sweep related liquidity transfers for the remaining cash
                                          of each T2S Dedicated cash account and central bank cash accounts to
                                          transfer it to its linked RTGS account.



                                      T2S performs the following

                                      •   Settlement of CBO instructions

                                      •   Execution of static data maintenance instructions

                                      •   Execution of maintenance instructions for settlement instructions/
                                          restrictions (i.e. amendment of settlement conditions, cancellations)
                                      •   Generation of reports triggered by business or time events



                                      Additionally, T2S responds to queries received via U2A or A2A

5:15           CBO                    Cut-off to differentiate the eligibility of CBO settlement instructions, for
p.m.           {T2S.03.290}           settlement for the current settlement day (i.e. T+0)
Cut-
                                      •   T2S will not propose the CBO settlement instructions, received by T2S
off*
                                          after this cut-off on the current T2S settlement day, but recycle them for
                                          the next T2S settlement day (i.e. T+1)

                                      •   T2S will ensure to propose all the CBO settlement instructions, received
                                          by T2S before the cut-off and eligible for the current T2S settlement day,
                                          for a settlement attempt

5:15           Daytime                T2S performs the following
p.m.    – settlement            for
                                      •   Execution of static data maintenance instructions
5:30      maintenance
               instructions           •   Execution of maintenance instructions for settlement instructions/
p.m.


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     TIME           T2S                DESCRIPTION OF THE PROCESS
                    PROCESSES

                                           restrictions (i.e. amendment of settlement conditions, cancellations)
                                       •   Generation of reports triggered by business or time events



                                       Additionally, T2S responds to queries received via U2A or A2A

     5:30           Automated   Cash This period determines the start of automated cash sweep of a non-zero
     p.m. till Sweep                   balance (arising from the settlement of CBO) from any T2S DCA and central
     6:00      {T2S.03.180}            bank cash accounts in T2S, to its linked RTGS accounts
     p.m.

                                       T2S performs the following

                                       •   Execution of static data maintenance instructions

                                       •   Execution of maintenance instructions for settlement instructions/
                                           restrictions (i.e. amendment of settlement conditions, cancellations)
                                       •   Generation of reports triggered by business or time events



                                       Additionally, T2S responds to queries received via U2A or A2A

 1
 2          * There will be no schedule defined per currency in T2S, i.e. only one harmonised currency-
 3          independent T2S schedule will exist. However, to cater to the user requirement {T2S.03.303}, T2S
 4          provides a facility to T2S Operator to set a different cut-off/ deadline for a specific T2S settlement
 5          currency in T2S, on request from the central banks/ CSDs for the list of transactions mentioned in the
 6          above table. This change in cut-off/ deadline will be valid only for the current T2S settlement day.
 7
 8          The sequence of events/ deadlines (predecessors and/or successors events) in T2S must remain in tact.
 9          i.e. a currency dependent deadline cannot be delayed beyond a successor scheduling event
10          (deadline/process/period) if this would have an impact on T2S processing (e.g. a CBO cut-off for
11          Danish Krona cannot be extended beyond the EOD cut-off for T2S, which is the successor in the
12          scheduling).
13          In the exceptional cases that T2S experiences a general issue across all currencies, it could be necessary
14          that the T2S Operator would need to extend a currency independent cut-off/deadline that has impact on
15          T2S processing, such as the EOD cut-off/deadline (e.g. the T2S revised times would apply). In this case,
16          T2S ensures the sequence of cut-offs/deadlines is not changed.


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 1   3.5 End of Day (EOD)

 2        This section presents the End of day processes in the harmonized schedule.
 3        The EOD period starts after the successful completion of the daytime period where settlement is no
 4        longer possible, and finishes before the start of the next settlement day {T2S.03.170}


 5   3.5.1    Services involved during the end of day (EOD)

 6        The following services are involved during the EOD as per {T2S.03.210} {T2S.03.220} {T2S.06.230}.
 7             •    Interfaces
 8             •    Queries and Reports
 9
10        These services will be available for all the relevant T2S Actors like the CSDs, NCBs, Directly
11        connected T2S parties, stock exchanges, CCPs and Settlement/ Payment banks.


12   3.5.2    End of Day Schedule

13
                                         Figure 9: End of Day procedures in T2S

           Available                T2S                                                                  T2S Detailed
                                 Indicative   T2S Periods              T2S Processes
        services in T2S                                                                                   Processes
                                  Timeline

                                  6:00 p.m.
                                                                                                     Stop collection creation
                                                                     Stop T2S settlement
                                                                           engine
                                                                                               Internal T2S securities account
                                                                                                     consistency check



           Interfaces                                                                         Identify and cancel all the pending
                                                                                              settlement instructions/ restrictions
                                               End of Day           Recycling and purging    which have passed the last recycling
           Queries and                         procedures                                                     day
           Reports

                                  6:15 p.m.


                                                                                              Generate and send reports to T2S
                                                                     End of Day Reporting
                                                                                                          Actors



                                 6:45 p.m.

                                                                         Close of T2S business day
14




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1   3.5.3    End of Day Processes


    TIME           T2S PROCESSES                 DESCRIPTION OF THE PROCESS

    6:00           End   of   T2S   settlement   T2S processes the following steps in the given sequence
    p.m.     – processing                        • Stop settlement engine
    6:15                                         • Internal T2S securities accounts consistency check, where
    p.m.                                             T2S ensures that the end-of-day securities position for the
                                                     current business day for every securities account is equal to
                                                     the previous end of business day's position plus the
                                                     securities movements of the current T2S settlement day
                                                     {T2S.03.195}. In case of an inconsistency, T2S alerts the
                                                     T2S Operator, for manual corrective procedures.
                                                 •   Recycling and purging where T2S selects and cancels all
                                                     accepted/ matched but unsettled or partially settled
                                                     settlement instructions/ settlement restrictions that have
                                                     passed their last recycling day {T2S.03.190}. Subsequently
                                                     T2S informs the T2S Actors about the cancellation of such
                                                     instructions.
                                                 T2S generates all the end of day reports e.g. on holdings,
    6:15           EOD Reporting
                                                 instructions) and account statements on DCA, as per the report
    p.m.     –
                                                 configuration setup and sends the generated reports to T2S
    6:45
                                                 Actors as per the intended recipient list {T2S.03.200}.
    p.m.

    6:45           Close of T2S business day
    p.m.
    deadline

2




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 1   4 ADDITIONAL SERVICES

 2        This section lists the additional services provided by T2S to the T2S Actors in the course of a T2S
 3        settlement day.


 4   4.1 Information broadcast

 5        T2S provides the below services in relation to the schedule of a T2S settlement day.
 6             •    Information broadcast on a change in status of the schedule of a settlement day
 7                  {T2S.03.010}{T2S.13.136}


 8   4.2 Reports

 9        T2S offers the following list of reports to T2S Actors, as full and/or delta reports and generate them at
10        anytime of a T2S settlement day as per the report configuration setup.
11
12             •    Statement of holdings
13
14             •    Statement of settled transactions
15             •    Statement on executed cancellation instructions
16             •    Statement on executed modification instructions
17             •    Statement on settled securities settlement restrictions
18             •    Statement on settled cash settlement restrictions
19
20             •    Statement of pending instructions
21             •    Statement on pending cancellation instructions
22             •    Statement on pending modification instructions
23             •    Statement on pending securities settlement restrictions
24             •    Statement on pending cash settlement restrictions
25
26             •    Statement of settlement allegements
27
28        T2S offers the following list of reports as full reports and generate them at anytime of a T2S settlement
29        day as per the report configuration setup
30             •    Statement of accounts
31             •    Statement of static data


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 1               •   Cash information report for current settlement day
 2               •   Cash information report for following settlement day
 3
 4           Apart from the above set of reports, T2S provides a billing report to its CSDs and NCBs.


 5   4.3 Queries

 6           T2S offers the following list of queries in user-to-application and/ or application-to-application mode of
 7           communication10 to the T2S Actors at anytime during a T2S settlement day.
 8
 9           Securities Settlement Instruction Queries
10           • Settlement Instruction Query
11           • Settlement Instruction Current Status Query
12           • Settlement Instruction Status Audit Trail Query
13           • Settlement Instruction Audit Trail Query
14           • Query on cancellation instructions
15           • Query on modification instructions
16           • Query on securities restrictions
17           • Query on cash restrictions
18
19           Securities Account Position Queries
20           • Securities Account Position Query
21           • Securities Account Position History Query
22
23           Cash Related Queries
24           • T2S Dedicated Cash Account Balance Query
25           • T2S Dedicated Cash Account Posting Query
26           • Immediate Liquidity Transfer Order List Query
27           • Immediate Liquidity Transfer Order Detail Query
28           • Outstanding Auto-Collateralisation Credit Query
29           • T2S Overall Liquidity Query
30           • Cash Forecast Query
31           • Limit Query
32           • Limit Utilisation Journal Query




     10
          For more information, kindly refer to the GFS


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 1        • Limit Utilisation Query
 2        • Total collateral value per T2S Dedicated Cash Account Query
 3        • Collateral Value per T2S Dedicated Cash Account Query
 4        • Collateral Value of a Security Query
 5
 6        Static Data Queries
 7        • Data Changes awaiting Approval Query
 8        • Static Data Audit Trail Query
 9        • Securities Reference Data Query
10        • ISIN List Query
11        • Securities Deviating Nominal Query
12        • Securities CSD Link Query
13        • Party Reference Data Query
14        • Party List Query
15        • Restricted Party Query
16        • Securities Account Reference Data Query
17        • Securities Account List Query
18        • Cash Account Reference Data Query
19        • T2S Dedicated Cash Account List Query
20        • T2S Dedicated Cash Account Links by Party or Securities Account Query
21        • Securities Account Links by T2S Dedicated Cash Account Query
22        • Liquidity Transfer Order List Query
23        • Liquidity Transfer Order Detail Query
24        • Total amount of standing and predefined orders Query
25        • Liquidity Transfer Order Link Set Query
26        • Liquidity Transfer Order of a Liquidity Transfer Order Link Set Query
27        • T2S Calendar Query
28        • T2S Diary/ Schedule Query
29        • System Entity Query
30        • Attribute Domain Query
31        • Attribute Value Query
32        • Privilege Query
33        • Role Query
34        • T2S System User Query (T2S Actor Query)
35        • Market-specific Restriction Query
36        • SWIFT BIC Code Query
37        • Report Configuration List Query
38        • Report Configuration Detail Query

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1
2        Dynamic Data Queries
3        • Report Query
4        • Cumulative Invoice Query
5        • Itemised Billing Data Query
6
7
8        Apart from the above listed queries, T2S offers the possibilities for a T2S Operator to use queries for
9        the purposes of monitoring the system events and behaviour during a settlement day.




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1   5 APPENDICES

2   5.1 List of Abbreviations


      #            Abbreviation                                     Description

    1.      A2A                       Application-to-application mode of communication by a T2S Actor
                                      with T2S

    2.      BATM                      Bilaterally Agreed Treasury Management instructions: These are DVP
                                      instructions with an additional code ADEA to specify to T2S, to
                                      accept after intraday DVP deadline

    3.      CA                        Corporate Actions

    4.      CASG                      Corporate Action Sub group

    5.      CBO                       Central Bank Operations: These are DVP instructions with special
                                      code values to denote Central Bank Operations by a settlement/
                                      payment bank with its central bank

    6.      CET                       Central European Time

    7.      CMS                       Collateral Management System

    8.      CoSD                      Conditional Securities Delivery

    9.      CSD                       Central Securities Depository

    10.     DCP                       Directly connected party

    11.     DTS                       Daytime Settlement

    12.     DVP                       Delivery Versus Payment

    13.     EOD                       End of Day

    14.     FOP                       Free of Payment

    15.     NCB                       National Central Bank



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      #            Abbreviation                                       Description

    16.     NTS                       Night-time Settlement

    17.     PFOD                      Payment free of delivery

    18.     PMSG                      Project Management Sub group

    19.     RTGS                      Real time gross settlement system

    20.     SGOF                      Sub group for operational framework

    21.     SLB                       Securities Lending and Borrowing

    22.     SOD                       Start of Day

    23.     T2S                       Target2-Securities

    24.     T2S DCA                   T2S Dedicated Cash Account

    25.     U2A                       User-to-application mode of communication by a T2S Actor with T2S

1




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