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T2S User Requirements Document V9.0 (URD)

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T2S User Requirements Document V9.0 (URD) USER REQUIREMENTS DOCUMENT DG – Market Infrastructure and Payments Date: 5 March 2021 Version: 9.0 Status: Draft T2S User Requirements Contents MANAGEMENT SUMMARY 16 Purpose and expectations 16 The context – completing the single market in financial services 17 What is T2S? 18 The impact of T2S 22 What’s next? 24 1 GENERAL INTRODUCTION 26 1.1 Introduction 26 1.2 General Principles of T2S 26 1.3 Governance structure for preparing User requirements 31 1.4 Organisation and presentation of the user requirements 32 1.4.1 Presentation of the requirements 33 1.4.2 Glossary 34 1.4.3 Graph and model conventions 34 2 SCOPE 36 2.1 Stakeholders 36 2.1.1 Eurosystem 37 2.1.2 Issuers 37 2.1.3 Investors 37 2.1.4 Public authorities 37 2.1.5 Interest groups 38 2.1.6 T2S actors 38 2.1.7 T2S Owner 39 2.1.8 T2S System Users 39 2.2 Overall context diagram 40 2.3 Securities categories 42 2.4 Types of transaction 45 2.5 Settlement currencies 46 2.5.1 Cash settlement in T2S 46 2.5.2 Cash settlement outside T2S 48 2.6 Interaction with external CSDs 48 Version: 9.0 Page 2 T2S User Requirements 3 PROCESSING SCHEDULE AND CALENDAR 53 3.1 General structure of a settlement day 53 3.1.1 High-level T2S processing timetable 53 3.1.2 Main periods of the settlement day 56 3.1.3 Service availability 63 3.1.4 Specific deadlines 64 3.2 Calendar 66 4 ROLE REQUIREMENTS 71 4.1 T2S Operator 72 4.1.1 T2S system administrator 72 4.1.2 T2S business and operations support 73 4.2 Business role CSD 73 4.2.1 CSD system administrator 74 4.2.2 CSD business user 74 4.3 Business role T2S party 74 4.3.1 T2S party system administrator 75 4.3.2 T2S party business user 75 4.4 Business role NCB 75 4.4.1 NCB system administrator 75 4.4.2 NCB business user 75 4.5 Business role payment bank 76 4.5.1 Payment bank system administrator 76 4.5.2 Payment bank business user 76 5 INSTRUCTION LIFE CYCLE MANAGEMENT AND MATCHING REQUIREMENTS 79 5.1 High level description of life cycle management and matching 79 5.2 Instruction and life cycle types 84 5.2.1 Instruction types 84 5.3 Validation 85 5.3.1 Validation of incoming settlement instructions 85 Version: 9.0 Page 3 T2S User Requirements 5.3.2 Revalidation of instructions owing to updates of static data 93 5.4 Instruction maintenance 93 5.4.1 Hold and release mechanisms 94 5.4.2 Amendment of instructions 96 5.4.3 Cancellation of instructions 96 5.5 Matching 99 5.5.1 Requirements related to matching 99 5.5.2 Mandatory matching fields 101 5.5.3 Non-mandatory matching fields 102 5.6 Settlement eligibility 104 5.6.1 Requirements related to settlement eligibility 104 5.7 Examples of life cycle and transaction types 105 6 PROVISION OF LIQUIDITY, COLLATERAL MANAGEMENT AND MONITORING OF LIQUIDITY 118 6.1 Provision of liquidity 118 6.1.1 Cash account structure for T2S and types of cash transactions allowed in T2S 118 6.1.2 Types of transactions settling on T2S dedicated cash accounts 122 6.1.3 Sources of liquidity on T2S dedicated cash accounts 125 6.2 Liquidity Transfer Order Life Cycle Management 125 6.2.1 High level description of liquidity transfer order life cycle management 125 6.2.2 Liquidity transfer order business process 129 6.2.3 Business Validation of an immediate liquidity transfer order 136 6.2.4 Settlement of a Liquidity transfer order 138 6.3 Collateral Management 142 6.3.1 Specific requirements resulting from monetary policy operations and intraday credit (without auto-collateralisation) 142 6.3.2 Specific requirements resulting from intraday credit out of auto-collateralisation 142 7 SETTLEMENT PROCESSING REQUIREMENTS 145 7.1 Settlement processing overview 145 7.1.1 Context diagram 145 7.1.2 Process description 146 Version: 9.0 Page 4 T2S User Requirements 7.2 Sequencing and prioritisation 149 7.2.1 Sequencing 150 7.2.2 Prioritisation 154 7.3 Provision check for and the posting of settlement 156 7.3.1 Booking process 156 7.3.2 Validation and requirements for the provision check 157 8 PROCESSING REQUIREMENTS FOR SETTLEMENT OPTIMISATION AND AUTO-COLLATERALISATION 167 8.1 Settlement, optimisation and recycling procedures 167 8.1.1 Objectives of T2S settlement, optimisation and recycling procedures 168 8.1.2 Main features of optimisation procedure in T2S 170 8.1.3 Optimisation procedures during the night-time settlement window 172 8.1.4 Optimisation procedures during the daytime settlement window 173 8.1.5 Partial settlement procedures 177 8.1.6 Settlement and optimisation procedures applicable to non-euro-denominated transactions 181 8.1.7 Settlement and optimisation procedures applicable to sets of transactions denominated in several currencies 181 8.2 Auto-collateralisation 182 8.2.1 Central banks’ role in intraday credit provision through auto-collateralisation 183 8.2.2 Payment/settlement banks’ role in intraday credit provision through auto-collateralisation 183 8.2.3 Conditions for triggering auto-collateralisation 184 8.2.4 Settlement of the cash leg and securities leg of auto-collateralisation operations 184 8.2.5 Management and identification of eligible collateral in the settlement of auto- collateralisation operations 185 8.2.6 Conditions for the selection of collateral 187 8.2.7 Collateral movements in auto-collateralisation operations with central banks 187 8.2.8 Types of underlying transactions eligible for auto-collateralisation 188 8.2.9 Modification of auto-collateralisation limits during the settlement process 190 8.2.10 Reimbursement of credits provided through auto-collateralisation 191 8.2.11 Dynamic reimbursement of auto-collateralisation and automated substitution of collateral 192 9 SPECIFIC SETTLEMENT PROCESSING REQUIREMENTS 195 Version: 9.0 Page 5 T2S User Requirements 9.1 Settlement of specific categories of securities 195 9.1.1 Funds shares 196 9.1.2 Coupon stripping/reattachment 196 9.2 Specific settlement procedures 197 9.2.1 Settlement of linked transactions 197 9.2.2 Transfer of baskets of collateral 200 9.2.3 Blocking and reservation of cash or securities 200 9.2.4 Conditional securities deliveries 201 9.2.5 Settlement of multilateral instructions 204 9.2.6 Borrowing and lending operations in securities 204 9.3 Corporate actions settlement 205 9.4 Cross-CSD settlements and in/out T2S settlements 208 10 SECURITIES POSITIONS AND CASH BALANCES 221 10.1 Securities Positions 221 10.1.1 Attribute Requirements for Securities Positions 221 10.1.2 Process of Rebuilding of Securities Positions 223 10.1.3 Blocked, Reserved and Earmarked Positions 224 10.2 Limits 230 10.2.1 Defining Limits 231 10.2.2 Limit Utilisation 233 10.2.3 Journaling of Limit Utilisation 234 10.3 Cash Account Balances 235 10.3.1 Rebuilding of T2S Dedicated Cash Account Balances 236 10.3.2 Blocked and Reserved Cash Balances 237 11 CONFIGURATION REQUIREMENTS 240 11.1 Business date 240 11.2 Daily processing schedule 241 11.3 System entity management 242 11.4 Closing day calendar 245 11.5 Tolerance amount 245 11.6 Attribute domain management 247 11.7 Settlement priority defaults 254 Version: 9.0 Page 6 T2S User Requirements 11.8 Sequencing rules 254 11.9 Roles and privileges for authorisation 255 11.9.1 Privileges 255 11.9.2 Roles 257 11.9.3 T2S system users 258 11.10 Services and service configuration 261 11.10.1 Message subscription service 262 11.10.2 Restriction Types 267 11.11 SWIFT BIC directory 277 11.12 Partial settlement parameters and thresholds 278 11.13 Conditional securities delivery parameters 280 11.14 Recycling periods for pending settlement instructions 283 11.15 Acceptable time deviation between the intended settlement date and the reception of a settlement instruction in T2S 284 11.16 Outbound message bundling parameters 285 12 INTERFACES AND CONNECTIVITY REQUIREMENTS 287 12.1 Context diagram of interfaces 287 12.1.1 Context diagram 287 12.1.2 Process description 288 12.2 Interface requirements 290 12.2.1 Technical interface 290 12.2.2 Interface validations 294 12.2.3 Interaction with other T2S components 296 12.3 Connectivity requirements 298 12.3.1 CSDs and T2S parties 298 12.3.2 NCBs’ systems 300 13 MESSAGES AND REPORTS REQUIREMENTS 302 13.1 Message subscription requirements 303 13.2 Messages requirements 305 13.3 Detailed message flows 308 13.3.1 Flow of settlement related activities 312 13.3.2 Flow of non-settlement related activities 332 Version: 9.0 Page 7 T2S User Requirements 13.4 Messages glossary 334 13.5 Requirements for Reports 342 13.5.1 General Report Requirement and Rules 342 13.5.2 Report types 344 14 QUERIES REQUIREMENTS 353 14.1 General query requirements and default rules 353 14.1.1 General query requirements 353 14.1.2 Default rules 353 14.2 Securities Balance Queries 355 14.2.1 Query types 355 14.2.2 Availability of query and response mode 356 14.2.3 Query parameters 356 14.2.4 Securities Balance Query by CSD or T2S party 357 14.2.5 Securities Balance Query by T2S party account 357 14.2.6 Parameters for querying securities balances 357 14.2.7 Querying Securities Balance History 358 14.2.8 Securities Balance History Query by Security or Country of Issuance 359 14.2.9 Securities Balance History Query by T2S party 359 14.2.10 Securities Balance History Query by T2S party Account 360 14.2.11 Content of the responses 362 14.3 Settlement Instruction Queries 362 14.3.1 Settlement Instruction Query 362 14.3.2 Settlement Instruction Current Status Query 365 14.3.3 Settlement Instruction Status Audit Trail Query 366 14.3.4 Settlement Instruction Audit Trail Query 368 14.4 Static Data Queries 368 14.4.1 Securities Reference Data Queries 369 14.4.2 Party Reference Data 371 14.4.3 Securities Account Reference Data
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