User Requirements
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USER REQUIREMENTS T2S Programme Office Date: 18 February 2015 Version: 5.04 Status: Draft T2S User Requirements Contents MANAGEMENT SUMMARY 15 Purpose and expectations 15 The context – completing the single market in financial services 16 What is T2S? 17 The impact of T2S 20 What’s next? 22 1 GENERAL INTRODUCTION 24 1.1 Introduction 24 1.2 General Principles of T2S 24 1.3 Governance structure for preparing User requirements 29 1.4 Organisation and presentation of the user requirements 30 1.4.1 Presentation of the requirements 31 1.4.2 Glossary 32 1.4.3 Graph and model conventions 32 2 SCOPE 34 2.1 Stakeholders 34 2.1.1 Eurosystem 35 2.1.2 Issuers 35 2.1.3 Investors 35 2.1.4 Public authorities 35 2.1.5 Interest groups 36 2.1.6 T2S actors 36 2.1.7 T2S Owner 37 2.1.8 T2S System Users 37 2.2 Overall context diagram 38 2.3 Securities categories 40 2.4 Types of transaction 43 2.5 Settlement currencies 44 2.5.1 Cash settlement in T2S 44 2.5.2 Cash settlement outside T2S 45 2.6 Interaction with external CSDs 46 Version: 5.04 Page 2 T2S User Requirements 3 PROCESSING SCHEDULE AND CALENDAR 50 3.1 General structure of a settlement day 50 3.1.1 High-level T2S processing timetable 50 3.1.2 Main periods of the settlement day 53 3.1.3 Service availability 59 3.1.4 Specific deadlines 61 3.2 Calendar 62 4 ROLE REQUIREMENTS 65 4.1 T2S Operator 66 4.1.1 T2S system administrator 66 4.1.2 T2S business and operations support 67 4.2 Business role CSD 67 4.2.1 CSD system administrator 68 4.2.2 CSD business user 68 4.3 Business role T2S party 68 4.3.1 T2S party system administrator 69 4.3.2 T2S party business user 69 4.4 Business role NCB 69 4.4.1 NCB system administrator 69 4.4.2 NCB business user 69 4.5 Business role payment bank 70 4.5.1 Payment bank system administrator 70 4.5.2 Payment bank business user 70 5 INSTRUCTION LIFE CYCLE MANAGEMENT AND MATCHING REQUIREMENTS 73 5.1 High level description of life cycle management and matching 73 5.2 Instruction and life cycle types 78 5.2.1 Instruction types 78 5.3 Validation 78 5.3.1 Validation of incoming settlement instructions 78 Version: 5.04 Page 3 T2S User Requirements 5.3.2 Revalidation of instructions owing to updates of static data 86 5.4 Instruction maintenance 86 5.4.1 Hold and release mechanisms 87 5.4.2 Amendment of instructions 88 5.4.3 Cancellation of instructions 88 5.5 Matching 91 5.5.1 Requirements related to matching 92 5.5.2 Mandatory matching fields 93 5.5.3 Non-mandatory matching fields 94 5.6 Settlement eligibility 96 5.6.1 Requirements related to settlement eligibility 96 5.7 Examples of life cycle and transaction types 97 6 PROVISION OF LIQUIDITY, COLLATERAL MANAGEMENT AND MONITORING OF LIQUIDITY 109 6.1 Provision of liquidity 109 6.1.1 Cash account structure for T2S and types of cash transactions allowed in T2S 109 6.1.2 Types of transactions settling on T2S dedicated cash accounts 113 6.1.3 Sources of liquidity on T2S dedicated cash accounts 115 6.2 Liquidity Transfer Order Life Cycle Management 115 6.2.1 High level description of liquidity transfer order life cycle management 116 6.2.2 Liquidity transfer order business process 119 6.2.3 Business Validation of an immediate liquidity transfer order 126 6.2.4 Settlement of a Liquidity transfer order 128 6.3 Collateral Management 132 6.3.1 Specific requirements resulting from monetary policy operations and intraday credit (without auto-collateralisation) 132 6.3.2 Specific requirements resulting from intraday credit out of auto-collateralisation 132 7 SETTLEMENT PROCESSING REQUIREMENTS 135 7.1 Settlement processing overview 135 7.1.1 Context diagram 135 7.1.2 Process description 136 Version: 5.04 Page 4 T2S User Requirements 7.2 Sequencing and prioritisation 139 7.2.1 Sequencing 140 7.2.2 Prioritisation 144 7.3 Provision check for and the posting of settlement 146 7.3.1 Booking process 146 7.3.2 Validation and requirements for the provision check 147 8 PROCESSING REQUIREMENTS FOR SETTLEMENT OPTIMISATION AND AUTO-COLLATERALISATION 155 8.1 Settlement, optimisation and recycling procedures 155 8.1.1 Objectives of T2S settlement, optimisation and recycling procedures 156 8.1.2 Main features of optimisation procedure in T2S 158 8.1.3 Optimisation procedures during the night-time settlement window 159 8.1.4 Optimisation procedures during the daytime settlement window 160 8.1.5 Partial settlement procedures 165 8.1.6 Settlement and optimisation procedures applicable to non-euro-denominated transactions 168 8.1.7 Settlement and optimisation procedures applicable to sets of transactions denominated in several currencies 169 8.2 Auto-collateralisation 170 8.2.1 Central banks’ role in intraday credit provision through auto-collateralisation 170 8.2.2 Payment/settlement banks’ role in intraday credit provision through auto-collateralisation 170 8.2.3 Conditions for triggering auto-collateralisation 171 8.2.4 Settlement of the cash leg and securities leg of auto-collateralisation operations 171 8.2.5 Management and identification of eligible collateral in the settlement of auto-collateralisation operations 172 8.2.6 Conditions for the selection of collateral 174 8.2.7 Collateral movements in auto-collateralisation operations with central banks 174 8.2.8 Types of underlying transactions eligible for auto-collateralisation 175 8.2.9 Modification of auto-collateralisation limits during the settlement process 176 8.2.10 Reimbursement of credits provided through auto-collateralisation 177 8.2.11 Dynamic reimbursement of auto-collateralisation and automated substitution of collateral 179 9 SPECIFIC SETTLEMENT PROCESSING REQUIREMENTS 181 9.1 Settlement of specific categories of securities 181 9.1.1 Funds shares 181 Version: 5.04 Page 5 T2S User Requirements 9.1.2 Coupon stripping/reattachment 182 9.2 Specific settlement procedures 183 9.2.1 Settlement of linked transactions 183 9.2.2 Transfer of baskets of collateral 185 9.2.3 Blocking and reservation of cash or securities 186 9.2.4 Conditional securities deliveries 187 9.2.5 Settlement of multilateral instructions 189 9.2.6 Borrowing and lending operations in securities 190 9.3 Corporate actions settlement 190 9.4 Cross-CSD settlements and in/out T2S settlements 193 10 SECURITIES POSITIONS AND CASH BALANCES 206 10.1 Securities Positions 206 10.1.1 Attribute Requirements for Securities Positions 206 10.1.2 Process of Rebuilding of Securities Positions 208 10.1.3 Blocked, Reserved and Earmarked Positions 209 10.2 Limits 215 10.2.1 Defining Limits 216 10.2.2 Limit Utilisation 218 10.2.3 Journaling of Limit Utilisation 218 10.3 Cash Account Balances 220 10.3.1 Rebuilding of T2S Dedicated Cash Account Balances 220 10.3.2 Blocked and Reserved Cash Balances 221 11 CONFIGURATION REQUIREMENTS 224 11.1 Business date 224 11.2 Daily processing schedule 225 11.3 System entity management 225 11.4 Closing day calendar 229 11.5 Tolerance amount 229 11.6 Attribute domain management 230 11.7 Settlement priority defaults 237 11.8 Sequencing rules 237 11.9 Roles and privileges for authorisation 238 Version: 5.04 Page 6 T2S User Requirements 11.9.1 Privileges 238 11.9.2 Roles 240 11.9.3 T2S system users 241 11.10 Services and service configuration 244 11.10.1 Message subscription service 245 11.10.2 Restriction Types 249 11.11 SWIFT BIC directory 258 11.12 Partial settlement parameters and thresholds 260 11.13 Conditional securities delivery parameters 261 11.14 Recycling periods for pending settlement instructions 264 11.15 Acceptable time deviation between the intended settlement date and the reception of a settlement instruction in T2S 265 12 INTERFACES AND CONNECTIVITY REQUIREMENTS 268 12.1 Context diagram of interfaces 268 12.1.1 Context diagram 268 12.1.2 Process description 269 12.2 Interface requirements 271 12.2.1 Technical interface 271 12.2.2 Interface validations 275 12.2.3 Interaction with other T2S components 277 12.3 Connectivity requirements 278 12.3.1 CSDs and T2S parties 279 12.3.2 NCBs’ systems 280 13 MESSAGES AND REPORTS REQUIREMENTS 283 13.1 Message subscription requirements 283 13.2 Messages requirements 285 13.3 Detailed message flows 289 13.3.1 Flow of settlement related activities 292 13.3.2 Flow of non-settlement related activities 311 13.4 Messages glossary 313 13.5 Requirements for Reports 320 13.5.1 General Report Requirement and Rules 320 Version: 5.04 Page 7 T2S User Requirements 13.5.2 Report types 322 14 QUERIES REQUIREMENTS 326 14.1 General query requirements and default rules 326 14.1.1 General query requirements 326 14.1.2 Default rules 326 14.2 Securities Balance Queries 328 14.2.1 Query types 328 14.2.2 Availability of query and response mode 329 14.2.3 Query parameters 329 14.2.4 Securities Balance Query by CSD or T2S party 330 14.2.5 Securities Balance Query by T2S party account 330 14.2.6 Parameters for querying securities balances 330 14.2.7 Querying Securities Balance History 331 14.2.8 Securities Balance History Query by Security or Country of Issuance 332 14.2.9 Securities Balance History Query by T2S party 332 14.2.10 Securities Balance History Query by T2S party Account 332 14.2.11 Content of the responses 334 14.3 Settlement Instruction Queries 335 14.3.1 Settlement Instruction Query 335 14.3.2 Settlement Instruction Current Status Query 337 14.3.3 Settlement Instruction Status Audit Trail Query 339 14.3.4 Settlement Instruction Audit Trail Query 340 14.4 Static Data Queries 341 14.4.1 Securities Reference Data Queries 342 14.4.2 Party Reference Data 343 14.4.3 Securities Account Reference Data 344 14.4.4 T2S Dedicated Cash Account Reference Data 345 14.4.5 Calendar