Target2-Securities General Functional Specifications V8.0 27 January 2020 T2S General Functional Specifications Table of Contents Table of Contents 1 Approach to T2S Functional Design .............................................................................. 5 1.1 Presentation of the document................................................................................ 5 1.2 Methodological elements ....................................................................................... 6 1.3 Reference documents............................................................................................. 7 1.4 Specifications references – cross-referencing URD ............................................... 7 1.5 Conventions used ................................................................................................... 7 2 General Functional Overview ........................................................................................ 8 2.1 Introduction ........................................................................................................... 8 2.1.1 Objective and scope of T2S ........................................................................... 8 2.1.2 T2S Actors.................................................................................................... 23 2.1.3 Multi-currency in T2S .................................................................................. 29 2.1.4 Other systems interacting with T2S ............................................................ 29 2.2 Overall high level diagram.................................................................................... 30 2.3 Description of functional domains........................................................................ 31 2.3.1 Interface...................................................................................................... 31 2.3.2 Static Data Management ............................................................................. 33 2.3.3 Lifecycle Management and Matching .......................................................... 33 2.3.4 Settlement ................................................................................................... 35 2.3.5 Liquidity Management................................................................................. 37 2.3.6 Statistics, Queries, Reports and Archive ..................................................... 38 2.3.7 Operational Services.................................................................................... 39 2.4 Security Management........................................................................................... 40 3 Functional Description ................................................................................................ 43 3.1 Introduction ......................................................................................................... 43 3.2 Interface............................................................................................................... 43 3.2.1 General Introduction ................................................................................... 43 3.2.2 Dynamic data managed by the domain ....................................................... 46 3.2.3 Communication Module............................................................................... 53 3.2.4 Inbound Processing Module ........................................................................ 61 3.2.5 Outbound Processing Module...................................................................... 76 3.2.6 T2S Graphical User Interface ...................................................................... 90 3.2.7 Interface (IN) Use Cases............................................................................. 98 3.2.8 Processing of the Interface Use Cases ........................................................ 99 3.3 Static Data Management .................................................................................... 107 3.3.1 General Introduction ................................................................................. 107 3.3.2 Dynamic data managed by the domain ..................................................... 110 All rights reserved. Page 2 T2S General Functional Specifications Table of Contents 3.3.3 Functions ................................................................................................... 112 3.3.4 Input / Output........................................................................................... 124 3.3.5 Data Accessed............................................................................................ 125 3.3.6 Common Information ................................................................................ 125 3.3.7 Party Data Management............................................................................ 129 3.3.8 Securities Data Management .................................................................... 135 3.3.9 Securities Account Data Management....................................................... 140 3.3.10 T2S Dedicated Cash Account Data Management....................................... 145 3.3.11 Rules and Parameters Data Management ................................................. 152 3.3.12 Static Data Management (SM) Use Cases ................................................. 188 3.3.13 Processing of Static Data Management Use Cases.................................... 190 3.4 Lifecycle Management and Matching ................................................................. 194 3.4.1 General Introduction ................................................................................. 194 3.4.2 Dynamic data managed by the domain ..................................................... 196 3.4.3 Instruction Validation................................................................................ 207 3.4.4 Instruction Maintenance ........................................................................... 227 3.4.5 Instruction Matching................................................................................. 248 3.4.6 Status Management................................................................................... 254 3.4.7 Settlement Instructions (SI) Use Cases.................................................... 291 3.4.8 Processing of Settlement Instructions Use Cases..................................... 293 3.4.9 Maintenance Instruction (MI) Use Case.................................................... 308 3.4.10 Processing of Maintenance Instructions Use Cases .................................. 309 3.5 Settlement .......................................................................................................... 324 3.5.1 General Introduction ................................................................................. 324 3.5.2 Dynamic data managed by the domain ..................................................... 327 3.5.3 Optimisation Algorithms common features............................................... 343 3.5.4 Multi-currency aspects .............................................................................. 344 3.5.5 Standardisation and Preparation to Settlement ....................................... 347 3.5.6 Daytime Validation, Provisioning and Booking ......................................... 383 3.5.7 Daytime Recycling and Optimisation ........................................................ 416 3.5.8 Night-time Settlement............................................................................... 427 3.5.9 Auto-collateralisation ................................................................................ 438 3.5.10 Processing of Settlement Instruction Use Cases....................................... 454 3.6 Liquidity Management........................................................................................ 494 3.6.1 General Introduction ................................................................................. 494 3.6.2 Dynamic data managed by the domain ..................................................... 503 3.6.3 Liquidity Operations .................................................................................. 507 3.6.4 Outbound Information Management ........................................................ 516 3.6.5 CB Business Procedures ............................................................................ 522 3.6.6 Liquidity Transfers (LT) Use Cases ............................................................ 524 3.6.7 Processing of Liquidity Transfers Use Cases ............................................. 526 All rights reserved. Page 3 T2S General Functional Specifications Table of Contents 3.7 Statistics, Queries, Reports and Legal Archiving................................................ 541 3.7.1 General Introduction ................................................................................. 541 3.7.2 Statistical Information .............................................................................. 543 3.7.3 Query Management ................................................................................... 552 3.7.4 Report Management.................................................................................. 567 3.7.5 Legal Archiving .......................................................................................... 577 3.8 Operational Services........................................................................................... 581 3.8.1 General Introduction ................................................................................