1. Legal/business importance parameter: High 2. Market implementation efforts parameter: Low

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1 General Infrmatin (Origin f Request) User Requirements (URD) r GUI Business Functinality Dcument (BFD) Other User Functinal r Technical Dcumentatin (SYS) Request raised by: Clearstream Institute: CSD Date raised: 22/02/2017 Request title: T2S shuld allw updates f maturity date fr matured ISINs Request ref. n: T2S 0655 SYS Request type: Cmmn Urgency: Urgent 1. Legal/business imprtance parameter: High 2. Market implementatin effrts parameter: Lw 3. Operatinal/Technical risk parameter: Lw 4. Financial impact parameter: Medium Requestr Categry: CSD Status: Authrised at steering level Reasn fr change and expected benefits/business mtivatin: Currently, it is nt pssible t apply any update t a matured ISIN. Related update requests are rejected with errr cde DSU When perfrming a Securities update request, it must refer t existing and active Securities with a maturity date that is greater than the current business date. This is creating prcessing issues in cases where an ISIN was incrrectly matured. This might ccur, e.g., due t mistakes made by the SME where wrng maturity date was set. Hwever, recently there were als cases where SME CSDs deactivated OUT-CSD ISINs, and at the same time matured them. This activity immediately resulted in blcking the ISIN frm settlement in any ther CSD, even if the ISIN was nt deactivated in thse CSDs. Currently, the nly way t reslve thse errrs is a last level interventin by the T2S Operatr t shift the maturity date t a future date, smetimes even accmpanied by a change f SME. This prcess is cmplex and time cnsuming. T avid this cmplexity and t allw faster errr reslutin, it shuld be pssible t shift the maturity date f a matured ISIN t a date in the future via user-triggered securities update. Business Rule DSU1003 shuld be adjusted accrdingly. Descriptin f requested change: Fr matured ISINs, T2S shuld allw updates f maturity date if the maturity date is shifted int the future. Submitted annexes / related dcuments: Prpsed wrding fr the SYS Change request: Business rule DSU1003 shuld be updated as fllws: When perfrming a Securities update request, unless it is purely a request t shift the maturity date t the future, it must refer t an existing and active Securities with a maturity date that is greater than the current business date. UDFS v2.3 Sectin 4.1, Index f Business Rules and Errr Cdes [ ] [ ] [ ] [ ] [ ] [ ] DSU1003 When perfrming a Securities update request, unless it is purely a request t shift the maturity date t the future, it must refer t an existing and active Securities with a maturity date that is greater than the current business date. reda.007 reda.029 REJT Unknwn Securities

2 UHB v2.3 Sectin Security New/Edit Screen (list f errr messages) [ ] [ ] [ ] [ ] DSU1003 Maturity Date field Unknwn Securities When perfrming a securities Submit buttn update request, unless it is purely a request t shift the maturity date t the future, it must refer t an existing and active securities with a maturity date that is greater than the current business date. High level descriptin f Impact: Outcme/Decisins: * CRG meeting n 28 February 2017: The CRG recmmended the launch f preliminary assessment n the Change Request. * OMG n 14 March 2017: During a written prcedure frm 28 February - 14 March 2017, the Operatins Managers Grup did nt identify any blcking peratinal impact f the Change Request. * CRG meeting n 24 April 2017: The CRG tk nte f the T2S functinalities/mdules impacted by the Change Request fllwing the 4CB preliminary assessment. The CRG als recmmended t launch the detailed assessment n the Change Request and requested the 4CB t check the feasibility t deliver it as part f the Release 2.0 in principle subject t the final decisin n the ptins t be pursued. * CRG n 5 May 2017: During the CRG written prcedure frm 25 April t 5 May 2017, the CRG agreed t defer the submissin f all pending settlement instructins related t the updated ISIN fr settlement until the next day, i.e. nighttime settlement (ptin 2 identified during the preliminary assessment). * Advisry Grup n Market Infrastructures fr Securities and Cllateral (AMI-SeC) n 12 May 2017: Fllwing a written prcedure frm 8 t 12 May 2017, the AMI-SeC was in favur f launching the detailed assessment n the Change Request. * CSD Steering Grup n 15 May 2017: Fllwing a written prcedure frm 8 t 15 May 2017, the CSD Steering Grup was in favur f launching the detailed assessment n the Change Request. * OMG n 17 July 2017: During a written prcedure frm 6 July - 13 July 2017, the Operatins Managers Grup did nt identify any blcking peratinal impact f the Change Request. * CRG telecnference n 20 July 2017: The CRG recmmended the apprval f the Change Request and its inclusin in the T2S Release 2.0 in principle subject t the 4CB update f the Change Request and related reductin f csts as the initially-freseen queuing lgic f maturity date updates until the end-f-day perid, mentined in the CR, is nt required. * Operatinal Mangers Grup n 27 July 2017: Fllwing a written prcedure frm July 2017, the Operatins Managers Grup recnfirmed that the Change Request des nt have any blcking peratinal impact * Prject Mangers Grup meeting n 1 September 2017: The Prject Managers Grup was in favur f adding the Change Request t Release 2.0 frm a planning perspective. * Advisry Grup n Market Infrastructures fr Securities and Cllateral (AMI-SeC) n 7 September 2017: Fllwing a written prcedure frm 4 t 7 September 2017, the AMI-SeC was in favur f apprving the Change Request and its inclusin in T2S Release 2.0. * CSD Steering Grup n 8 September 2017: Fllwing a written prcedure frm 4 t 8 September 2017, the CSG adpted the reslutin t apprve the Change Request and its inclusin in T2S Release

3 Preliminary assessment: Impacted mdules: SDMG, SETT Financial impact parameter: Medium (preliminary assessed) Findings: In rder t avid impact n the aut-cllateralisatin prcess, a new queuing prcess will be put in place fr mdificatins t an ISIN s maturity date. Such mdificatins will be put n hld until the End f Day (ED) perid and executed during that perid. This queuing will apply nly if all the fllwing cnditins are met: 1. The change refers t a mature ISIN (i.e. the current value f the maturity date is in the past); 2. The new maturity date f the ISIN is set t a value that is later than the current date; 3. The ISIN is eligible fr aut-cllateralisatin (i.e. an Aut-Cllateralisatin Eligibility Link exists fr this ISIN) If any f the abve cnditins are nt met, the change is perfrmed immediately. LCMM dmain is nt impacted by this CR as lng as the BR update is limited t the update t the future (i.e. later than the current maturity date) f the maturity date f an ISIN already matured. When this update is allwed in T2S due t the implementatin f the CR, it will nt affect any pending SI in the system as they wuld have already been cancelled the mment that the ISIN becmes matured (fr SIs instructed by CSDPs, as instructins instructed by the CSDs are always valid regardless if the maturity date has been reached r nt). The nly exceptin t this wuld be matched settlement instructins in a matured ISIN with Settlement Status Pending and Reasn Cde SBLO (Securities Blcked) as a result f CR515: after the change in maturity date, LCMM will cntinue t cancel thse instructins nly after the new end date f the transfrmatin perid (i.e. New Maturity Date + Transfrmatin Detectin Perid) but this will represent n departure frm the apprach already being cnsidered by LCMM fr CR515 implementatin. We understand as well that n mre LLI f this kind will be requested by the users. Lastly please nte that frm LCMM perspective the implementatin f this CR has n effect n the assumptin/assessment f CR Open issues/ questins t be clarified by the riginatr: Once CR-0515 will be implemented, the settlement instructins related t matured ISIN and whse instructing party is nt a CSD r a CCP fr PFOD, will be ineligible fr settlement and remain pending in T2S. This CR will make valid again an ISIN that used t be incrrectly matured. What shuld be the T2S behavir? Optin 2: Deferring the eligibility check n all pending settlement instructins related t the updated ISIN until the next SD (lw impact n SETT) Optin may have impact n the SD. 3

4 EUROSYSTEM ANALYSIS GENERAL INFORMATION Static data management Interface Party data management X Cmmunicatin X Securities data management Outbund prcessing T2S Dedicated Cash accunt data Inbund prcessing management Securities accunt data management Rules and parameters data management Impact On T2S Settlement Liquidity management X Standardisatin and preparatin t Outbund Infrmatin Management settlement Night-time Settlement NCB Business Prcedures Daytime Recycling and ptimisatin Liquidity Operatins Daytime Validatin, prvisining & bking LCMM Aut-cllateralisatin X Instructins validatin Status management Operatinal services Instructin matching Data Migratin Instructins maintenance Scheduling Statistics, queries reprts and archive Billing Reprt management Operatinal mnitring Query management Statistical infrmatin Legal archiving All mdules (Infrastructure request) N mdules (infrastructure request) Business peratinal activities Technical peratinal activities Impact n majr dcumentatin Dcument Chapter Change Impacted GFS chapter Impacted UDFS chapter 4.1 Index f Business Rules and Errr Cdes Mdificatin f existing business rule DSU1003 Additinal deliveries fr Message Specificatin UHB UHB v2.3 Sectin Security New/Edit Screen (list f errr messages) Mdificatin f existing business rule DSU1003 External training materials Other dcumentatins Links with ther requests Links Reference Title OVERVIEW OF THE IMPACT OF THE REQUEST ON THE T2S SYSTEM AND ON THE PROJECT Summary f functinal, develpment, infrastructure and migratin impacts Static Data Management Existing business rule DSU1003 t be mdified t allw the change f the maturity date f a matured ISIN, as lng as the new value is in the future. The related T2S INTF and message specificatins will be updated. Internal tests shuld validate that the changes d nt have impact n ther SD bject related t Securities. 4

5 Settlement Intraday mdificatins f Maturity date shuld be replicated at Settlement level withut triggering any eligibility reassessment n the pending Settlement Transactins Interface Testing the crrect implementatin n the Security New/Edit Screen and in the reda.007/reda.029. LCMM Testing fr verificatin that there are n regressins in the interactins between SDMG and LCMM when prcessing static data ntificatins related t Securities updates, in line with CR expected behaviur. Identificatin and executin f test scenaris in cmbinatin with CR515, ensuring that the new maturity date is crrectly taken int cnsideratin. Summary f prject risk Nne Security analysis N ptentially adverse effect was identified during the security assessment. 5

6 DG - MARKET INFRASTRUCTURE & PAYMENTS MARKET INFRASTRUCTURE MANAGEMENT ECB-PUBLIC 24 July 2017 Cst assessment n Change Requests T2S-655-SYS T2S shuld allw updates f maturity date fr matured ISINs Assessment csts* One-ff - Preliminary 2, Eur - Detailed 10, Eur One ff Prject phase csts 97, Eur Annual Operatinal csts 9, Eur *The relevant assessment csts will be charged regardless f whether the CR is implemented (Cf. T2S Framewrk Agreement, Schedule 7, par ).