Summary Workshop on T2S cash forecast and message output optimisation

Transcription

1 T2S PROGRAMME OFFICE 8 March 2016 V1.2 Contact person: Alejandro del Campo Roiz de la Parra Phone: T2S.CRG@ecb.int Summary Workshop on T2S cash forecast and message output optimisation 23 February 2016, from 09:30 to 17:30 1. Introductory session The Chairperson, Karen Birkel, welcomed the participants and explained that the aim of the workshop was to discuss potential improvements on the T2S cash forecast and the potential optimisation on the number of messages T2S sends, and to see whether the different proposals were considered important by all or by some of the participants. There were additional proposals on potential cash management enhancements for discussion during the workshop that if they could not be fully discussed, they could be analysed in other forums (i.e. NUGs, Working Group on TARGET2 WGT2, and DCPG). The Chairperson indicated that CSDs and Central Banks could log Change Requests for any of the proposals if they deem it necessary. These Change Requests will follow the established change and release management procedure. It was also communicated that the going-in assumption is that new Change Requests would be considered for T2S Release 2.0. She also clarified that any ISO Change Request on a message schema would need to be submitted by May 2016, if the related T2S change request is relevant for Release 2.0, and the T2S Sub-group on Message Standardisation (SGMS) would be involved. The summary of the workshop will be published on the T2S website and shared with the DCPG and CRG members.

2 2. Additional requirements for the T2S cash forecast Following a recent number of proposals on how to change/improve the T2S cash forecast, the participants were invited to discuss potential enhancements related to the T2S cash forecast query/report and decide on the way forward. Some participants expressed that it should be considered whether an enhancement on the T2S cash forecast could have an impact on the U2A performance as the latter should be avoided. There was a common view that an agreed business need should not be discarded because of a negative U2A performance impact as other measures could be taken to tackle the performance issues. The workshop participants were of the opinion that related Change Requests on the cash forecast or other cash management improvements should be part of the same T2S Release as a matter of principle to avoid new impacts on T2S and T2S Actor systems/processes for the same function (e.g. different changes to the cash forecast and potential alignments between the cash forecast report and statement of accounts). It was agreed to share this view with the CRG. A) Proposals Proposed Change 1: Display the sum of debit and sum of credit cash movements separately in A2A The aim of the proposal is that the sum of all settlement instructions in the A2A cash forecast 1 query and report (camt.004 and camt.052) should be broken down into the sum of pending cash movements that debits a T2S Dedicated Cash Account (DCA) and the sum of pending cash movements that credits a DCA. The ECB explained that this proposal is included in the Change Request T2S-0540-URD (Alignment of U2A and A2A cash forecast information), which is on hold for T2S Release 2.0 potentially. The proposal would not have an impact on the T2S message schema in principle unless new T2S proprietary codes were required. The participants were of the view that the breakdown will provide additional valuable information to avoid overfunding and support their liquidity management. Conclusion: The proposed change was considered useful by all participants. 1 The Cash Forecast Query Response is one of the usages of the A2A message camt.004 (Return Account). The camt.004 is sent in response to the Cash Forecast Query, which is one of the usages of the A2A message camt.003 (Get Account), usage. Please refer to the UDFS sections GetAccountV05 (camt ) and ReturnAccountV05 (camt ) for further information. The Current Settlement Day Cash Information Report and the Following Settlement Day Cash Forecast Report are two usages of the A2A message camt.052 (Bank To Customer Account Report) are. Please refer to the UDFS section BankToCustomerAccountReportV03 (camt ) for further information. 2

3 Proposed Change 2: Display CORP related cash movements separately The proposal requests a separate block in the cash forecast report (A2A) and query (A2A/U2A) to reflect the sum of pending cash movements for corporate action-related instructions in addition to the current sum of all settlement instructions. The proposal would have an impact on the T2S message schema as a new T2S proprietary codes should be added in addition to the current code for the sum of all settlement instructions (i.e. SICA for camt.004 and AVSI for camt.052). A participant supported the change and clarified that both A2A and U2A cash forecast should distinguish between the sum of debits and credits for corporate action-related instructions (CA instructions). The 4CB pointed out that the U2A update would have a high impact on the current performance of the U2A cash forecast query response. The participants concluded that an additional screen with the additional information could avoid this negative impact. However, the usefulness of this change was challenged, due to the availability of the data at the time that the cash forecast would be needed from T2S. CSDs will only instruct the CA instructions based on the final positions in T2S (the change of business day is at 18:45). T2S will thus not have the settlement instructions related to CA (e.g. dividends, interest payments) at the time when participants may query the cash forecast. The chairperson acknowledged that this reality was discussed from the early days of T2S, i.e. that due to the missing information, the cash forecast report for the following day is not as useful as potentially information that T2S actors may receive from other sources, simply due to the missing availability of the data in T2S. Regarding the cash forecast for the same day, during the daytime, the cash forecast could be used to identify the cash movements of those CA instructions on equities that are on hold. It is assumed that instructions that are not on hold will rather settle, and thus contribute to the actual cash balance instead of the forecast. In this context and given the limited business value for distinguishing CA instructions, the opinions of the participants in the workshop were divided about the usefulness of this proposal. Adding this proposal to Change Request T2S-0540-URD could diminish the support of the CR on the whole. In this respect, it was agreed that this change should not be included in the existing Change Request T2S-0540-URD (Alignment of U2A and A2A cash forecast information) and if the proposal is required should be documented in a separate Change Request drafted by the CBs on behalf of their participants. Conclusion: There was a divided view on the importance of the proposed change. 3

4 Proposed Change 3: Instructions to be included after DVP-Cut-Off The aim of the proposal is that the cash forecast report (A2A) and query (A2A/U2A) for the current settlement day, if initiated after the relevant DVP cut-off event has been reached, should only include those instructions that can still settle before the end of day. Likewise, the cash forecast for the following settlement day, if initiated after the relevant DVP cut-off event has been reached, should as well include those instructions that cannot settle before the end of day. The ECB explained that this proposal is included in the Change Request T2S-0556-SYS (Modification of cash forecast for the current and following business day after DVP cut-off), which is on hold for T2S Release 2.0 potentially. The topic was originated in the User Testing Sub-group (UT- PBR-050 Cash Forecast for the current business day after DVP Cut-off). The ECB clarified that the current cash forecast includes settlement instructions that are matched, unsettled and not cancelled, and with an Intended settlement date (ISD) before or equal to the current business day and therefore, it does not consider the different cut-offs. The participants were of the view that the change will make the cash forecast more useful because it would provide more accurate information about the necessary funding after the DVP cut-off. To the question from the 4CB regarding change for other cut-offs, the participants indicated that there were not interested in other cut-offs. Following the question from a 4CB participant about whether there could be different DVP cut-offs per currency, it was agreed that the ECB will check whether the cut-offs in T2S are harmonised or are different per currency. The proposal would not have an impact on the T2S message schema. Conclusion: The proposed change was considered important by all participants. Action point: The ECB will check whether there could be different cut-offs per currency 2. 2 There is only one DVP cut-off in T2S according the T2S harmonisation standards: Section 3.5 Page 22 T2S Standard: T2S markets should be fully compliant with the T2S schedule for the settlement day and calendar, available on the T2S website.( ) The T2S market/csd operational model should ensure that: ( ) 3. all other T2S daytime (operating hours) and cut-off times are respected (delivery-versus-payment (DvP) cut-off, etc.);( ) 4

5 Proposed Change 4: Possibility to select either all DCAs or one specific DCA The aim of the proposal is that the U2A/A2A cash forecast query should have the T2S Dedicated Cash Account (DCA) as a search criterion so that T2S Actors could select one, more than one or ALL DCAs to receive cash forecast information in a single query. The ECB explained that the report functionality cannot be configured for specific accounts and it was agreed that the proposal only relates to query functionality. The ECB also indicated that currently only the currency, ISD, BIC of the Party and Parent BIC of the Party are allowed search criteria for the Cash Forecast Query as per business rule IIMP005 (camt.003 Get account). However, the ISO message camt.003 has the DCA as a search criterion and therefore an ISO Change Request would not be required, only the T2S message schema will be impacted. Some participants pointed out that the change could have a positive performance impact, because it would allow for a more granular way to select data. The participants were of the opinion that the proposal may not be as important for those payment banks that have few DCAs Conclusion: The proposed change was considered important by a majority of the participants. Proposed Change 5: Display incoming/outgoing cash separately based on counterparty instruction released/on hold The proposal requests separate blocks in the cash forecast report (A2A) and query (A2A/U2A) to reflect the sum of debit and credit pending cash movements for on-hold instructions and releasedinstructions in addition to the current sum of all settlement instructions. The proposal would have an impact on the T2S message schema as a new T2S proprietary codes should be added in addition to the current code for the sum of all settlement instructions (i.e. SICA for camt.004 and AVSI for camt.052). A participant supported the change as it would avoid overfunding and clarified that both A2A and U2A cash forecast should distinguish between the sum of debits and credits for on-hold counterparty s instructions and for released counterparty s instructions. Another participant indicated that the change is of doubtful business value as T2S cash forecast changes often, for instance, when a counterparty sends its instruction or releases its on-hold instruction. The participant also indicated that partial settlement and auto-collateralisation are better tools to avoid overfunding and highlighted that the usefulness of this proposal varies among payment banks (i.e. it depends on the business model chosen). The participant doubted that a treasurer would base his funding on the fact that instructions are on hold, because if they are released in the next moment, there could be underfunding. In this context and given the limited value of distinguishing released/on-hold counterparty s instructions, the opinions on the proposal were divided. In this respect, it was agreed that this change should not be included in the existing Change Request T2S-0540-URD (Alignment of U2A and A2A 5

6 cash forecast information) and if the proposal is required should be documented in a separate Change Request drafted by the Central Banks on behalf of their participants. Conclusion: There was a divided view on the importance of the proposed change. Proposed Change 6: Wildcard pattern for search The aim of the proposal is to have a wildcard pattern in the party BIC field in the A2A/U2A cash forecast query. A participant explained that currently the BIC of the Party and the Parent BIC of the Party are mandatory in the U2A/A2A cash forecast 3 query and therefore, a Central Bank cannot get a cash forecast response with more than one party. The same issue applies to the T2S DCA balances search screen. In this context, if the T2S Actor could specify a wildcard pattern in the party BIC field, the query response would provide the cash forecast or cash balances for more than one party (i.e. the parties that fulfil the wildcard pattern). The participant also explained that it was observed a different behaviour in the testing environments before wave 1 migration as the Party and the Parent BIC of the Party used not to be mandatory. The participant also pointed out that the UHB v2.1 still indicates that the wildcards can be used in a field with the magnifier icon (like the Party BIC in the T2S DCA balances search screen). Another participant also mentioned that similar restrictions seemed to be in place for the securities positions query, which results in the CSD not being able to query entire holdings for a specific security. The participant indicated that they will test and confirm these restrictions. It was agreed that the 4CB will check whether the restriction of using the wildcard pattern in the Get Account message (camt.004) and related UHB screens was introduced by a Change Request. It was acknowledged that the wildcard pattern would lead to performance problems and other solutions may be possible potentially (e.g. if the actor is a Central Bank, the field could be left open). The participants from the Central Banks supported the change as they would like to be able to retrieve more than one party per query in order to have to have a view on the outstanding autocollateralisation and all the balances of their clients. It was agreed to bring the topic to the attention of the Working Group on TARGET2 (WGT2). Additionally, they were informed that a workshop on GUI usability is planned in the second quarter of 2016 and this topic could also be discussed there. Conclusion: The proposed change was considered important by the majority of the participants. Action points: The 4CB will check whether the restrictions of using the wildcard pattern in the Get Account message (camt.004) and related UHB screens, and in the Securities Positions query were introduced by a Change Request or problem. 3 UDFS Business rule IIMP024 on camt.003 (Get Account): For the user query Cash Forecast Query (CASF) the following search criteria are mandatory: BIC of the Party and Parent BIC of the Party. This Business rule was already part of the first UDFS version (i.e. UDFS v1.0 from 9 March 2011). 6

7 The ECB will inform the WGT2 about the Central Bank s request during the workshop to remove the restriction of using the wildcard pattern in the Get Account message (camt.004) and related UHB screens. The participants from the Central Banks will bring the proposed change 6 (i.e. Central Banks would like to be able to retrieve more than one party in the A2A/U2A cash forecast query) to the attention of the WGT2 and if seen as necessary a change request will be raised. A participant will test and confirm whether there are restrictions on the securities positions query, which results in the CSD not being able to query entire holdings for a specific security. Proposed Change 7: Outstanding Auto-Collateralisation/T2S DCA Balances The aim of the proposal is that a T2S Actor could select all parties when requesting the outstanding auto-collateralisation credit information or DCA balances in U2A (Outstanding auto-collateralisation credits search screen and T2S DCA balances search screen. Currently only one party can be selected. There is a related ticket PBI ([FI] [CR] Outstanding Autocoll: Fields cannot be left blank as stated in the UHB). The participants from the Central Banks supported the change as they would like to be able to retrieve more than one party per query and it was agreed to bring the topic to the attention of the WGT2. This topic could be discussed in the workshop on GUI usability planned for the second quarter of It was clarified that the Impacted To be Reimbursed field of the U2A cash forecast provides the sum of the pending reverse collateral movements which debit a T2S dedicated cash account of the selected party. This information is also available in the A2A cash forecast query and report (camt.004 code: CRAC Outstanding intraday credit and camt.052 code: AOIC Amount of outstanding intraday credit). Conclusion: The proposed change was considered important by the some of the participants. Action points: The 4CB will check whether the party BIC and parent BIC are mandatory in the T2S DCA balances search screen and the T2S DCA balance A2A query (camt.003) and whether this behaviour has been changed because of a Change Request or problem. The participants from the Central Banks will bring the proposed change 7 (i.e. Central Banks would like to be able to retrieve more than one party in the T2S DCA balances search screen) to the attention of the WGT2 and if seen as necessary a change request will be raised. 7

8 Proposed Change 8: Cash postings GUI screen to include the T2S Actor Ref. The aim of the proposal is to add the T2S actor reference of the instructions and liquidity transfer orders (LTO) in the T2S DCA postings list screen. Currently, T2S only provides the T2S reference of the instruction/lto related to the cash posting. Some of the participants supported the change as small banks connecting via U2A to T2S would like to have the T2S Actor Reference for reconciliation purposes. Thus, the cash posting screen would be aligned with the Bank To Customer Debit Credit Notification (camt.054). It was agreed to bring the topic to the attention of the WGT2. Conclusion: The proposed change was considered important by the some of the participants. Action points: The participants from the Central Banks will bring the proposed change 7 (i.e. Central Banks would like to be able to retrieve more than one party in the T2S DCA balances search screen) to the attention of the WGT2. B) Change Requests Change Request T2S-0359-SYS (Change of hold/release should be notified to counterparty before ISD) The aim of the Change Request is that counterparty s hold statuses of a matched instruction should be communicated to the party before the Intended Settlement Date too. The ECB explained that the CRG put the Change Request on hold for T2S Release 2.0 potentially as during the CRG meeting on 8-9 February Some participants were of the view that this request will increase the number of messages without bringing any additional value and that the business case was not clear (i.e. what the value of the information is before the ISD). A participant said that the Change Request may not be important at any time in the future. Conclusion: The proposed change was not considered important by the majority of the participants. T2S-0541-URD (Bulk-release functionality (U2A) for settlement instructions) The aim of the Change Request is to be able to release a group of settlement instructions based on specific selection criteria (e.g. ISO transaction code, counterparty, collateral receiving account, CSD, etc.) in the T2S GUI. It was mentioned that the Change Request T2S-0580-URD (Additional automatic intraday reimbursement of NCB auto collateralisation instructions) would bring additional automatic reimbursement of Central Bank auto-collateralisation instructions and it could diminish the need for a bulk release on reimbursement instructions. 8

9 A participant indicated that some banks want to be in control of the liquidity on their DCA and not have automated processes which use up the liquidity. The ECB explained that the CRG put the Change Request on hold for T2S Release 2.0 potentially as during the CRG meeting on 8-9 February Conclusion: The proposed change was considered important by the some of the participants. T2S-0542-SYS (Enrich the Bank To Customer Debit/Credit Notification (camt.054) with data elements securities account Owner Parent BIC and securities account Owner Party BIC) The aim of the CR is to enrich the camt.054 (Bank To Customer Debit Credit Notification) with the Securities Account Owner Parent BIC/Party BIC. Thus, the camt.054 would be aligned with the camt.053 (Bank To Customer Statement) where they information is already available. A participant explained that they rely on the debit/credit notifications (camt.054) because the statement of accounts (camt.053) arrives very late (i.e. as it is not a delta report so they have to wait until the end of day). It was acknowledged that segregating the use of DCA via secondary CMB could help identifying the end account owners by the payment banks. The ECB explained that the CRG put the Change Request on hold for T2S Release 2.0 potentially as during the CRG meeting on 8-9 February Conclusion: The proposed change was considered important by the some of the participants. T2S-0544-URD (Retroactive Cash Restriction - Cash Blocking and Reservation) The aim of the Change Request is to input the settlement reference of a settlement instruction into the cash restriction to block or reserve cash for the settlement of this specific instruction. The ECB explained that the CRG agreed to put the Change Request on hold and indicated that the Change Request is a potential candidate for Release 2.Some participants considered the purpose of the CR useful. It was acknowledged that the root cause of the problem is that the restriction references in the Settlement Instruction (sese.023) cannot be amended and there could be other alternatives or approaches in T2S or outside (e.g. usage of links) that could be investigated. Conclusion: The proposed change was considered important by some of the participants. 9

10 T2S-0546-SYS (Indication for time-critical settlements - settlement till time-stamp) The aim of the Change Request is to have the settlement till time-stamp in a settlement instruction to indicate by when its settlement is intended or required. A participant explained that this Change Request is required for reporting purposes only and is useful in the German market where there are some market segments 4 that require settlement before a bilaterally agreed specific time, otherwise penalties (external to T2S) would apply. The proposal would require ISO changes as there is not a proper field to include the information. It was acknowledged that there could be other alternatives in T2S or outside (e.g. usage of the common matching reference) that could be investigated. The ECB explained that the CRG put the Change Request on hold for T2S Release 2.0 potentially as during the CRG meeting on 8-9 February Conclusion: The proposed change was not considered important by the majority of the participants. T2S-0547-SYS (Enrichment of Settlement Instruction with default DCA at the acceptance) The aim of the Change Request is that T2S should enrich a settlement instruction with the default DCA configured in Static Data at the initial validation process in case the DCA were not included in the settlement instruction. It was explained that the topic is being discussed in other governance structures. T2S-0580-URD (Additional automatic intraday reimbursement of NCB auto collateralisation instructions) The aim of the Change Request is to introduce an additional automatic intraday reimbursement process for Central Bank auto-collateralisation (via subscription) at specific times during the day. Some participants indicated that the Change Request would improve the liquidity management and limit the risk of non-reimbursement at the mandatory automatic reimbursement cut-off at 4.30 pm. On the other hand, a participant indicated that some banks want to be in control of the liquidity on their DCA and not have automated processes which use up the liquidity. A participant expressed that if the CR T2S-0580-URD provides the optionality between automatic and manual bulk release, they would support the CR 580 but they favour the manual bulk release Change Release for their market. Therefore, they would support the Change Request provided that the feature is optional. Conclusion: The proposed change was considered important by the some of the participants. 4 An example would be the GC pooling segment, which is a money market trading for EUR and USD funding against fixed income and equity collateral baskets. 10

11 T2S-0590-SYS (Include ISIN and Message Identification in the T2S Bank to customer statement (camt.053) message) The aim of the CR is that the camt.053 (Bank To Customer Statement) should include the ISIN and the Message Identification for the underlying transactions. The ECB explained that the initiator of the Change Request has been asked by the CRG to provide the underlying business needs as it is not clear why the cash managers require this information. Conclusion: The proposed change was considered important by the some of the participants. 3. Message output optimisation The participants were invited to analyse the different DCPG member s proposals to streamline and optimise the output of T2S messages. 1. Status messages and reason codes Proposal 1.A. Usage of the code FUTU The aim of the proposal is that the sese pending reason code FUTU (Awaiting settlement date) should not be sent when an instruction is unmatched. A participant explained that the business scenario when they receive the FUTU code for unmatched instructions. The participant described that they submit settlement instructions on hold and towards the end of the ISD, they release those instructions that are still unmatched just in case the counterparties could send their instructions before the DVP cut-off. In this business case, the wish was not to receive the status advice messages. Some participants expressed that sometimes a FUTU code is immediately followed by a settlement confirmation (sese.025) when, for instance, a matched instruction is released on the ISD and settlement takes place immediately afterwards, in this business case the message seemed superfluous. It was acknowledged that to implement a change in T2S to wait for the next event such as settlement, a buffering would be necessary. The participants were of the view that a buffering cannot be implemented in T2S because of the variety of different scenarios when settlement would not take place immediately (e.g. lack of cash/securities, intraday restrictions, cut-offs) and would postpone the submission of the status message unnecessarily and probably cause performance issues. Conclusion: The proposed change was not considered important by some of the participants. 5 sese.024 is the Securities Settlement Transaction Status Advice. Please refer to the UDFS section SecuritiesSettlementTransactionStatusAdviceV03 (sese ) for further information. 11

12 Proposal 1.B. Multiple reporting of the same failure reason (CLAC): The aim of the proposal is that T2S should only send the sese.024 pending reason code CLAC (Counterparty Insufficient Securities) only once, and not for every settlement attempt and failure. The participants acknowledged that, as a matter of principle, T2S should only send a new status advice message (sese.024) when there is a change of the status value and/or reason code associated to the status value and therefore, it was not clear under which scenario T2S sends the same code twice. It was agreed that an incident should be raised to the T2S Service Desk to investigate the issue. Conclusion: The participants considered that there should not be a repeated reporting of the same failure reason. Action point: The participant, who experienced the issue of receiving repeated reporting of the same failure reason, will raise a T2S incident to the T2S Service Desk through its Central Bank or CSD. Proposal 1.C. Multiple reporting of the same failure reason (LACK): The aim of the proposal is that T2S should only send the sese.024 pending reason code LACK (Insufficient financial instruments in your account) only once, and not for every settlement attempt and failure. The participants acknowledged that, as a matter of principle, T2S should only send a new status advice message (sese.024) when there is a change of the status value and/or reason code associated to the status value and therefore, it was not clear under which scenario T2S sends the same code twice. Conclusion: The participants considered that there should not be a repeated reporting of the same failure reason. Action point: The participant, who experienced the issue of receiving repeated reporting of the same failure reason, will raise a T2S incident to the T2S Service Desk through its Central Bank or CSD. Proposal 1.D. Multiple pending reason code (CLAC/MONY): The aim of the proposal is that in case the counterparty does not have sufficient securities in for delivery leg, T2S should only send the sese.024 pending reason code MONY (Insufficient money in your account), in addition to the code CLAC (Counterparty Insufficient Securities), when there is insufficient cash in the DCA/CMB limits and the receive leg is not eligible for auto-collateralisation. A participant explained that the current T2S behaviour is misleading and could create errors as T2S only checks the cash balance and it does not consider the possibility to resort to auto-collateralisation. The 4CB indicated that there could be two possibilities to implement such a proposal. The easier would be not to do further checks on the cash side when there were insufficient securities. It would be 12

13 more complex to check the possibility to resort to auto-collateralisation to determine whether the MONY code needs to be provided. The participants were of the view that it would be useful if T2S provided the right information. Some participants agreed to discuss this further within its market. Conclusion: The proposed change was considered important by the majority of the participants. Proposal 1.E. Multiple pending reason code (LACK /CMON): The aim of the proposal is that in case a party does not have sufficient securities in for DELI leg, T2S should only send the sese.024 pending reason code CMON (Insufficient money in counterparty's account), in addition to the code LACK (Insufficient financial instruments in your account), to the counterparty when the counterparty has insufficient cash in the DCA/CMB limits and RECE leg is not eligible for auto-collateralisation. A participant explained that the current T2S behaviour is misleading and could create errors as T2S only checks the cash balance and it does not consider the possibility to resort to auto-collateralisation. The 4CB indicated that there could be two possibilities to implement such a proposal. The easier would be not to do further checks on the cash side when there were insufficient securities. It would be more complex to check the possibility to resort to autocollateralisation to determine whether the CMON code needs to be provided. The participants were of the view that it would be useful if T2S provided the right information. Some participants agreed to discuss this further within its market. Conclusion: The proposed change was considered important by the majority of the participants. Proposal 1.F. Status update on Partially Settled Instruction (PART and LACK): The aim of the proposal is that T2S should only send one sese.024 message in case of partial settlement and therefore, T2S should combine the reason codes PART (Trade will settle in partials) and LACK (Insufficient financial instruments in your account) in one message. An alternative proposal would be to disregard sending PART and LACK status advices, as this could be deduced from the PAIN code (Partial Settlement) in the settlement confirmation (sese.025). A participant indicated that the proposal of sending only one sese.024 with reason PART and one sese.025 for the settled part, would be in line with the SMPG standards. The participants acknowledged that, as a matter of principle in case of partial settlement, T2S should only send a status advice message (sese.024) for the unsettled part with the code PART in addition to the settlement confirmation (sese.025) for the settled part and therefore, it was not clear under which scenario T2S sends the LACK code as well. It was agreed that an incident should be raised to the T2S Service Desk to investigate the issue. 13

14 Regarding the alternative proposal of receiving only the settlement confirmation for the settled part and not a status advice message for the unsettled part in case of partial settlement, the participants acknowledged that this would require a Change Request. A participant indicated that this alternative proposal of receiving the settlement confirmation with the PAIN code only would be enough for them. It was acknowledged that a solution could be to have more granularity in the message subscription so T2S Actor could specify which reason codes they would like to receive Some participants agreed to discuss this further within its market. Conclusion: The participants considered that T2S should only send one sese.024 for the unsettled part. Action point: The participant, who experienced the issue of receiving the reason codes PART (Trade will settle in partials) and LACK (Insufficient financial instruments in your account) in separate messages, will raise a T2S incident to the T2S Service Desk through its Central Bank or CSD. Proposal 1.G. Pending reason codes (LINK & INBC): The aims of the proposals are: T2S should not send sese.024 with INBC (Incomplete Number Count) when a pool of instructions is complete. T2S should not send the sese.024 pending reason code LINK (Pending Linked Instruction) for realignment instructions. The ECB explained that there is not a real solution to resolve the issue of informing INBC pending reason code without having a significant impact on the T2S core design. The ECB explained that this issue was raised in the UTSG (UT-PBR Eligibility check failure). Regarding the request of not sending the sese.024 pending reason code LINK (Pending Linked Instruction) for realignment instructions, the participants were of the view that the only solution would be to have more granularity in the message subscription so T2S Actor could specify which reason codes they would like to receive. Conclusion: The proposed changes were considered important by some of the participants. Proposal 1.H. Status Code Optimisation The aim of the proposal is to merge several statuses in a single sese.024 status advice message. A participant explained that T2S could send three status messages for the acknowledgement, acceptance and matching of an instruction in a short time frame and even the order could be different and therefore, it would be good if the three statuses could be combined in a single message. 14

15 It was acknowledged that to implement a change in T2S to wait for the next event such as settlement, a buffering would be necessary. The participants were of the view that a buffering cannot be implemented in T2S because of the variety of different scenarios to be considered and because it would postpone the submission of the status message unnecessarily in some scenarios (e.g. if matching is delayed because the counterparty s instruction is missing). A participant pointed out that this proposal would have an impact on their internal system and that an alternative could be to bundle the three messages in a file. Conclusion: The proposed change was not considered important by the majority of the participants and acknowledged as potentially difficult to implement. 2. Message subscription configuration Proposal 2.A. Additional message subscription flexibility for CA instructions As both T2S and CSD send DCPs status advices and confirmations for the same instructions, DCP would like to receive them only from one channel. Additional message subscription configuration flexibility is required in either T2S message subscription configuration or CSD message subscription configuration. The ECB explained that the Change Request T2S-0513-SYS (Adding new message subscription parameter types for Business Sending Party, Instructing Party and System User Reference), which is part of the CRs for R1.1, would bring further flexibility in the T2S message subscription configuration. The participants agreed that the implementation of the Change Request would address the issue. Conclusion: The proposed change was not deemed necessary anymore. Proposal 2.B. DCPs Possibility to not subscribe to NTS messages related to settlement The aim of the proposal is that it must be possible for the T2S Actors to subscribe to real-time messages only during the real-time settlement (i.e. no messages during the night-time settlement). The 4CB explained that the interface module is not informed about the phase of the settlement day that T2S is in. A participant expressed that they would not be against the Change Request provided that the feature is optional. Another participant indicated that the rationale of the proposal is related to cost savings. It was agreed that further information would be needed to better understand the underlying business scenario. Conclusion: The proposed change was acknowledged as potentially difficult to implement. 15

16 Proposal 2.C. Grouping allegement notifications for future ISD instructions The aim of the proposal is to have the possibility to receive allegement notifications (sese.028 Securities Settlement Transaction Allegement Notification) for future ISD instructions buffered and grouped into a single file, and to receive allegement notifications for same day instructions in real time. A participant explained that they do not want to modify the allegement delay periods; what they would need is a single file with all due allegement notifications instead of individual messages for cost reasons. The 4CB explain that the implementation would not be easy because at the time of the allegement generation, the relevant technical address is not known. Conclusion: The proposed change was acknowledged as potentially difficult to implement. Proposal 2.D. Settlement transaction condition code TRAN as subscription parameter The aims of the proposals are: Adding settlement transaction condition code TRAN as subscription parameter. Adding new fields needed for CA processing to T2S messages sese.020, sese.024 and sese.025 such linkages block, corporate action event id, etc. The ECB explained that the implementation of the following Change Requests would address the proposals: T2S-0495-SYS (Add settlement transaction condition code 'TRAN' as a possible message subscription parameter), which is part of the CRs for R1.1. T2S-0496-SYS (Add Corporate Action Event Identifier and reason code Cancellation due to transformation in sese.024) T2S-0520-SYS (Add new fields to T2S messages sese.020, sese.024 and sese.025 needed for CA processing), which is on hold for the T2S Release 2 potentially. Conclusion: The proposed changes were considered important by the majority of the participants. 3. Report configuration Proposal 3.A. Parameter types granularity for Report Configuration The proposal was not linked to the granularity of the report configuration. Actually it was already discussed as part of the proposed Change 7: Outstanding Auto-Collateralisation/T2S DCA Balances (see above). 16

17 4. Other proposals Proposal 4.A. Bundle Technical Rejections in a file The aim of the proposal is to group the messages in a single file for any rejections and acknowledgements concerning the messages contained in a file. A participant explained that currently if T2S rejects a file, which contains many messages, because of a wrong file signature, T2S sends one rejection for each of the messages contained in the file and this could overload their system. It was acknowledged that this kind of errors should not happen in production. It was agreed that an incident could be raised to the T2S Service Desk to investigate the issue. A participant indicated that they might raise a Change Request to bundle real-time status messages that are for instructions with an ISD in the future as the information for this instruction is not time critical and could bundled and sent later. Conclusion: The proposed changes were considered important by the some of the participants. Action point: The participant, who experienced the issue of receiving rejections for each of the messages contained in the file, will raise a T2S incident to the T2S Service Desk through its Central Bank or CSD. Proposal 4.B. Use of same message channel for acknowledgements The aim of the proposal is to use the same channel for acknowledgement messages as for the inbound communication (message or file channel) A participant explained that currently T2S sends single technical acknowledgement messages per message contained in a file when the file is processed correctly at T2S infrastructure level. This causes processing issues for the technical sender when a file channel (messages bundled in a file) is used for T2S inbound communication and the technical acknowledgement are sent per message. Some participants agreed to discuss this further within its market. Conclusion: The proposed changes were not considered important by the majority of the participants. 17

18 List of participants Participant's organisation Name of participant European Central Bank Ms Karen Birkel Chairperson European Central Bank Mr Alejandro del Campo Roiz de la Parra Secretary European Central Bank Mr Sanjay Kolekar European Central Bank Mr Matej Mesar European Central Bank Mr Javier Castillo 4CB 4CB 4CB 4CB 4CB 4CB 4CB 4CB 4CB Ms Wilma Jagomast Ms Mariana Shkurtova Mr Dirk Beiermann Ms Kristin König Ms Ana Comellas Mr Miguel Martinez Tahoces Ms Natalia Canalejo Mr Massimiliano Renzetti Mr Victorien Goldscheider Banco De España Ms Anca Parau Banco De España Mr Jose Manuel Celada Carrizo Banco De España Ms Lucia Sanchez Deutsche Bundesbank Ms Melanie Gulden Banque de France Mr Alain Loyer Banca d'italia Mr Giuseppe Marino National Bank of Belgium Mr Patrick Heyvaert Caceis Mr Marc Dappen BNP Paribas Securities Services Ms Sonia Fabiana Minnella Citi Mr Marcello Topa Citibank Mr Massimo Scordino Commerzbank Mr Holger Westermann Deutsche Bank Ms Britta Woernle Deutsche Bank Mr Gerhard Scherer Deutsche Wertpapierservice Bank Mr Thomas Blume DZ Bank Mr Norbert Schneider J.P. Morgan Ms Adelle Ursell LCH Clearnet Mr Pierre Peczi 18

19 UBS Germany Deutsche Girozentrale Mr Harald Keller Mr Sebastian Seip Euroclear Euroclear Iberclear Clearstream Clearstream Clearstream Mr Dan Toledano Ms Caroline Derocle Mr Jesús Sánchez Mr Friedrich Franke Mr Markus Glück Mr Frederik Van Malderen 19