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

Transcription

1 General Infrmatin (Origin f Request) User Requirements (URD) Other User Functinal r Technical Dcumentatin (SYS) Request raised by: CSD Steering Grup (CSG) Institute: CSD Date raised: 21/10/2015 Request title: Preventin f matching in case f inslvency f a CSD Participant r a dedicated cash accunt hlder Request ref. n: T2S 0559 URD Request type: Cmmn Urgency: Nrmal 1. Legal/business imprtance parameter: Lw 2. Market implementatin effrts parameter: Medium 3. Operatinal/Technical risk parameter: Lw 4. Financial impact parameter: Requestr Categry: CSD Status: On hld Reasn fr change and expected benefits/business mtivatin: The CSG Task-frce n inslvency prceedings has been fcusing n tw deliverables: i. the elabratin f a Cllective Agreement that sets ut inter alia the legal rights and bligatins f the T2S CSDs and T2S NCBs arising in cnnectin with the harmnised definitin f the mment f entry and irrevcability f transfer rders which are subject t matching ii. the definitin f high-level prcedures and principles t handle the inslvency f a participant in T2S, be it a CSD participant r a central bank s participant and the subsequent reprting requirements. During the discussins n the inslvency prcedures, it has been identified that, whilst T2S ffers the adequate tls t ensure cmpliance with the Settlement Finality Directive, it is nt pssible with current T2S functinality t prevent matching f psitively validated instructins. This may bring additinal peratinal risk/burden in crss-csd scenaris, as nce instructins are matched, bilateral cancellatin invlving actin f 2 CSDs is necessary. This business case is relevant in the scenari where a settlement instructin received after the pening f inslvency prceedings, and is unmatched by the time the CSD/CB system peratr is made aware (scenari 4 as described in the attached annex). The settlement instructin culd attain matching status between the pint that the CSD/CB system peratr becmes aware f the inslvency and the mment when they are manually cancelled. The unmatched instructins shuld be cancelled as early as pssible in rder t avid further pssibility f matching (as nce matched, SIs requires bilateral cancellatin which may be peratinally cumbersme in crss-csd scenaris). Hwever, by the time such an actin is perfrmed by the CSD, due t slippage there culd still be sme instructins which are matched. Frm an peratinal view pint, the inslvent party instructin (nce matched) must als be put n hld 1 t avid the risk f settlement attempt, in case the slvent cunterparty s CSD des nt cmply with bilateral cancellatin. In the current implementatin f the T2S it is already pssible t blck settlement i.e. mment f finality (SF3) using specific case 2 restrictin rules. There is hwever, nt a pssibility t prevent settlement instructins frm matching (activated by each system peratr r n its behalf) between the pint that the CSD/CB system peratr becmes aware f the inslvency and the mment when they cnfigure the rejectin f settlement instructins belnging t the inslvent CSD participant/dca Hlder in T2S. The fact that such settlement instructins may still match after the rejectin f new instructins is activated des nt cnstitute a (legal) breach t the SFD. Hwever preventing the matching wuld further lwer peratinal risk and wuld bring T2S in line with the market practices applied by CSDs n their legacy platfrms. Descriptin f requested change: Unmatched instructins submitted by an inslvent party (r n its behalf) and aiming at debiting ne f its accunts (securities accunt r DCA) shuld nt be eligible fr matching. 1 Accrding t the currently defined prcedures, the inslvent party/accunt will be blcked thrugh an intraday restrictin (Case 2 Restrictin Type)

2 T2S Prgramme Office Request: T2S 0559 URD Submitted annexes / related dcuments: See attachment entitled Inslvency f CSD/CB participants in T2S frm CSG Task Frce (versin f 29 Octber 2015) Prpsed wrding fr the Change request: The fllwing URD requirement must be added t address the abve requirement: T2S matching ineligibility Reference ID T2S T2S shall prevent matching f an instructin submitted by an inslvent party (r n its behalf) and aiming at debiting ne f its accunts (securities accunt r T2S dedicated cash accunt) unless the instructin is submitted n behalf f the inslvency liquidatr 2. High level descriptin f Impact: Outcme/Decisins: * CRG meeting n 15 December 2015: The CRG agreed t make sme changes t the Change Request and put the Change Request n hld. 2 Such instructin will be submitted by the CSD. 2

3 Inslvency f CSD/CB participants in T2S CSG Task Frce Versin 29 th Octber 2015

4 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 2

5 Rubric Inslvency f CSD/CB participants in T2S Requirements Legal requirements (stemming frm SFD): Transfer rders instructed by the inslvent party r n its behalf and intended t debit the accunt f that inslvent party: shall be prcessed in accrdance with the system rules if entered (i.e. SF1) befre the inslvency; can be prcessed accrding t the system rules even when entered after the pening f inslvency prceedings prvided that such rders i) were matched n the T2S platfrm (i.e. SF2) befre the peratr (*) becmes aware f the inslvency and ii) are settled within the same business day; shall nt be presented fr settlement (i.e. n SF3) if received after the system peratr becmes aware f the inslvency; (in sme jurisdictins) can be prcessed accrding t the system rules even when entered after the pening f inslvency prceedings upn instructin f the inslvency liquidatr. The slvent party retains all its rights in accrdance with the system rules. In particular the prcessing f instructins frm the slvent party shall nt be affected by the inslvency f the ther party. Operatinal requirements: Ideally simple prcedures allwing shrt reactin time and limiting peratinal risk. The prcedure shall nt blck the reimbursement f aut-cllateralisatin and autmatic cash sweep. New instructins received after the mment the peratr becmes aware f the inslvency shall be rejected befre reaching validatin and matching. Adequate and standardised reprting mechanism fr transactins pertaining t mment f entry (SF1) and mment f irrevcability (SF2) shall be made available t the CSD/NCB system peratrs and/r t address requests frm the inslvency liquidatr/regulatr. (*) The term peratr always refers t CSD/CB peratr unless stated therwise 3

6 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 4

7 Rubric Inslvency f CSD/CB participants in T2S SFD requirements: scenaris definitin N Descriptin Applicable rule Cmment 1 Transfer rders entered befre the pening f inslvency prceedings 2 Transfer rders entered after the pening f inslvency prceedings, which were matched n the T2S platfrm befre the peratr becmes aware and fr settlement n the same business day 3 Transfer rders entered after the pening f inslvency prceedings, which were matched n the T2S platfrm befre the peratr becmes aware but fr settlement later than n the day f inslvency 4 Transfer rders entered after the pening f inslvency prceedings, which were nt matched n the T2S platfrm by the time the peratr becmes aware 5 Transfer rders entered after the mment the peratr becmes aware f inslvency prceedings upn request f the inslvency liquidatr (Art. 2 (8) f the Cllective Agreement) 6 Transfer rders entered after the mment the peratr becmes aware f inslvency prceedings withut invlvement f the inslvency liquidatr N actin t be taken (i.e. t be prcessed accrding t system rules) N actin t be taken; cancellatin if unsettled at the end f the day f inslvency T be immediately put n hld fr a later cancellatin by the peratr(s) T be immediately cancelled T be prcessed accrding t system rules T be rejected 5 The slvent party retains all its rights in accrdance with the system rules If unsettled at the end f the day, shall be put n hld fr a later cancellatin by the peratr(s) In case f crss-csd transactin, requires bilateral cancellatin by the tw CSDs; putting n hld ensures that settlement is prevented if bilateral cancellatin is nt effected nce ISD is reached Immediate cancellatin preferable as putting n hld may nt prevent matching. Even when matched, such transfer rders wuld nt settle as lng as intraday blcking is active n the party r accunt. Only applicable in sme natinal jurisdictins. Will be using an exceptin t the rejectin rules freseen under scenari 6

8 Rubric Inslvency f CSD/CB participants in T2S SFD requirements: time representatin Scenari 1 SF1 N actin t be taken (i.e. t be prcessed accrding t the system rules) Scenari 2 SF1 SF2 ICS = current BD N actin t be taken Cancellatin if unsettled at the end f the day f inslvency Scenari 3 SF1 SF2 ICS > current BD T be immediately put n hld fr a later cancellatin by the peratr(s) Scenari 4 SF1 SF2 (*) T be immediately cancelled Scenari 5 SF1 Requested by the inslvency liquidatr T be prcessed accrding t the system rules Scenari 6 SF1 (*) Nt requested by the inslvency liquidatr T be rejected Time f the pening f the inslvency prceedings (*) This step is nt suppsed t ccur Time the CSD/NCB system peratr is made aware 6 End f 1 st business day f inslvency t

9 Rubric Inslvency f CSD/CB participants in T2S SFD requirements: decisin tree Entered befre inslvency? N Entered befre made aware? N Requested by the liquidatr? N Yes Yes Yes Matched befre made aware? N Yes Settlement day = day f inslvency? N Yes N actin t be taken (i.e. t be prcessed accrding t the system rules) N actin t be taken. Cancellatin if unsettled at the end f the day f inslvency T be immediately put n hld fr a later cancellatin T be immediately cancelled T be prcessed accrding t the system rules T be rejected Scenari 1 Scenari 2 Scenari 3 Scenari 4 Scenari 5 Scenari 6 7

10 Rubric Inslvency f CSD/CB participants in T2S Applicatin t crss-system transactins DvP instructin with inslvent Part. A f CSD A SAC 1 CSD A Participant A SAC-DCA link DCA 1 NCB C Payment Bank C Up t 4 systems (CSD A&B and NCB C&D) may be invlved in a crss-brder DvP. SAC 2 CSD B Participant B SAC-DCA link DCA 2 NCB D Payment Bank D Let s assume fr instance (*) the inslvency f participant A in CSD A Cunterparty RvP instructin with Part. B f CSD B What are the relevant reference times? The time when participant A is declared inslvent and the time when CSD A peratr is made aware What are the relevant system rules? The rules f the CSD A system What are the impacted instructins? The instructins submitted by participant A (r n its behalf) t CSD A fr the debit f SAC 1 The cunterparty instructin frm participant B n SAC 2 is nt directly affected by the inslvency (*) Similarly, if a DCA hlder f NCB (e.g. participant D) is inslvent, the time f NCB becming aware, the system rules f NCB D are relevant and all transfer rder debiting the DCA 2 are impacted. 8

11 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 9

12 Rubric Inslvency f CSD/CB participants in T2S Tlbx available in T2S I. Revke Privileges functinality T2S prvides T2S Actrs the tls t revke access n specific inslvent securities accunts/dcas (bject privileges) r n all accunts (system privileges) frm rles, users and parties in U2A mde nly CSDs culd blck the cmmunicatin f all the users belnging t the inslvent party by deleting the certificate DN fr each user separately Alternatively, a CSD culd revke (*) access frm the users f the CSD participant, using a CSD participant user linked t a certificate DN belnging t the CSD Revking a system privilege (e.g. Send New Settlement Instructin/Settlement Restrictin n Securities either n a Securities Accunt r n Behalf f an external CSD ) frm the user, results in the user n lnger being able t use the functin linked t that privilege. Revking a system privilege frm a rle, results in the remval f the privilege frm the list f privileges linked t the rle. Cnsequently, all the ther rles, users and parties linked t the rle will n lnger be able t access the functin linked t that privilege. Revking a system privilege r an bject privilege frm a party, T2S applies a cascade (**) effect. This results in the remval f the privilege: frm the list f privileges linked t the party and frm the list f privileges linked t all the rles and users f the party. Alternatively, privileges with Deny # ptin culd be granted t the inslvent party/users individually t revke access t a single securities accunt/dca. (*) Refer t the steps explained in the UHB under sectin Cnfiguratin f a Privilege (Tw-Step Apprach) t be fllwed fr revking privileges. (**) The cascade effect is deferred t the EOD. In case it is needed immediately, there will be a pssibility defined in the T2S MOP t request the T2S Operatr t trigger this immediately ( # ) The revke privilege functinality using DENY will be simplified with CR554 (planned fr Release 1.2) 10

13 Rubric Inslvency f CSD/CB participants in T2S Tlbx available in T2S II. Usage f case ne and case tw restrictin types / rules Restrictin types / rules can be defined in T2S t cntrl settlement flws Case One Restrictin Type Apply at business validatin level n Settlement Instructins/Restrictins, i.e. as sn as instructins enter T2S fr initial prcessing Reject r put n CSD Validatin Hld. The latter is an autmatic putting n hld, des nt prevent matching) Rule-based cnfiguratin (bligatin) thrugh a set f parameters with the pssibility t define exceptins (psitive/negative parameter set) May use Market Specific Attributes (custm static data field defined n parties, securities accunts, r securities) Case Tw Restrictin Type Apply at settlement eligibility level, i.e. n Intended Settlement Date and beynd. Activated n static data bjects: Blck parties, securities, securities accunts, DCAs, RTGS accunts (*) Optinal t define rules and exceptins thrugh a set f parameters Cannt use Market Specific Attributes (*) This results in the restrictin f all the T2S dedicated cash accunts linked t the given external RTGS accunt 11

14 Rubric Inslvency f CSD/CB participants in T2S Tlbx available in T2S III. Usage f Hld/Release and Cancellatin functinality Prvides T2S Actrs the functinality t hld and release Settlement Instructins, at any time during their lifecycle until they are settled r cancelled CSD Hld CSD needs t put Yes in the CSD hld indicatr f the maintenance instructin (Hld Instructin) t hld an instructin. Typically used by CSDs fr specific actins. If the CSD wants t send a Settlement Instructin initially n Hld, the CSD hld indicatr must be filled in. A Settlement Instructin n Hld can nly be released when the relevant CSD sends the crrespnding Release Instructin putting N in the CSD hld indicatr. Hld/Release Default If the Hld Release Default value f the Securities Accunt is set t Yes, the instructin is set autmatically On Hld thrugh the Party Hld Status In case the Party Hld is activated in the Settlement Instructin, T2S des nt check the Hld Release Default value in Static Data fr the Securities Accunt (*). Cancellatin CSDs can cancel (already matched r matched in T2S) intra-csd instructins in A2A mde using the message SecuritiesTransactinCancellatinRequest In U2A mde the Cancellatin Securities Instructin - New Screen t be used t input the cancellatin instructin In case f crss-csd transactin the instructins will fllw bilateral cancellatin and require invlvement f 2 CSDs. 12 ( * ) This behaviur may change in the future with implementatin f CR532 ( planned fr Release 2)

15 Rubric Inslvency f CSD/CB participants in T2S Tlbx available in T2S IV. Usage f query functinality T2S query functinality prvides T2S Actrs means t retrieve Settlement Instructins, pertaining t SF1 and SF2 as required by specific market rules n ad-hc basis. A2A queries can be tailred and saved fr further reuse Settlement Instructin Audit trail Query Impacted settlement instructins having reached SF1 and SF2 can be retrieved, using the semt.026 Settlement Instructin Status Audit Trail Query query in A2A (see sectin f UDFS v2.0) r Settlement Instructins Search/List Screen in U2A (see sectin f UHB v2.0). Amngst thers parameters (*), search criterin instructin status type accepted r matched between specific timestamps r equal t a timestamp can be used. The query can be autmated at the CSD end. The query retrieves all the instructins filtered accrding t the specified criteria and timestamps. Status histry/ Audit trail query SF1 and SF2 timestamp infrmatin is retrievable using specific queries. In A2A, using query SecuritiesTransactinStatusQuery sese.021 (see sectin f UDFS v2.0) retrieve the audit trail details f a settlement instructin. In U2A, using Status Histry - Details Screen r "Revisins/audit trail list screen (see sectin and sectin f UHB v2.0) fr the settlement instructin details (*)Refer t the additinal parameters fr the A2A query under business rule IIMP124. Nte that fr the GUI screen, the field Cancellatin status with value Nt Cancelled culd be used fr SF1 specific instructins. After acceptance/matching f an SI, T2S prvides the timestamp f the sese.024 generatin in the real-time status advice. There is a shrt lapse f time (apprx 2-3 sec frm EAT data) between the actual acceptance/matching f the SI and the sese.024 generatin timestamp. An ISO change wuld be needed t the sese.024 t include a specific field fr reprting the acceptance/matching timestamp 13

16 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 14

17 Rubric Inslvency f CSD/CB participants in T2S Scenari 1 Steps: N actin t be taken (t be prcessed accrding t the system rules) 15

18 Rubric Inslvency f CSD/CB participants in T2S Scenaris 2, 3 and 4 Steps: Retrieve the impacted settlement instructins using the Settlement Instructins Search/List Screen in U2A, OR SecuritiesTransactinStatusQuery message in A2A; Manual cancellatin f SIs (fr scenari 4 preferably directly at the time peratr is made aware); In A2A mde, using SecuritiesTransactinCancellatinRequest message; can be dne tgether by sending a bulk cancellatin request OR; In U2A mde, using Cancellatin Securities Instructin - New Screen By the end f business day all SIs (fr scenaris 2 and 3) can be put n hld; In A2A mde, send settlement mdificatin request t mdify the hld indicatrs t put the relevant instructins n hld (CSD hld preferably); can be dne tgether by sending a bulk settlement mdificatin request in A2A mde using SecuritiesSettlementCnditinMdificatinRequest OR; In U2A mde, each instructin must be individually mdified, t update the hld indicatr using Hld/Release Instructin - New Screen Subsequent r later cancellatin f all SIs (fr scenaris 2 and 3) that were put n hld Retrieve infrmatin n the SF1 and SF2 f pending transactins fr reprting requirements Refer t slides in the Appendix, fr details n tls t retrieve settlement instructins pertaining t SF1 and SF2 16

19 Rubric Inslvency f CSD/CB participants in T2S Scenaris 5 and 6 Prerequisites (t be dne at time f migratin t T2S): The usage f MSA is required s that the rule can be triggered n the day f inslvency. The cnfiguratin belw can als be perfrmed at party (i.e. CSD participant) level if needed. In nrmal perating mde, the restrictin rules are active and checked but d nt apply t any SI. Create MSA at securities accunt level, e.g. AccuntStatus, with values t be: Active, CSD-Suspended, NCB-Suspended Assign a value t each securities accunt. In nrmal perating mde, all accunts will have the status Active ; Define fllwing psitive restrictin rules: Fr CSD participant inslvency: If securities mvement type = DELI and AccuntStatus = CSD-Suspended, and MSA cnfigured as DEBIT, reject; Fr NCB participant inslvency: if securities mvement type = RECE and AccuntStatus = NCB-Suspended, and MSA cnfigured as CREDIT, and Credit/Debit indicatr = DBIT, reject Fr NCB participant inslvency (cvers special case f DWP): if securities mvement type = DELI and AccuntStatus = NCB- Suspended, and MSA cnfigured as DEBIT, and Credit/Debit indicatr = DBIT, reject Define negative restrictin rules (exceptins t bypass the rejectin) fr transactins n behalf f the liquidatr, based n e.g. ISO transactin cde r the Instructing Party (ideally a standardised exceptin shall be agreed upn CSDs): Examples: If AccuntStatus = CSD-Suspended, and ISO transactin cde = TURN, d nt reject Steps: If AccuntStatus = NCB-Suspended, and Instructing Party = BICOFCSDXXX, d nt reject When the CSD is made aware f the inslvency, update the impacted accunt(s) status with the MSA value Suspended All new incming SIs fulfilling the cnditins defined in the psitive restrictin rules will be rejected at validatin in T2S, unless they fulfil the cnditins defined in the negative rules 17

20 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 18

21 Rubric Inslvency f CSD/CB participants in T2S Inslvency Operatr made aware SM cnference call All parties cnfirming readiness 16:00 DVP cut-ff 16:30 Reimbursement aut-cllat. 18:00 FOP cut-ff End-f-day t in t aw t cc t T2S Operatr Query securities accunt and DCA links Bradcast t all T2S Actrs Manual cancellatin f aut-cllat. reimbursement instructins CSD system Operatr Update accunt status t trigger restrictin rule (SC 5 and 6) Retrieve and cancel impacted unmatched settlement instructins (SC4) Retrieve inf n SF1 and SF2 fr pending instructins Query and put n hld unsettled transactins (SC2 and 3) Cancel transactins put n hld Apply blcking n inslvent accunt/party Revke privileges Remve blcking n accunt/party level Manual relcatin f cllateral CB system Operatr Set aut-cllat limit t zer Delete predefined and standing liquidity transfers rders Change main PM accunt 19

22 Rubric Inslvency f CSD/CB participants in T2S ECB-RESTRICTED UPDATABLE Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 20

23 Rubric Inslvency f CSD/CB participants in T2S Knwn limitatins in the present set-up 1. Trigger rejectin f SIs based n the inslvency f a DCA hlder as required by Scenari 6 is nt pssible in certain scenaris (*) a. MSAs cannt be defined fr DCAs and used as parameter fr the cnfiguratin f restrictin rules n settlement instructins Currently, restrictin rules with bject restrictin type SI (Case 1) have t be cnfigured with the securities accunt (SAC) as parameter. Usage f MSA is als required in rder fr the restrictin rule t be active n the day f inslvency. Hwever, as the relatinship between securities accunts and DCAs can be ne-tmany, there is a risk t reject mre than intended when using MSA n SAC as parameter (see Example 1 f the Appendix). If a securities accunt is linked t several DCAs, a restrictin rule based n CSD Validatin Hld (see Example 2 f the Appendix) has t be used instead. N existing CR cvers this requirement b. Default DCA is nly derived at the mment f settlement Currently, the default DCA, i.e. nt ppulated in the SI, is nly derived at the time f settlement. Restrictin rules that wuld be based n DCA as parameter (change a required) wuld nt be triggered if the DCA is nt ppulated in the settlement instructin. CR 547 freseen fr Release 1.2 cvers this requirement (*) These limitatins are relevant in the cntext f the inslvency f a DCA hlder when a securities accunt is linked t several DCAs belnging t different parties. In ther cases, limitatins are vercme with the triggering f the rule n SAC level. 21

24 Rubric Inslvency f CSD/CB participants in T2S Knwn limitatins in the present set-up 2. Matching (SF2) cannt be prevented in case f inslvency In the current implementatin f the T2S functinality, a SI can be rejected (SF1) r put n hld at the time f business validatin. It is als pssible t blck settlement (SF3) using specific rules. There is hwever, nt a pssibility t prevent instructins frm matching (SF2) in case f need, such as inslvency f a CSD participant. This is relevant fr scenari 4(*), where the unmatched instructins shuld be cancelled immediately in rder t avid further pssibility f matching (as nce matched, SIs require bilateral cancellatin which may be peratinally cumbersme in crss-csd scenaris). Until then, there culd be a risk f matching and subsequent need fr bilateral cancellatin even after the status f the SAC has been updated (i.e. t trigger Case 1 restrictin rules n new incming SIs) (*) Transfer rders entered after the pening f inslvency prceedings, which were nt matched n the T2S platfrm by the time the peratr becmes aware 22

25 Rubric Inslvency f CSD/CB participants in T2S Knwn limitatins in the present set-up 3. Tls available fr retrieval f SF1/SF2 timestamps f impacted instructins are deemed inadequate in the cntext f inslvency, i.e. peratinally cumbersme Currently, T2S stres the SF1 (accepted) and SF2 (matched) timestamps fr each settlement instructin, which can be retrieved by means f standard T2S queries. T2S Actrs are infrmed in push mde with the timestamp f the generated status advice sese.024 prduced after SF1 (accepted) and SF2 (matched), but are nt infrmed with the actual SF1/SF2 timestamps as stred in the database, due t the lack f ISO fields in the status advice sese.024 message schema. Furthermre, the current query functinality available fr retrieving the instructins/transactins specific t each scenari (as described n slide 5), and their related SF1/SF2 timestamps, is perceived t be inadequate and peratinally cumbersme: T2S Actrs need t perfrm several queries t retrieve a settlement instructin and its specific SF1/SF2 timestamp. 23

26 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 24

27 Rubric Inslvency f CSD/CB participants in T2S Change request(s) t address the identified gaps Requirement 1: It must be pssible by ne single actin per T2S DCA t trigger the rejectin f the settlement instructins submitted by the inslvent party r n its behalf and intended t debit the DCA f that inslvent party. This requirement is seen as a sine qua nn cnditin fr the entry int frce f the Cllective Agreement. It shall therefre have the highest pririty. Requirement 2: In additin t preventing settlement instructins t reach mment f entry (SF1) and mment f finality (SF3) by means f restrictin rules, there must als be a feature in T2S t prevent settlement instructins t frm reaching mment f irrevcability (SF2), i.e. matching, in case f inslvency f a CSD participant r DCA hlder. This requirement is nt seen as a sine qua nn cnditin fr the entry int frce f the Cllective Agreement. It is seen as an peratinal risk, which shuld be cvered in the lnger run. Requirement 3: The reprting mechanism must be enhanced t allw the retrieval f the settlement instructins impacted by inslvency and their related SF1/SF2 timestamps in an efficient and standard way via standardised A2A/U2A query r reprts, and/r intimatin f the SF1/SF2 timestamps fr each settlement instructin by means f the real-time status advice sese.024. This requirement is cnsidered by sme members f the Task Frce as a pre-requisite fr the entry int frce f the Cllabrative Agreement. Nne f these requirements crrespnd t legal gaps / shwstpper. They crrespnd t functinal gaps and aim at simplifying the peratinal prcedures. Three draft change requests were prepared by the Task Frce. If supprted by the CSG, they culd be wrked ut by the CRG/OMG. 25

28 Rubric Inslvency f CSD/CB participants in T2S Overview Legal and peratinal requirements Scenaris Tlbx available in T2S Mapping tlbx t Scenaris 5 Overall steps 6 Knwn limitatins in the present set-up 7 Pssible change request 8 Appendix 26

29 Rubric Inslvency f CSD/CB participants in T2S Example 1: Case 1 rejectin rule SAC linked t several DCAs DCA1 Payment Bank A DCA2 Payment Bank B SAC 1 CSD Participant A CMB link SAC 2 CSD Participant B Payment Bank A is suspended; SAC 3 CSD Participant C CSD(s) change(s) status f SAC1/2/3 accrdingly frm Active t NCB-Suspended ; New incming SIs against payment n SAC 1/2/3 are rejected immediately after the status has been updated. All SIs sent n SAC 1/2/3 will be rejected, even in the case where the DCA2 belnging t Payment Bank B is used by CSD participant C in the transactin. Rejectin rule is nt suitable in this case. 27

30 Rubric Prcedures fr inslvency f DCA hlders Example 2: Case 1 CVAL rule SAC linked t several DCAs DCA1 Payment Bank A DCA2 Payment Bank B SAC 1 CSD Participant A CMB link SAC 2 CSD Participant B Payment Bank A is suspended; SAC 3 CSD Participant C CSD(s) change(s) status f SAC1/2/3 accrdingly frm Active t NCB-Suspended ; New incming SIs against payment n SAC 1/2/3 are put n CSD Validatin Hld immediately after the status has been updated. All SIs n SAC 1/2/3 will autmatically be put n hld, even in the case where the DCA2 belnging t Payment Bank B is used by CSD participant C in the transactin. All SIs linked t DCA1 must be manually cancelled; SIs linked t DCA2 must be manually released CVAL rule implies additinal peratinal wrklad 28

31 Rubric Inslvency f CSD/CB participants in T2S Retrieve settlement instructins fr SF1 Currently, in the ISO message cntent f the sese.024 real-time status advice message, there is n specific field* t indicate the accepted (SF1) timestamp f an settlement instructin The impacted settlement instructins fr SF1 can be retrieved real-time, using the semt.026 Settlement Instructin Status Audit Trail Query query type in A2A (see sectin f UDFS v2.0) r Settlement Instructins Search/List Screen in U2A (see sectin f UHB v2.0) with search criterin instructin status type as accepted between specific timestamps r equal t a timestamp, amngst ther parameters**. The accepted timestamp per SI is nt retrieved directly in the query result. Fr each f the retrieved instructin belw queries culd be autmated t extract the SF1 timestamp. The SF1 infrmatin fr a single instructin is als retrievable using specific queries such as; In A2A, using query SecuritiesTransactinStatusQuery sese.021 (see sectin f UDFS v2.0) t retrieve the audit trail details f a settlement instructin In U2A, using Status Histry - Details Screen r "Revisins/audit trail list screen (see sectin and sectin f UHB v2.0) fr the settlement instructin details *After acceptance f an SI, T2S prvides the timestamp f the sese.024 generatin in the real-time status advice. There is a very shrt lapse f time (apprx 2-3 sec frm EAT data) between the actual matching f the SI and the sese.024 generatin timestamp. An ISO change wuld be needed t the sese.024 t include a specific field fr reprting the acceptance timestamp **Refer t the additinal parameters fr the A2A query under business rule IIMP124. Nte that fr the GUI screen, the field Cancellatin status with value Nt Cancelled culd be used fr SF1 specific instructins. 29

32 Rubric Inslvency f CSD/CB participants in T2S Retrieve settlement instructins fr SF2 Currently, in the ISO message cntent f the sese.024 real-time status advice message, there is n specific field* t indicate the matched (SF2) timestamp f an settlement instructin The impacted settlement instructins fr SF2 can be retrieved real-time, using the semt.026 Settlement Instructin Status Audit Trail Query query type in A2A (see sectin f UDFS v2.0) r Settlement Instructins Search/List Screen in U2A (see sectin f UHB v2.0) with search criterin instructin status type as matched between specific timestamps r equal t a timestamp, amngst ther parameters**. The matched timestamp per SI is nt retrieved directly in the query result. Fr each f the retrieved instructin belw queries culd be autmated t extract the SF2 timestamp. The SF2 infrmatin fr a single instructin is als retrievable using specific queries such as; In A2A, using query SecuritiesTransactinStatusQuery sese.021 (see sectin f UDFS v2.0) t retrieve the audit trail details f a settlement instructin In U2A, using Status Histry - Details Screen r "Revisins/audit trail list screen (see sectin and sectin f UHB v2.0) fr the settlement instructin details *After matching f an SI, T2S prvides the timestamp f the sese.024 generatin in the real-time status advice. There is a very shrt lapse f time (apprx 2-3 sec frm EAT data) between the actual matching f the SI and the sese.024 generatin timestamp. An ISO change wuld be needed t the sese.024 t include a specific field fr reprting the matching timestamp **Refer t the additinal parameters fr the A2A query under business rule IIMP