SCHEDULE OF A SETTLEMENT DAY IN T2S DETAILED DESCRIPTION

Transcription

1 SCHEDULE OF A SETTLEMENT DAY IN TS DETAILED DESCRIPTION 4 5 TS Project Office Reference: /00/ Date: 0 November 00 Version:.4 Status: Final 6

2 TABLE OF CONTENTS INTRODUCTION 4. Scope of the Document 4. Structure of the Document 4. References 4.4 List of Figures 5 SCHEDULE OF A SETTLEMENT DAY IN TS 6. Setup of the harmonised schedule 6.. TS Calendar 6.. Management of the schedule of a settlement day in TS 7.. Management of the cut-offs and dependencies in TS 8. TS Schedule Overview 9.. High Level Diagram of the TS schedule 0.. Overview of the TS settlement day DETAILED DESCRIPTION OF THE TS SCHEDULE. Start of Day (SOD).. Services available during the Start of Day (SOD).. Start of Day (SOD) Schedule 4.. Start of Day (SOD) Process Dependencies 5..4 Start of Day (SOD) Processes 6. Night-time Settlement (NTS) 8.. Services available during Night-time Settlement (NTS) 9.. First Night-time Settlement Cycle.. First Night-time Settlement Cycle Process Dependencies..4 First Night-time Settlement Cycle - Processes 6..5 Last Night-time Settlement Cycle..6 Last Night-time Settlement Cycle - Dependencies 4..7 Last Night-time Settlement Cycle - Processes 7. Maintenance Window 4.. Services available during Maintenance Window 4.4 Real-time Settlement (RTS) 4 Version:.4 Page: of 79 Status: Final

3 Services available during the Real-time Settlement (RTS) 4.4. Real-time Settlement Schedule Real-time Settlement Process - Dependencies Real-time Settlement Processes Real-time Settlement Closure: Schedule Real-time Settlement Closure period: Process - Dependencies Real-time Settlement Closure Period: Processes 55.5 End of Day (EOD) 6.5. Services available during the end of day (EOD) 6.5. End of Day Schedule 6.5. End of Day Process - Dependencies End of Day Processes 65 4 APPENDICES List of Abbreviations Consolidated set of processes in a settlement day in TS 68 Version:.4 Page: of 79 Status: Final

4 INTRODUCTION. Scope of the Document The scope of this document is to present the TS harmonised schedule in a normal TS settlement day applicable for all markets. It provides a detailed timeline and description of the processes within a TS settlement day. This document does not cover the impact or implementation details of the schedule in TS within the internal IT systems of TS Actors the internal CSD timelines and local market practices. The current assumption is that a TS deadline will de facto became a local market deadline, but this is a decision of each local market to take. the technical dependencies in the course of a settlement day or the discussions regarding MOP for operational dependencies or business continuity processes 5. Structure of the Document This document contains below sections: Section (Schedule of a settlement day in TS) provides a high level overview of the TS harmonised schedule. Section (Detailed description) provides a detailed description of the TS harmonised schedule and the related TS services. The descriptive text in this document also refers to the user requirements as published in the user requirements document (URD 5.0), where applicable. It is marked as {TS.xx.yyy} where xx denotes the chapter in the User Requirement Document and the yyy denotes the requirement number within the chapter. The last section (section 4) provides the appendices. 7. References 8 TS User Requirement Document Version 5.0 Version:.4 Page: 4 of 79 Status: Final

5 General Functional Specifications Version 4.0 Feedback from previous workshop on Schedule of a settlement day held on.oct.00.4 List of Figures Figure # Title. Flow of Dependencies. High level view of TS Schedule. Start of day period 4. Start of day period Dependency chart 5. First NTS cycle 6. First NTS cycle Dependency chart 7. Last NTS cycle 8. Last NTS cycle Dependency chart 9. Maintenance Window 0. Real-time settlement period. Real-time settlement period Dependency chart. Real-time settlement closure period. Real-time settlement closure period Dependency chart 4. End of day period 5. End of day period Dependency chart 4 Version:.4 Page: 5 of 79 Status: Final

6 SCHEDULE OF A SETTLEMENT DAY IN TS In line with the discussions in the TS Advisory Group (AG), TS adopts a harmonised schedule for all settlement activity in euro and non-euro currencies. There is a strong market request for schedule harmonisation in Europe and the market considers the launch of TS as a seminal factor contributing to the removal of Giovannini barrier 7. A harmonised schedule ensures higher degree of settlement efficiency, coordination of corporate actions management and settlement and improved fail rates in a cross border environment. This section includes a high-level description of the TS schedule setup including its usage by all markets in a single settlement day in TS.. Setup of the harmonised schedule TS Calendar TS facilitates settlement in Euro central bank money (i.e. settlements against payment or free of delivery) for which the calendar is the same as the calendar of TARGET {TS.0.0}. Further TS facilitates the settlement in non-euro central bank money according to the calendar for the opening days of the relevant central bank {TS.0.0}. TS will maintain a TS Operating day calendar, which will include the opening days and closing days for all TS settlement currencies, based on Closing days by currency calendar {TS..70}. Closing Day is used to check if settlement in a specific currency is allowed in a specific day or not. All Saturdays, Sundays and other specific days such as 5, 6 December and January, for any type settlement will be common closing days for all currencies. TS will be open for settlement aligning to the opening days of NCBs. In general, TS is open from Monday to Friday every week. At the end of a Friday settlement day (or the last TS operating day of the week), TS moves to the next Monday (or the next first TS operating day of next week) as settlement day. TS will perform the related schedule until the end of the night- National differences in operating hours/settlement deadlines On May and Easter period Version:.4 Page: 6 of 79 Status: Final

7 time settlement period (e.g. finishing during the night between Friday and :00 a.m. on Saturday). On Monday at 5:00 a.m., TS starts performing the schedule with the preparation of the real-time settlement as the continuation of the same settlement day {TS.0.40}. During the weekends, TS interfaces and processes are not available on a regular basis {TS.0.50} due to the technical maintenance activities, which are regularly executed. Outside the latter and based on specific needs, TS can provide such services also during the remaining hours of the week-end upon specific request {TS.0.60} Management of the schedule of a settlement day in TS The TS schedule will be under the control of the TS operator, for creation of any new time, changing and/or deletion of existing time for a period or event. The TS Operator will have the necessary privileges by default to perform temporary or permanent changes to the TS schedule. TS will ensure that the TS schedule will always conform to the Closing days by currency with any changes. TS manages the transition between the various periods as an event. TS manages a planned time, a revised time and an effective time for each such event {TS.0.05}. The planned time corresponds to the standard schedule applied by default by the TS platform for every TS settlement day. The TS Operator can update this planned time in case of a permanent change in the regular schedule {TS.0.06}. The revised time is the foreseen time for the current settlement day, which usually coincides with the planned time except when a delay has occurred. In contingency situations, the TS Operator updates the revised time while the planned time remains unchanged {TS.0.07}. The effective time is the time of the actual occurrence of the event during the current settlement day {TS.0.08}. The TS Operator is entitled to change some timings/ cut-offs of a settlement day, independently for a TS settlement currency, in exceptional circumstances or contingency situations, based on a request by the relevant central bank subject to the procedures defined in MOP. The change is valid for the current TS settlement day only {TS.0.0}. These currency dependent cut-offs are specific events within the TS daily schedule that have a cash component and are not a cut-off related to the TS centralised processing such as the start of day (SOD) and end of day (EOD). Such currency dependent cut-offs are: DVP cut-off Cash settlement restriction cut-off Version:.4 Page: 7 of 79 Status: Final

8 BATM cut-off CBO cut-off Although TS foresees the maintenance of individual TS settlement currency dependent cut-offs in exceptional circumstances, the TS operator will manage the overall processing of a settlement day based on a common TS schedule across all TS settlement currencies and CSDs, as depicted in the figure. There will be no schedule of a settlement day defined per currency in TS, i.e. only one planned time for all currencies will exist in TS. TS also foresees currency independent cut-offs/ events that are common for all markets. A few examples are Securities settlement restriction cut-off FOP cut-off Currency independent events/ processes Kindly refer to the detailed description in section of this document, for more information Management of the cut-offs and dependencies in TS There will be no schedule defined per currency in TS, i.e. only one harmonised currency-independent TS schedule will exist. However, to cater to the user requirement {TS.0.0}, TS provides allows the TS Operator to set a different cut-off for a specific TS settlement currency in TS, on request from the central banks only. Refer to section.. for more information. When a currency dependent cut-off is extended for a currency, then the start of its dependent processes (e.g. cash sweep) is automatically extended for the same currency. This change in cut-off will be valid only for the current TS settlement day. TS allows such a change under the following conditions The sequence of events/ cut-offs (predecessors and/or successors events) in TS must remain in tact. i.e. a currency dependent cut-off cannot be delayed beyond a successor scheduling event (cutoff/process/period) if this would have an impact on TS processing (e.g. a CBO cut-off for Danish Krona cannot be extended beyond the EOD cut-off for TS, which is the successor in the scheduling). In the exceptional cases that TS experiences a general issue across all currencies, it could be necessary that the TS Operator would need to extend a currency independent cut-off that has impact on TS processing, such as the EOD cut-off (e.g. the TS revised times would apply). In this case, TS ensures the dependencies of cut-offs is not changed. The decision of changing the occurrence of an event in TS Schedule, with a change to the cut-off Version:.4 Page: 8 of 79 Status: Final

9 can be subject to an external condition as the Red-light condition. o o TS will proceed with the processing unless a relevant TS Actor indicates a problem implying a Red-light. In case of such an event, the procedures to be determined in MOP will apply. TS will control the execution of the processes such that the start of a subsequent process depends on the completion of the current process and/or the occurrence of a cut-off 0 However, for the start of a process, which is cut-off dependent and its preceding process, TS ensures that this process cannot start until the completion of the previous process and the cut-off time is reached. 4. TS Schedule Overview TS provides a harmonised schedule for all settlement procedures. The settlement day in TS includes four periods as listed in the next sub-section. Each period includes different processes of the TS settlement day {TS.0.00} as detailed below. Version:.4 Page: 9 of 79 Status: Final

10 High Level Diagram of the TS schedule The schedule of a settlement day in TS constitutes the major periods as listed below Start of Day Night-time Settlement Maintenance Window Real-time Settlement End of Day The high-level diagram Figure, shows the major periods of the TS settlement day, with indicative times. Version:.4 Page: 0 of 79 Status: Final

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12 .. Overview of the TS settlement day The settlement day in TS runs along the following timing as per the URD: TIME TS PERIODS HIGH LEVEL DESCRIPTION 6.45 p.m. 7.0 p.m. SOD: Start of Day Change of business date in TS and preparation for night-time settlement 7.0 p.m..00 a.m. NTS: Night-time Settlement Settlement with multiple cycles (proposed cycles) in night-time settlement period First night-time cycle with reporting and static data update Last night-time cycle (with partial settlement) with reporting and static data update. ~.00 a.m p.m. RTS: Real-time Settlement (with a maintenance window) Real-time settlement followed by settlement with partial settlement periods and real-time settlement closure period Refer to section. for details on maintenance window 6.00 p.m p.m. EOD: End of Day Close of the current TS business day Version:.4 Page: of 79 Status: Final

13 DETAILED DESCRIPTION OF THE TS SCHEDULE This section describes the breakdown and the detailed description of all period in the harmonised schedule for all TS relevant CSDs. A detailed listing of the instructions/ messages processed in a TS Settlement day are listed in section 4. of this document TS also provides a list of additional services to the TS Actors in the course of a TS settlement day, such as Information broadcast for change in status of schedule Reports Queries Kindly refer to the section 4., 4. in GFS for more information. Start of Day (SOD) This section presents the Start of day processes in the harmonised schedule. The SOD period starts after the successful completion of the previous EOD period and is followed by the night-time settlement period. The SOD period concentrates on the change of the TS business date and preparation of the night-time settlement period. It includes the processing of the feed from collateral management systems (CMS) and other settlement/ payment banks for the reference prices, eligible assets and counterparties (for valuation purposes). TS also identifies any static data updates (which were accepted in the previous TS settlement days) eligible for the current TS settlement day Services available during the Start of Day (SOD) The following TS services are available during the SOD as per {TS.0.0} {TS.0.0} {TS.06.0}. Interface Static Data Management Instruction Validation (and Matching 4 ) for o Settlement Instructions 4 The matching services are not relevant for settlement restrictions or maintenance instructions Version:.4 Page: of 79 Status: Final

14 4 5 6 o Settlement Restrictions o Instruction maintenance Liquidity Management for o Liquidity Transfers Queries and Reports These services will be available to all TS Actors Start of Day (SOD) Schedule The figure shows the different processes occurring during the start of day period along with the list of available services. Version:.4 Page: 4 of 79 Status: Final

15 4.. Start of Day (SOD) Process Dependencies During the SOD period, TS performs the following detailed processes based on the specified dependencies. The figure 4 shows the flow of dependencies in the SOD period. 5 6 # SOD detailed processes Dependencies Type of dependency (i.e. Trigger) Description. Change of TS business date Business event: Business date change event This process starts on the occurrence of the Start of day event from the scheduler, which will occur after the successful close Version:.4 Page: 5 of 79 Status: Final

16 Dependencies + Time event: 6.45 p.m. CET of the previous business day. In addition this process will not start before 6.45 p.m. CET.. Preparation of night-time settlement revalidation of instructions Business event: After the change of business date This process starts after the change of business date.. Preparation of night-time settlement Process data feeds Time event: 7.00 p.m. CET This process will not start before the start time for processing of data feeds 4. Preparation of night-time settlement Collateral valuation Business event: After the end of processing of data feeds and end of the revalidation of instructions This process will start after the end of previous processes: Processing of data feeds and the end of revalidation of instructions 4..4 Start of Day (SOD) Processes During the SOD period, TS processes the following steps in relation to the flow of dependencies (shown in figure 4) as detailed in the below table: SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. Change of TS business date {TS.0.00} o o Changes the TS business date according to the TS operating day calendar Creates the new TS settlement day schedule on the basis of the default schedule of events and its planned times. Preparation of the night-time o TS revalidates settlement instructions and settlement restrictions against the static data valid as of the new TS business date {TS.0.050}. The Version:.4 Page: 6 of 79 Status: Final

17 SEQ. # TS PROCESSES settlement revalidation of instructions {TS.0.00} DESCRIPTION OF THE PROCESS instructions to be revalidated are: The settlement instructions and settlement restrictions that remain unsettled or partially settled from the previous settlement day and which are recycled for the current settlement day The amendment instructions, cancellation instructions and Hold/Release instructions remaining as not executed from the previous settlement day. However, settlement Instructions/ settlement restrictions and its maintenance under four eyes processing in the status awaiting for approval, are not submitted to revalidation.. Preparation of the night-time settlement Process data feeds o o TS receives data feeds from the different collateral management systems of central banks and other settlement/ payment banks and processes them accordingly for collateral eligible securities securities references prices close link checks eligible counterparty list 5 Note: TS will accept and process these inputs until the start time for processing data feeds from collateral management systems. This start time is the final deadline to accept such data feeds effective for the current business day. TS will process these feeds as soon as it is available and use the information for any subsequent validation, acceptance and settlement of settlement instructions, settlement restrictions and liquidity transfers only. TS will not re-evaluate the already settled (or partially settled) settlement instructions/ settlement restrictions/ liquidity transfers prior to the processing of these feeds. TS does not revaluate the unsettled part of the partially settled instructions, before processing the data feeds. TS processes all static data updates including the limit updates (for external guarantee, client collateralisation, unsecured limit, NCB auto- 5 For EUR currency, TS expects to receive the eligible counterparty list from CCBM Version:.4 Page: 7 of 79 Status: Final

18 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS collateralisation limit) received from an NCB or its settlement/ payment banks. In case of an intraday data feed or an update, the procedures defined in MOP will apply. TS will not provide an automated facility to process such intraday updates. 4. Preparation of the night-time settlement collateral valuation o o TS valuates the securities positions in all eligible securities accounts for auto-collateralisation/ client-collateralisation purposes {TS.0.060} based on the latest securities prices of eligible securities and related feedin available as of the current settlement day TS valuates the collateral eligible Settlement Transactions for the current TS settlement day based on the latest available securities prices of eligible securities as of the current settlement day. Night-time Settlement (NTS) This section presents the night-time settlement processes in the harmonised schedule. For the ease of presentation, the night-time settlement period is shown in two parts of batch settlement, each one referring to a settlement cycle. The NTS period starts after the successful completion of the SOD period followed by the maintenance window and the real-time settlement period. NTS Processing During the night-time settlement period, TS is processing the settlement instructions in sequences within cycles {TS.0.090} {TS.0.00}. TS submits settlement transactions for settlement according to an automatic pre-defined order, called sequence. A settlement cycle may consist of more than one sequence (for settlement of different types of settlement transactions). In each NTS sequence, TS processes those new settlement transactions received before the start of the sequence which are eligible for settlement at this sequence. Version:.4 Page: 8 of 79 Status: Final

19 Includes pending settlement transactions not settled during previous sequences {TS.0.0} TS validates and accepts the static data maintenance instructions during the night-time settlement period on a continuous basis. However, TS processes these updates only during the processing periods between the different sequences {TS.0.0}. TS sends the information on the status of the static data maintenance instructions to TS Actors immediately after end of processing (i.e. acceptance/ execution) of a static data object maintenance. For the relevant static data update 6, TS also performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Similarly, TS processes any instruction query received during a settlement cycle run, immediately with a query response back to the relevant TS Actor. The night-time settlement processes involve the following major steps in the given order Night-time settlement cycles which include different settlement sequences and intermediate static data updates with revalidation of pending instructions Followed by a sequence reporting at the end of every settlement sequence Note: The exact timing needed to perform the sequences and the time available for the sequence reporting will be defined at a later stage, but the dependencies defined in this document will be ensured. NTS Reporting TS will generate full or delta reports as per the report configuration setup of the relevant TS Actors, at the end of the each night-time settlement sequence {TS.0.0}; TS will also send the messages such as status advices, settlement confirmations, posting notifications, etc that were queued due to an execution of a settlement sequence to the relevant TS Actors Services available during Night-time Settlement (NTS) The following services are available during the night-time settlement periods as per {TS.0.0} {TS.0.0} {TS.06.0}. Interface Static Data Management Instruction Validation (and Matching) for 6 Kindly refer to Section.. of GFS for more information Version:.4 Page: 9 of 79 Status: Final

20 o Settlement Instructions o Settlement Restrictions o Instruction maintenance Settlement Liquidity Management for o Liquidity Transfers Queries and Reports These services will be available for all TS Actors. Note: During the execution of night-time settlement sequences, TS will not respond to queries 7 related to securities positions/ holdings or cash balances. If these queries are received via UA, they will be rejected. If TS receives the queries via AA, they will be queued and processed during the next reporting phase. 7 The queries are: - Securities account position query - TS DCA cash balance query - TS overall liquidity query - TS cash forecast query - Limit utilisation query - Limit utilisation journal query - Total collateral value per TS Dedicated Cash Account Query - Collateral Value per TS Dedicated Cash Account Query - Collateral Value of a Security Query - Outstanding Auto-Collateralisation Credit Query Version:.4 Page: 0 of 79 Status: Final

21 .. First Night-time Settlement Cycle The figure 5 shows the different processes occurring during the night-time settlement period for the first settlement cycle, along with the list of available services. 4 Version:.4 Page: of 79 Status: Final

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23 First Night-time Settlement Cycle Process Dependencies During the NTS period in the first settlement cycle, TS performs the following detailed processes based on the specified dependencies. The figure 6 shows the flow of dependencies in the first cycle of NTS period. Version:.4 Page: of 79 Status: Final

24 Process NTS detailed processes Dependencies sequence # First cycle Type of dependency (i.e. Description Trigger). Sequence 0 (Liquidity Business event: End of SOD This process starts after the processing of Version:.4 Page: 4 of 79 Status: Final

25 Process NTS detailed processes Dependencies sequence # First cycle Type of dependency (i.e. Description Trigger) Transfers) period all queued messages. Sequence 0 reporting Business event: End of Sequence 0. Process queued messages Business event: End of Sequence 0 This process starts after the previous process of sequence 0 has ended This process starts after the previous process of sequence 0 has ended 4. Sequence (CA on Stock, Liq. transfers) Business event: End of processing queued messages This process starts after the processing of all queued messages 5. Sequence reporting Business event: End of Sequence 6. Process queued messages Business event: End of Sequence This process starts after the previous process of sequence has ended This process starts after the previous process of sequence has ended 7. Sequence (Rebalancing FOP, CA on Stock, Liq. transfers) Business event: End of processing queued messages This process starts after the processing of all queued messages 8. Sequence reporting Business event: End of Sequence 9. Process queued messages Business event: End of Sequence This process starts after the previous process of sequence has ended This process starts after the previous process of sequence has ended Version:.4 Page: 5 of 79 Status: Final

26 Process NTS detailed processes Dependencies sequence # First cycle Type of dependency (i.e. Description Trigger) 0. Sequence (CBO, Rebalancing FOP, CA on Stock, Liq. transfers) Business event: End of processing queued messages This process starts after the processing of all queued messages. Sequence reporting Business event: End of Sequence. Process queued messages Business event: End of Sequence This process starts after the previous process of sequence has ended This process starts after the previous process of sequence has ended. Sequence 4 (CA on Stock + Flows, all trades, CBO, FOP, Liquidity transfers) Business event: End of processing queued messages This process starts after the processing of all queued messages 4. Sequence 4 reporting Business event: End of Sequence 4 (first cycle) This process starts after the previous process of sequence 4 has ended 4..4 First Night-time Settlement Cycle - Processes During the night-time settlement period for first cycle, TS performs the processes as detailed in the below table SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. Settlement Only the following instructions validated and accepted by TS before start of Version:.4 Page: 6 of 79 Status: Final

27 SEQ. # TS PROCESSES sequence 0 DESCRIPTION OF THE PROCESS Sequence 0 are attempted for settlement in the following sequence Liquidity transfers transferring liquidity from RTGS accounts to TS Dedicated Cash Accounts (DCA) Internal Liquidity transfers transferring liquidity {TS.0.070} {TS.06.06} {TS.06.0} o o from a TS DCA to another TS DCA of the same TS Party from a TS DCA to another TS DCA each of which is linked to the same RTGS account TS regenerated cash settlement restrictions corresponding to CoSD blocking generated at the end of the previous settlement day. Any queued cash settlement restrictions from previous settlement day Additionally, TS responds to queries received via AA and processes static data maintenance instructions 8 TS also queues the maintenance on the restrictions which are under settlement during this sequence. Sequence 0 Reporting. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence 0 are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity 8 If the relevant Static Data change does not have an impact on the settlement process, then the SD maintenance instruction is processed immediately and exactly the same way it would be processed during the real-time settlement period. If the relevant SD change may have an impact on the settlement process, then the SD maintenance instruction is processed immediately anyway, even if it does not reach its final status (in order not to influence the settlement process). This pattern of processing is applicable in every night-time settlement sequence. Version:.4 Page: 7 of 79 Status: Final

28 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run 4. Settlement sequence Only the following instructions validated and accepted by TS before start of Sequence are attempted for settlement Settlement instructions related to Corporate Actions (CA) on stocks 9 {TS.07.00} {TS.09.70} All liquidity transfers orders {TS.06.0} as received by TS o o o Inbound liquidity transfers which transfers cash amount from an RTGS account to TS DCA Internal liquidity transfers which transfers cash amount between two TS DCA of the same party (or) between two DCA of different party but each DCA linked to the same RTGS account Outbound liquidity transfers which transfers cash amount from a TS DCA to an RTGS account TS does not attempt CA on flows for settlement during sequence. Additionally, TS responds to queries received via AA and processes static data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence 5. Sequence Reporting TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, 9 CA on stocks are events applicable on final securities positions (e.g. cash distributions). CA on flows are events related to pending transactions (e.g. market claims and transformations) Version:.4 Page: 8 of 79 Status: Final

29 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS settlement confirmations, posting notifications, etc to the relevant TS Actors. 6. Process Queued Messages The following messages which were validated and accepted during the execution of the sequence are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run 7. Settlement sequence Only the following instructions validated and accepted by TS before start of Sequence are attempted for settlement: FOP instructions for rebalancing purposes (i.e. between securities accounts of the same account holder) {TS } All liquidity transfers orders {TS.06.0} as received by TS o o o Inbound liquidity transfers which transfers cash amount from an RTGS account to TS DCA Internal liquidity transfers which transfers cash amount between two TS DCA of the same party (or) between two DCA of different party but each DCA linked to the same RTGS account Outbound liquidity transfers which transfers cash amount from a TS DCA to an RTGS account Settlement instructions related to CA on stocks {TS.09.70} This sequence also processes the unsettled settlement transactions in Sequence {TS.0.0} Additionally, TS responds to queries received via AA and processes static Version:.4 Page: 9 of 79 Status: Final

30 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence 8. Sequence Reporting 9. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, settlement confirmations, posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run 0. Sequence Only the following instructions validated and accepted by TS before start of Sequence are attempted for settlement: Central Bank Operations (CBO) {TS } All liquidity transfers orders {TS.06.0} as received by TS o o Inbound liquidity transfers which transfers cash amount from an RTGS account to TS DCA Internal liquidity transfers which transfers cash amount between two TS DCA of the same party (or) between two DCA of different party but each DCA linked to the same RTGS account Version:.4 Page: 0 of 79 Status: Final

31 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS o Outbound liquidity transfers which transfers cash amount from a TS DCA to an RTGS account Settlement instructions related to CA on stocks {TS.09.70} FOP instructions for rebalancing purposes {TS } This sequence also processes the unsettled settlement transactions in Sequence {TS.0.0} Additionally, TS responds to queries received via AA and processes static data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence. Sequence Reporting. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, settlement confirmations, posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run. Settlement sequence 4 TS attempts settlement of all validated and accepted instructions before start of sequence 4, for the current TS settlement day, as listed below. Version:.4 Page: of 79 Status: Final

32 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS Trade Settlement instructions of DVP type Trade Settlement instructions of FOP, PFOD type Settlement instructions related to CA on stocks and on flows, of DVP/ FOP/ PFOD type Securities Lending and Borrowing settlement instruction of DVP/ FOP type Release of Reimbursement of intraday auto-collateralisation/ clientcollateralisation instructions by settlement bank/ payment bank Settlement of REPO instructions Settlement of BATM instructions Settlement of CBO instructions Settlement of securities/cash restrictions instructions Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) This sequence also processes the unsettled settlement transactions in Sequence {TS } {TS.0.0} Additionally, TS responds to queries received via AA and processes static data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence 4. Sequence 4 Reporting TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, settlement confirmations, posting notifications, etc to the relevant TS Actors Last Night-time Settlement Cycle The figure 7 shows the different processes occurring during the night-time settlement period in the last settlement cycle along with the list of available services. Version:.4 Page: of 79 Status: Final

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34 Last Night-time Settlement Cycle - Dependencies During the NTS period in the last settlement cycle, TS performs the following detailed processes based on the specified dependencies. The figure 8 shows the flow of dependencies in the last cycle of NTS period. Version:.4 Page: 4 of 79 Status: Final

35 Process NTS detailed processes Dependencies sequence # Last cycle Type of dependency (i.e. Description Trigger). Process queued messages Business event: End of Sequence 4 in first nighttime settlement cycle This process starts after the previous process sequence 4 in first night-time settlement cycle has ended Version:.4 Page: 5 of 79 Status: Final

36 Process NTS detailed processes Dependencies sequence # Last cycle Type of dependency (i.e. Description Trigger). Sequence 4 (CA on Stock + Flows, all trades, CBO, FOP, Liquidity transfers) Business event: End of processing queued messages This process starts after processing all queued messages. Sequence 4 reporting Business event: End of Sequence 4 (last cycle) 4. Process queued messages Business event: End of Sequence 4 This process starts after the previous process of sequence 4 has ended This process starts after the previous process of sequence 4 has ended 5. Sequence X (partial settlement) Business event: End of processing queued messages This process starts after processing all queued messages 6. Sequence X reporting Business event: End of Sequence X 7. Process queued messages Business event: End of Sequence X This process starts after the previous process of sequence X has ended This process starts after the previous process of sequence X has ended 8. Sequence Y (Reimbursement of multiple liquidity provider ) Business event: End of processing queued messages This process starts after processing all queued messages 9. Sequence Y reporting Business event: End of Sequence Y This process starts after the previous process of sequence Y has ended Version:.4 Page: 6 of 79 Status: Final

37 Process NTS detailed processes Dependencies sequence # Last cycle Type of dependency (i.e. Description Trigger) 0. Process queued messages Business event: End of Sequence Y This process starts after the previous process of sequence Y has ended. Sequence Z (all liquidity transfers) Business event: End of processing queued messages This process starts after processing all queued messages. Sequence Z reporting Business event: End of Sequence Z This process starts after the previous process of sequence Z has ended..7 Last Night-time Settlement Cycle - Processes In continuation to the processes described in NTS first settlement cycle, the below table lists the subsequent processes in TS during the NTS period for the last settlement cycle. SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. Process Queued Messages The following messages which were validated and accepted during the execution of the sequence 4 of first night-time settlement cycle are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement Version:.4 Page: 7 of 79 Status: Final

38 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS sequence run. Settlement sequence 4 TS attempts settlement of all validated and accepted instructions before start of last settlement cycle, for the current TS settlement day, as listed below. Trade Settlement instructions of DVP type Trade Settlement instructions of FOP, PFOD type CA settlement instruction of DVP/ FOP/ PFOD type (for stocks and flows) Securities Lending and Borrowing settlement instruction of DVP/ FOP type Release of Reimbursement of intraday auto-collateralisation/ clientcollateralisation instructions by settlement bank/ payment bank Settlement of REPO instructions Settlement of BATM instructions Settlement of CBO instructions Settlement of securities/cash restrictions instructions Settlement of liquidity transfer orders (i.e. inbound, internal, outbound) This sequence also processes the unsettled settlement transactions in previous Sequence 4 (of settlement cycle ) {TS } {TS.0.0}. Additionally, TS responds to queries received via AA and processes the static data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence. Sequence 4 Reporting 4. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, settlement confirmations, posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence 4 of last night-time settlement cycle are executed Maintenance instructions Static data maintenance instructions Version:.4 Page: 8 of 79 Status: Final

39 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run 5. Settlement sequence X All eligible transactions (including the new instructions) for the current TS settlement day which are validated and accepted by TS before start of Sequence X are attempted for settlement all the settlement transactions not settled in Sequence 4 (of last settlement cycle) {TS.0.0}. Here, TS applies partial settlement to all fails (i.e. unsettled transactions) which are eligible for submission to partial settlement processing. {TS.0.5} {TS } {TS.08.0} Additionally, TS responds to queries received via AA and processes static data maintenance instructions TS also queues the maintenance on the instructions/restrictions which are under settlement during this sequence 6. Sequence X Reporting 7. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as settlement status advices, settlement confirmations, posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence X are executed Maintenance instructions Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) Version:.4 Page: 9 of 79 Status: Final

40 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run 8. Settlement sequence Y Only the following transactions are attempted for settlement: Reimbursement of the multiple liquidity providers : This reimbursement procedure involves the execution of a series of outbound liquidity transfers from a TS DCA (of a settlement/ payment bank in TS) to RTGS accounts (of the liquidity providers in RTGS system) {TS } in accordance to a preset sequence of reimbursement. Additionally, TS responds to queries received via AA and processes static data maintenance instructions 9. Sequence Y Reporting 0. Process Queued Messages TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as posting notifications, etc to the relevant TS Actors. The following messages which were validated and accepted during the execution of the sequence Y are executed Static data maintenance instructions For relevant static data update, TS performs a revalidation of the pending instructions (i.e. settlement instructions, settlement restrictions, liquidity transfers, maintenance instructions for settlement instructions/ restrictions) ensuring that all the pending instructions are valid for the current static data. Additionally, TS will respond to new queries received via UA/ AA and to those queries already received via AA but queued due to a settlement sequence run. Settlement sequence Z Only the following transactions are attempted for settlement: Version:.4 Page: 40 of 79 Status: Final

41 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS All liquidity transfer orders {TS.06.0} as received by TS o o o Inbound liquidity transfers which transfers cash amount from an RTGS account to TS DCA Internal liquidity transfers which transfers cash amount between two TS DCA of the same party (or) between two DCA of different party but each DCA linked to the same RTGS account Outbound liquidity transfers which transfers cash amount from a TS DCA to an RTGS account Additionally, TS responds to queries received via AA and processes static data maintenance instructions. Sequence Z Reporting TS generates all the reports, as per the report configuration setup and sends the generated reports to TS Actors as per the intended recipient list. TS will also send the messages such as posting notifications, etc to the relevant TS Actors.. Maintenance Window This section presents the Maintenance Window related processes in the harmonised schedule. This Maintenance Window will take place from.00 a.m. until 5.00 a.m., after the completion of the night-time settlement (NTS). In case the NTS completes before.00 a.m., real time settlement will commence until the start of the Maintenance Window at.00 a.m Services available during Maintenance Window During the Maintenance Window all the services are unavailable the messages received in applicationto-application mode during the Maintenance Window are queued at network level for processing until the Maintenance Window is completed. The figure 9 shows the different processes occurring during the real-time settlement period along with the list of available services. Version:.4 Page: 4 of 79 Status: Final

42 .4 Real-time Settlement (RTS) This section presents the Real-time Settlement processes in the harmonised TS schedule. The real-time settlement starts at completion of the last night-time settlement cycle and continues till the start of the real-time closure period, with different cut-offs for different transaction categories. Between this time span there are two partial settlement periods: one between :00 p.m. and :5 p.m. and the second partial settlement period is before the beginning of the DVP cut-off time, between.45 p.m. and 4.00 p.m. This period optimises maximum value and volumes of settlement transactions, which are unsettled because of lack of securities. The previously unsettled transactions from the last night-time settlement cycle are attempted for settlement in the real-time mode with the arrival of new resources (securities or cash or both). Additionally TS performs a settlement attempt for any new intraday settlement instructions validated and accepted during real-time settlement period. Refer to section. for details on Maintenance Window Version:.4 Page: 4 of 79 Status: Final

43 Services available during the Real-time Settlement (RTS) All services (as listed below) are available during the real-time settlement period as per {TS.0.0} {TS.0.0} {TS.06.0}. Interface Static Data Management Instruction Validation (and Matching) for o Settlement Instructions o Settlement Restrictions o Instruction maintenance Settlement Liquidity Management for o Liquidity Transfers Queries and Reports These services will be available for all TS Actors during the Real-time Settlement period. Additionally, these services are also available during the partial settlement periods ( & ). Version:.4 Page: 4 of 79 Status: Final

44 .4. Real-time Settlement Schedule 4 The figure 0 shows the different processes occurring during the real-time settlement period along with the list of available services. 5 6 Version:.4 Page: 44 of 79 Status: Final

45 Real-time Settlement Process - Dependencies During the RTS period, TS performs the following detailed processes based on the specified dependencies. The figure shows the flow of dependencies in the real-time settlement period. Version:.4 Page: 45 of 79 Status: Final

46 Version:.4 Page: 46 of 79 Status: Final

47 Process sequence # RTS detailed processes Dependencies Type of dependency (i.e. Trigger) Description. Real-time settlement preparation Business event: End of Previous process This process starts after the previous process has ended. This previous process can be the last nighttime settlement cycle. Real-time settlement period Business event: End of Real-time settlement preparation This process will not start before the previous real-time settlement preparation process has ended.. Partial settlement period Time event:.00 p.m. CET This process will not start before a planned time.00 p.m. CET 4. Partial settlement period Time event:.45 p.m. CET This process will not start before a planned time.45 p.m. CET Real-time Settlement Processes The real-time period is mainly intended for transactions eligible for same day settlement (i.e. T+0) and for settling transactions that failed to be settled during the last night-time settlement cycle {TS.0.60}. During the real-time settlement period, TS performs the processes as detailed in the below table SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. Real-time settlement Identify and process any queued static data updates already received in the AA mode (Refer to the section. for more details on maintenance Version:.4 Page: 47 of 79 Status: Final

48 SEQ. # TS PROCESSES preparation DESCRIPTION OF THE PROCESS window) Identify candidate list of new settlement instructions, settlement restrictions, maintenance instructions and liquidity transfers applicable for the current settlement day Identify all settlement instructions, settlement restrictions and maintenance instructions, which did not settle/ execute during night-time settlement period and re-cycled for real-time settlement after a revalidation of the instructions with the current static data.. Real-time settlement period Real-time settlement of new settlement instructions arriving into TS and settlement of previous unsettled settlement instructions with the arrival of new resources (securities or cash or both) for the following Trade Settlement instructions of DVP type Trade Settlement instructions of FOP, PFOD type CA settlement instruction of DVP/ FOP/ PFOD type Securities Lending and Borrowing settlement instruction of DVP/ FOP type Release of Reimbursement of intraday auto-collateralisation/ clientcollateralisation instructions by settlement bank/ payment bank Settlement of REPO instructions Settlement of BATM instructions Settlement of CBO instructions Settlement of securities/cash restrictions instructions Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) TS also performs the following Execution of static data maintenance instruction Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Responses to queries Version:.4 Page: 48 of 79 Status: Final

49 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. Partial settlement period At.00 p.m. CET All the processes available during the real-time settlement period are available. Additionally, partial settlement of new settlement instructions arriving into TS in this period and eligible for partial settlement and settlement of previous unsettled or partially settled settlement instructions which are eligible for partial settlement for the following transactions categories Trade Settlement instructions of DVP type Trade Settlement instructions of FOP type 4. Partial settlement period At.45 p.m. CET All the processes available during the real-time settlement period are available. Additionally, partial settlement of new settlement instructions arriving into TS in this period and eligible for partial settlement and settlement of previous unsettled settlement instructions which are eligible for partial settlement for the following transactions categories Trade Settlement instructions of DVP type Trade Settlement instructions of FOP type Version:.4 Page: 49 of 79 Status: Final

50 .4.5 Real-time Settlement Closure: Schedule The figure shows the different processes occurring during the real-time settlement closure period along with the list of available services. 4 5 Version:.4 Page: 50 of 79 Status: Final

51 Real-time Settlement Closure period: Process - Dependencies In continuation to the RTS period, TS performs the following detailed processes based on the specified dependencies. The figure shows the flow of dependencies in the real-time settlement closure period. Version:.4 Page: 5 of 79 Status: Final

52 Version:.4 Page: 5 of 79 Status: Final

53 Process RTS detailed Dependencies sequence # processes Type of dependency (i.e. Trigger) Description. DVP cut-off Time event: 4.00 p.m. CET + Business event: end of previous partial settlement period process This process will not start before a planned time 4.00 p.m. CET and will start only after the end of previous process: partial settlement period. In case of emergency situations a change of an DVP cut-off will only be possible according to a process defined in the MOP.. Cash settlement restrictions cut-off Time event: 4.00 p.m. CET + Business event: end of previous partial settlement period process This process will not start before a planned time 4.00 p.m. CET and will start only after the end of previous process: partial settlement period. In case of emergency situations a change of cash settlement restriction cut-off will only be possible according to a process defined in the MOP.. Release of unused cash settlement restrictions Business event: end of previous cash settlement restriction cut-off process + end of DVP cut-off procedures This process will start only after the end of previous process: cash settlement restriction cut-off procedures and end of DVP cut-off procedures 4. Reimbursement of autocollateralisation provided by NCBs + conversion of autocollateralisation to Business event: end of previous release of unused cash restriction process This process starts after the end of the previous process: release of unused cash restriction Version:.4 Page: 5 of 79 Status: Final

54 Process RTS detailed Dependencies sequence # processes Type of dependency (i.e. Trigger) Description intraday credit 5. Optional cash sweep Business event: end of reimbursement This process starts after the end of the previous process: Reimbursement of autocollateralisation provided by NCBs 6. BATM cut-off Time event: 5.40 p.m. CET + Business event: end of automatic reimbursement This process will not start before a planned time 5.40 p.m. CET and starts after the end of automatic reimbursement In case of emergency situations a change of BATM cut-off will only be possible according to a process defined in the MOP. 7. CBO cut-off Time event: 5.40 p.m. CET + Business event: end of automatic reimbursement This process will not start before a planned time 5.40 p.m. CET and starts after the end of automatic reimbursement In case of emergency situations a change of CBO cut-off will only be possible according to a process defined in the MOP. 8. Inbound liquidity transfer cut-off Time event: 5.45 p.m. CET + Business event: end of BATM cut-off procedures + end of CBO cut-off This process will not start before a planned time 5.45 p.m. CET and starts after the end of the previous processes: end of BATM and CBO cut-off procedures In case of emergency situations a change of Inbound liquidity transfer cut-off will only be possible according to a process defined in the MOP. This is not an automated cash sweep, but performed on the basis of standing liquidity transfer orders Version:.4 Page: 54 of 79 Status: Final

55 Process RTS detailed Dependencies sequence # processes Type of dependency (i.e. Trigger) Description procedures 9. Automated Cash Sweep Business event: end of previous process: Inbound liquidity transfer cut-off This process starts after the end of the previous process: Inbound liquidity transfer cut-off procedures 0. Securities restriction cut-off Time event: 6.00 p.m. CET + Business event: end of BATM cut-off procedures + Business event: end of CBO-cut-off procedures This process will not start before a planned time 6.00 p.m. CET and starts after the end of BATM cut-off procedures and the end of CBO cut-off procedures In case of emergency situations a change of securities restriction cut-off will only be possible according to a process defined in the MOP.. FOP cut-off procedures Time event: 6.00 p.m. CET + Business event: end of BATM cut-off procedures + Business event: end of CBO-cut-off procedures This process will not start before a planned time 6.00 p.m. CET and starts after the end of BATM cut-off procedures and the end of CBO cut-off procedures In case of emergency situations a change of FOP cut-off will only be possible according to a process defined in the MOP..4.7 Real-time Settlement Closure Period: Processes In continuation to the processes described in real-time settlement, the below table lists the subsequent Version:.4 Page: 55 of 79 Status: Final

56 processes in TS during the real-time settlement closure period. SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS. At 4.00 p.m. CET : Execute DVP cut-off procedures {TS.0.50} Cut-off to differentiate the eligibility of DVP and PFOD instructions, for settlement for the current settlement day (i.e. T+0) TS will ensure to do at least one settlement attempt for all the DVP and PFOD instructions, received by TS before the cut-off and eligible for the current TS settlement day. TS will not attempt settlement for the DVP and PFOD instructions received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+). However, TS will allow reimbursement instructions to be released and settled after this cut-off After the above processes, TS continues to perform a settlement attempt for the new trade settlement instructions and previously unsettled trade settlement instructions in this period for the below. Settlement of settlement restrictions for securities, cash Settlement of reimbursement instructions Settlement of FOP settlement instructions Settlement of BATM instructions Settlement of CBO instructions Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA. At 4.00 p.m. CET Execute Cash settlement restrictions cut-off procedures Cut-off to differentiate the eligibility of cash settlement restrictions, for settlement for the current settlement day (i.e. T+0) TS will ensure to do at least one settlement attempt for all the cash settlement restrictions, received by TS before the cut-off and Version:.4 Page: 56 of 79 Status: Final

57 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS eligible for the current TS settlement day. TS will not attempt settlement for the cash settlement restrictions received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+).. Release of unused Cash settlement restrictions Release of unused cash (blocked or reserved via cash restrictions). This cash release includes the unused cash blocked for a CoSD related settlement. TS will regenerate the equivalent cash settlement restrictions (i.e. CoSD blocking) for the next TS settlement day, in case of a release of a CoSD related cash blocking TS continues to settle/execute the following Trade Settlement instructions of FOP type Settlement of reimbursement instructions Settlement of BATM instructions Settlement of CBO instructions Settlement of securities restrictions instructions Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA 4. Reimbursement of auto-collateralisation provided by NCBs + conversion of autocollateralisation into intraday credit TS performs the following during the automatic reimbursement process: TS allows the reimbursement of all pending intraday credit for a settlement/ payment bank with all its available liquidity by releasing the hold of its reverse collateral settlement instructions (i.e reimbursement instructions generated during the process of autocollateralisation by a settlement/ payment bank with its central bank) and reattempt of settlement for all the unsettled reverse collateral Version:.4 Page: 57 of 79 Status: Final

58 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS settlement instructions. Automatic reimbursement of any pending intraday credit obtained via auto-collateralisation from its central bank, for a credit consumer via o o internal rebalancing of cash between its DCA (and/or) sourcing additional liquidity from its central bank cash account in TS TS also informs the relevant collateral management system when a reimbursement of pending intraday credit by a settlement/ payment bank needs additional liquidity from its central bank as a utilisation of its credit facility in the relevant RTGS system. In such cases, it will be the responsibility of the collateral management system to inform the RTGS system to facilitate the update of the credit utilisation/ provision of overnight credit facilities. This process is outside TS. Note: TS will not perform an automatic release of the reimbursement instructions generated for the provision of client collateralisation by a settlement/ payment bank to its clients. TS continues to settle/execute the following Trade Settlement instructions of FOP type Settlement of BATM instructions Settlement of CBO instructions Settlement of securities restrictions instructions Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA 5. Optional cash sweep This period determines the start of the optional automated cash sweep Version:.4 Page: 58 of 79 Status: Final

59 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS based on the setup of standing liquidity transfer orders. TS performs the following step during this process TS creates cash sweep related liquidity transfers for the remaining cash of each TS Dedicated cash account and central bank cash accounts to transfer it to the specified RTGS account. TS continues to settle/ execute the following Trade Settlement instructions of FOP type Settlement of BATM instructions Any liquidity transfers validated and accepted prior to the beginning of the event and which have not yet been processed Settlement of CBO instructions Settlement of securities restrictions instructions Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Report generation triggered by business or time events Queries received via UA or AA 6. At 5.40 p.m. CET : Execute BATM cutoff procedures {TS.0.70} Cut-off to differentiate the eligibility of BATM instructions, for settlement for the current settlement day (i.e. T+0) TS will ensure to do atleast one settlement attempt for all the BATM instructions, received by TS before the cut-off and eligible for the current TS settlement day. TS will not attempt settlement for the BATM instructions received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+). After the above processes, TS continues to perform a settlement attempt for the new settlement instructions and previously unsettled settlement instructions in this period for the below. Settlement of settlement restrictions for securities Settlement of FOP settlement instructions Version:.4 Page: 59 of 79 Status: Final

60 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS Settlement of CBO instructions Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA 7. At 5.40 p.m. CET : Execute CBO cut-off procedures {TS.0.70} Cut-off to differentiate the eligibility of CBO DVP instructions, for settlement for the current settlement day (i.e. T+0) TS will ensure to do atleast one settlement attempt for all the CBO DVP instructions, received by TS before the cut-off and eligible for the current TS settlement day. TS will not attempt settlement for the CBO DVP instructions received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+). After the above processes, TS continues to perform a settlement attempt for the new settlement instructions and previously unsettled settlement instructions in this period for the below. Settlement of settlement restrictions for securities Settlement of FOP settlement instructions Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Settlement of all liquidity transfer orders (i.e. inbound, internal, outbound) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA 8. At 5.45 p.m. CET TS performs the following during this process Version:.4 Page: 60 of 79 Status: Final

61 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS Inbound liquidity transfer cut-off TS makes a settlement attempt to settle any liquidity transfers validated and accepted prior to the beginning of this cut-off TS rejects any inbound liquidity transfers received from the RTGS after this cut-off 9. Automated Cash Sweep {TS.0.80} This period determines the start of automated cash sweep. TS performs the following steps during this process TS creates cash sweep related liquidity transfers for the remaining cash of each TS dedicated cash account and central bank cash accounts to transfer it to its linked RTGS account. After the above processes, TS continues to settle/ execute the following Settlement of FOP instructions Settlement of securities settlement restrictions Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA 0. At 6.00 p.m. CET : Execute Securities settlement restrictions cut-off procedures Cut-off to differentiate the eligibility of securities settlement restrictions, for settlement for the current settlement day (i.e. T+0). TS will ensure to do atleast one settlement attempt for all the securities settlement restrictions received by TS before the cut-off and eligible for the current TS settlement day, for a settlement attempt TS will not attempt settlement for the securities settlement restrictions received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+) After the above process, TS continues to settle/ execute the following Settlement of FOP instructions Execution of static data maintenance instructions Version:.4 Page: 6 of 79 Status: Final

62 SEQ. # TS PROCESSES DESCRIPTION OF THE PROCESS Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA. At 6.00 p.m. CET : Execute FOP cut-off procedures {TS.0.80} Cut-off to differentiate the eligibility of FOP instructions (including CBO), for settlement for the current settlement day (i.e. T+0) TS will ensure to do at least one settlement attempt for all the FOP instructions (including CBO), received by TS before the cut-off and eligible for the current TS settlement day, for a settlement attempt. TS will not attempt settlement for the FOP instructions (including CBO) received by TS after this cut-off on the current TS settlement day, but recycle them for the next TS settlement day (i.e. T+). After the above processes, TS continues to settle/ execute the following Execution of static data maintenance instructions Execution of maintenance instructions for settlement instructions/ restrictions (i.e. amendment of settlement conditions, cancellations) Generation of reports triggered by business or time events Additionally, TS responds to queries received via UA or AA.5 End of Day (EOD) 4 This section presents the End of day processes in the harmonised schedule. The EOD period starts after the successful completion of the real-time settlement period where settlement is no longer possible, and finishes before the start of the next settlement day {TS.0.70} Version:.4 Page: 6 of 79 Status: Final

63 Services available during the end of day (EOD) The following services are available during the EOD as per {TS.0.0} {TS.0.0} {TS.06.0}. Interfaces Static Data Management Instruction Validation (and Matching) Settlement Queries and Reports These services will be available for all TS Actors. Instruction Validation (and Matching) services are also available for recycling and purging process and Settlement services are available for securities account consistency check process only..5. End of Day Schedule The figure 4 shows the different processes occurring during the end of day period along with the list of available services End of Day Process - Dependencies During the EOD period, TS performs the following detailed processes based on the specified Version:.4 Page: 6 of 79 Status: Final