DATA MODEL DOCUMENTATION Version 1.0
1 CLASS DIAGRAMS... 6 1.1 GFS 00 - GENERIC AUDIT TRAIL AND REVISIONS... 6 1.2 GFS 01 - HIGH LEVEL STATIC DATA... 7 1.3 GFS 02 - PARTY DATA MANAGEMENT... 8 1.4 GFS 03 - SECURITIES DATA MANAGEMENT... 9 1.5 GFS 04 - SECURITIES ACCOUNT DATA MANAGEMENT... 10 1.6 GFS 05 - T2S DEDICATED CASH ACCOUNT DATA MANAGEMENT... 11 1.7 GFS 06 - RPDM - USERS, ROLES AND PRIVILEGES... 12 1.8 GFS 07 - RPDM - SERVICE SUBSCRIPTION... 13 1.9 GFS 08 - RPDM - MESSAGE SUBSCRIPTION... 14 1.10 GFS 09 - RPDM - DOMAINS... 15 1.11 GFS 10 - RPDM - SCHEDULING... 16 1.12 GFS 11 - RPDM - CSD-SPECIFIC S... 17 1.13 GFS 12 - RPDM - MARKET-SPECIFIC RESTRICTIONS... 18 1.14 GFS 13 - SETTLEMENT... 19 1.15 GFS 14 - SECURITIES POSITIONS, CASH BALANCES AND LIMITS UTILISATION... 20 1.16 GFS 15 - HIGH LEVEL DYNAMIC DATA... 21 1.17 GFS 16 - INTERFACE... 22 1.18 GFS 17 CSDS CHAIN... 23 1.19 GFS 18 - REPORTS... 24 1.20 GFS 19 - LIQUIDITY MANAGEMENT... 25 1.21 GFS 20 - LIFE CYCLE MANAGEMENT & MATCHING... 26 1.22 GFS 21 - SETTLEMENT TRANSACTIONS AND MOVEMENTS... 27 1.23 GFS 22 - POSITIONS, LIMITS AND RESTRICTIONS... 28 1.24 GFS 23 - LEGAL ARCHIVING... 29 1.25 GFS 24 - SCHEDULING... 30 1.26 GFS 25 STATIC DATA MAINTENANCE INSTRUCTIONS... 31 2 CLASSES AND S... 32 2.1 INTERFACE... 32 2.1.1 Communication... 32 2.1.2 Message... 32 2.1.3 Task... 33 2.2 LCMM... 34 2.2.1 Action... 34 2.2.2 Action Error... 34 2.2.3 Action Parameter... 35 2.2.4 Allegements... 35 2.2.5 COSD Administering Party... 36 2.2.6 Half Cash Movement... 36 2.2.7 Half Securities Movement... 37 2.2.8 Hold/Release Party... 37 2.2.9 Individual Settlement Instruction... 38
2.2.10 Individual Settlement Instruction Link... 39 2.2.11 Individual Settlement Instruction Link Set... 40 2.2.12 Individual Settlement Instruction Status... 40 2.2.13 Reason Codes... 41 2.2.14 Settlement Related Instruction... 42 2.3 LEGAL ARCHIVING... 43 2.3.1 Archiving Date... 43 2.3.2 Archiving File... 43 2.4 LIQUIDITY MANAGEMENT... 44 2.4.1 Liquidity Transfer... 44 2.5 QUERY AND REPORTS... 45 2.5.1 Query Filter Criteria... 45 2.5.2 Query Filter Criteria Entry... 46 2.5.3 Report... 46 2.6 RULES AND PARAMETERS... 47 2.6.1 Allowed Instructing Party... 47 2.6.2 Allowed Instruction... 48 2.6.3 Allowed Instruction Profile... 48 2.6.4 Allowed Subordinate Restriction... 49 2.6.5 Attribute Domain... 49 2.6.6 Attribute Reference... 50 2.6.7 Attribute Value... 50 2.6.8 Business Date... 51 2.6.9 Closing Day... 51 2.6.10 Conditional Securities Delivery Rule... 51 2.6.11 Country... 52 2.6.12 CSD-Specific Attribute... 52 2.6.13 CSD-Specific Attribute Value... 53 2.6.14 CSD-Specific Party Attribute... 53 2.6.15 CSD-Specific Securities Account Attribute... 53 2.6.16 Currency... 53 2.6.17 Default Event Schedule... 54 2.6.18 Event Type... 54 2.6.19 Limit... 55 2.6.20 Limit Group... 55 2.6.21 Market-Specific Restriction Type... 56 2.6.22 Message Subscription Rule... 56 2.6.23 Message Subscription Rule Parameter... 57 2.6.24 Message Subscription Rule Parameter Type... 57 2.6.25 Message Subscription Rule Set... 57 2.6.26 Operating Day... 58 2.6.27 Operating Day Type... 58 2.6.28 Partial Settlement Threshold... 58 2.6.29 Partial Settlement Threshold Group... 59 2.6.30 Privilege... 59 2.6.31 Privilege Class... 60
2.6.32 Privilege Link... 60 2.6.33 Reference Value... 60 2.6.34 Role... 61 2.6.35 Role Privilege... 61 2.6.36 Role Privilege Class... 62 2.6.37 SAAP User... 62 2.6.38 Securities Account Access Privilege... 62 2.6.39 Sequencing Rules... 62 2.6.40 Service... 63 2.6.41 Service Assignment... 63 2.6.42 Service Configuration... 64 2.6.43 System Entity... 64 2.6.44 T2S BIC Directory... 64 2.6.45 T2S Closing Day... 65 2.6.46 Tolerance Amount... 65 2.6.47 User... 66 2.6.48 User Privilege... 66 2.6.49 User Role... 67 2.7 SETTLEMENT... 67 2.7.1 Cash Balance... 67 2.7.2 Cash Movement... 68 2.7.3 Cash Provisioning Net Flow... 68 2.7.4 Collection... 69 2.7.5 Earmarking Limit Restriction... 69 2.7.6 Earmarking Utilisation... 70 2.7.7 Journaling of Autocollateralisation... 70 2.7.8 Journaling Of Earmarking... 71 2.7.9 Journaling of Limit Utilisation... 71 2.7.10 Limit Utilisation... 72 2.7.11 Linked Restrictions... 72 2.7.12 NCB Autocollateral Rules... 73 2.7.13 On-Behalf Authorised Party... 73 2.7.14 Restriction Reference... 73 2.7.15 Securities Movement... 74 2.7.16 Securities Position... 74 2.7.17 Securities Provisioning Net Flow... 75 2.7.18 Settlement Transaction... 75 2.7.19 Settlement Transaction Link... 77 2.7.20 Settlement Transaction Link Set... 78 2.8 STATIC DATA MANAGEMENT... 78 2.8.1 Audit Trail... 78 2.8.2 Close Link... 78 2.8.3 CSD... 79 2.8.4 CSD Account Link... 79 2.8.5 CSD Participant... 80 2.8.6 Current Version... 80
2.8.7 Deviating Instructing Party... 81 2.8.8 Deviating Security Nominal... 81 2.8.9 Dynamic Data Entity... 81 2.8.10 External RTGS Account... 82 2.8.11 Liquidity Transfer Order... 82 2.8.12 Liquidity Transfer Order Link... 83 2.8.13 Liquidity Transfer Order Link Set... 83 2.8.14 NCB... 83 2.8.15 Party... 84 2.8.16 Party Address... 85 2.8.17 Party Auto-collateralisation Eligibility... 85 2.8.18 Party CALS... 85 2.8.19 Party Code... 86 2.8.20 Party Deviating Instructing Party... 86 2.8.21 Party Name... 86 2.8.22 Party Restriction... 87 2.8.23 Party Technical Address... 87 2.8.24 Payment Bank... 87 2.8.25 Revision... 88 2.8.26 RTGS System... 88 2.8.27 SD Entity Maintenance Instruction... 88 2.8.28 Securities Account... 88 2.8.29 Securities Account Auto-collateralisation Eligibility... 89 2.8.30 Securities Account CALS... 89 2.8.31 Securities Account Deviating Instructing Party... 90 2.8.32 Securities Account Restriction... 90 2.8.33 Security... 90 2.8.34 Security Auto-collateralisation Eligibility... 91 2.8.35 Security Code... 91 2.8.36 Security CSD Link... 92 2.8.37 Security Name... 92 2.8.38 Security Restriction... 92 2.8.39 Security Valuation... 93 2.8.40 Static Data Entity... 94 2.8.41 Static Data Maintenance Approval Request... 96 2.8.42 Static Data Maintenance Instruction... 97 2.8.43 Static Data Maintenance Instruction Error... 97 2.8.44 Static Data Maintenance Instruction Status... 97 2.8.45 Static Data Maintenance Request... 98 2.8.46 T2S Dedicated Cash Account... 98 2.8.47 T2S Dedicated Cash Account Link... 99 2.8.48 T2S Dedicated Cash Account Link Set... 100 2.8.49 T2S Dedicated Cash Account Restriction... 100
1 Class Diagrams 1.1 GFS 00 - Generic Audit Trail and Revisions
1.2 GFS 01 - High Level Static Data
1.3 GFS 02 - Party Data Management
1.4 GFS 03 - Securities Data Management
1.5 GFS 04 - Securities Account Data Management
1.6 GFS 05 - T2S Dedicated Cash Account Data Management
1.7 GFS 06 - RPDM - Users, Roles and Privileges
1.8 GFS 07 - RPDM - Service Subscription
1.9 GFS 08 - RPDM - Message Subscription
1.10 GFS 09 - RPDM - Attribute Domains
1.11 GFS 10 - RPDM - Scheduling
1.12 GFS 11 - RPDM - CSD-Specific Attributes
1.13 GFS 12 - RPDM - Market-Specific Restrictions
1.14 GFS 13 - Settlement
1.15 GFS 14 - Securities Positions, Cash Balances and Limits Utilisation
1.16 GFS 15 - High Level Dynamic Data
1.17 GFS 16 - Interface
1.18 GFS 17 CSDs Chain
1.19 GFS 18 - Reports
1.20 GFS 19 - Liquidity Management
1.21 GFS 20 - Life Cycle Management & Matching
1.22 GFS 21 - Settlement Transactions and Movements
1.23 GFS 22 - Positions, Limits and Restrictions
1.24 GFS 23 - Legal Archiving
1.25 GFS 24 - Scheduling
1.26 GFS 25 Static Data Maintenance Instructions
2 CLASSES AND S 2.1 Interface 2.1.1 Communication T2S actors send or receive Communication to/from T2S through the T2S Interface. Communication is a collective term for messages and files. They have to comply with the formats and specifications defined in T2S {T2S.12.230}, {T2S.12.240}. Files may contain several messages. A message contains different business data to be processed by T2S. All T2S communication functionalities are available by using messages as well as online screen based activities (Graphical User Interface) {T2S.12.260}, {T2S.12.280}, {T2S.12.310}, {T2S.12.320}, {T2S.12.330}, i.e. T2S can be accessed in application-to-application mode (A2A) to allow direct communication between software applications via XML messages. For the T2S communication via messages the ISO 20022/UNIFI is the single standard, both inbound and outbound. In addition, the use of ISO 20022 complies with Giovannini protocol recommendations for both inbound and outbound communication {T2S.12.040}, {T2S.12.050} and in user-toapplication mode (U2A) concerning activities performed manually by T2S system users via Graphical User Interface {T2S.12.250}. Header Information Entry Timestamp Input Channel Status Status Description Header information of the received communication e g Sender BIC Point in time when the communication was received by T2S Identifier for the channel that was used for communication e g Network provider dedicated line etc Status of the processing on communication level Additional status information e g error code 2.1.2 Message Messages can be sent as single messages or as content of a file. A message contains different business data to be processed by T2S (bulk message or single settlement instruction, query request, static data change request, liquidity transfer order, etc.). Technical validations regarding the specific structure, format and syntax of messages are executed.
Entry Date/Time Message Type XML Message Content Status Status Description Point in time of the last update Type of message received Actual XML message content Status of the processing on message level Additional status information e g error code 2.1.3 Task Tasks are T2S operations where a 4-eye principle is applicable (due to the T2S system user s role or the activity itself). They are stored as dynamic data directly after the entry of the related message to trace there status. Each task gets a unique Task ID. The business data of the task and the Task ID are delivered to the subsequent module. The related subsequent module executes business validations and processes the business data, but without completing it. The related subsequent module sends a response to the Interface which includes the result of the business validation, the Task ID and, if needed, the reference of the subsequent module. In case of a negative result the task based on an incoming message is rejected. a positive result a second authorised T2S system user has to confirm or cancel the task. A received confirmation message is linked to the original request (Task ID). Then the confirmation including the Task ID and, if needed, the reference of the subsequent module is forwarded to the subsequent module. A received cancellation message is linked to the original request (Task ID) which is rejected afterwards in coordination with the subsequent module. Related to the T2S system user s privileges the status of task processing is displayed in U2A mode. T2S system user related tasks can also be requested in A2A mode. Task Status Status of the processing on Task level
2.2 LCMM 2.2.1 Action Information extracted from a message. A validated action allows to create an Individual Settlement Instruction. Every message received is converted into one or several actions (one physical registry into several logical registries) in order to start the validation process to each of those logical actions. Each Action is linked to its relevant Settlement Related Instruction to which it belongs on the one hand and, on the other hand, to their Action Parameters that that tells what to do. Each Action is also linked to: Validation error in case the validation process done to the Action finds an error. Individual Settlement Instruction in case the validation process done to the Action is ok. This double link is mutually exclusive to each other. If the link exist to Validation Error, it doesn t exist to Individual Settlement Instruction and vice versa. Action Type Status Possible values - Creation - Hold - Release - Cancel - Amend - CoSD Release - CoSD Cancel Possible Values -Rejected -Accepted -Executed - Cancelled 2.2.2 Action Error Information about the errors that occurred during the validation of a settlement Instruction Each Validation Error is linked to its relevant Action and to its relevant Error Description.
Error Code A reference code associated with respective error 2.2.3 Action Parameter This Entity includes all parameters data that the Settlement Instruction brings. Each Action Parameter is linked to its relevant action. Parameter Name Parameter Value Description of the parameter The value that the parameter can have 2.2.4 Allegements This entity includes information for tracking a message to the counterparty asking for the instruction. Each Allegement is linked to its relevant Individual Settlement Instruction. Date/Time Status Data about the date and the time of the message Possible values - sent when an allegement message either a matching allegement or a maintenance allegement is sent to a T2S Actor - removed when a removal of an allegement message is sent to a T2S Actor e g following the matching of the instruction for which an allegement had been initially sent
Allegement Type Possible values -hold and release features the maintenance allegement message sent to a T2S Actor when a maintenance instruction for holding or releasing a settlement instruction is processed -unmatched instruction features the matching allegement message sent to a T2S Actor after an unsuccessful matching attempt for the latter to send the missing settlement instruction -cancellation allegement features the maintenance allegement message sent to a T2S Actor when a maintenance instruction for cancelling a settlement instruction is processed -amendment allegement partial settlement features the maintenance allegement message sent to a T2S Actor when a maintenance instruction for amending the partial settlement indicator of a settlement instruction is processed 2.2.5 COSD Administering Party This entity includes the different commands that an Administering Party can instruct againts an Individual Settlement Instruction in relation to CoSD instructions. Each CoSD Party is linked to its relevant Individual Settlement Instruction and to its relevant Party. Command Possible Values - Cancellation - Release 2.2.6 Half Cash Movement This entity includes all the information regarding the cash data of the instruction (when it is needed). Each Half Cash Movement is linked to its relevant Individual Settlement Instruction.
Operation Original Amount Matched Amount Settled Amount Settlement Date/Time Default Account Possible Values - Debit - Credit The amount that originally was order in the instruction The amount to which the instruction was matched This is the amount to be settled The amount that finally was settled The date and time when the movement has been done This attribute gets the value yes when the T2S dedicated cash account is not included in the instruction and T2S shall consider the default cash account specified by the T2S Actor in static Data 2.2.7 Half Securities Movement This entity includes all the information regarding the securities data of the instruction. Each Half Securities Movement is linked to its relevant Individual Settlement Instruction. Operation Original Quantity Settled Quantity Settlement Date/Time Possible Values - Receive - Deliver The quantity that originally was order in the instruction The quantity that finally was settled The date and time when the movement has been done 2.2.8 Hold/Release Party This entity includes the different commands that a Party can instruct againts an Individual Settlement Instruction in relation to Hold and Release maintenance instructions. Each Hold/Release Party is linked to its relevant Individual Settlement Instruction and to its relevant Party and also Party Type.
Command Possible Values -Hold -Release 2.2.9 Individual Settlement Instruction This entity includes the specific information of one instructing leg of the Instruction except the information regarding the movements of the instruction (securities and cash). The detailed information of the instruction may change in time, but only one Individual Settlement Instruction is present at any given point in time. Each Individual Settlement Instruction must be linked to the only one Settlement Related Instruction that caused the creation of itself. Each Individual Settlement Instruction is linked necessarily to ISI Status for maintaining the last statement of its different statuses, to its relevant Half Securities Movement and Half Cash Movement (in case it is needed), and it is also linked to its relevant Action. In case it is needed, depending on the different situations, the Individual Settlement Instruction is linked to ISI Link, CoSD Party, Hold/Release Party and Allegement. Finally, each Individual Settlement Instruction is linked to the Settlement Transaction to which it is part. Individual Instruction Type Instructing Party Trade Date Intended Settlement Date Possible values DVP/DWP FOP/ PFOD DVD Blocking Instruction Earmarking Instruction Segregation Instruction Reservation Instruction T2S Party who instructs The date when the contract was made The date when the instruction will be at the first time forwarded to settlement ISO Transaction Code The ISO transaction codes set out under ISO 20022 First Party CSD Final Party CSD Final Beneficiary Auto-Collateralisation Flag The CSD where the first counterparty has the securities account The CSD where the final counterparty has the securities account The beneficiary party of the trade The Individual Settlement Instruction has the possibility of coming to NCBs lending
Partial Indicator Partial Settlement Indicator Priority T2S First Party T2S Final Party CosD flag CARL flag Allowed Modification Flag Partial Flag Linked Instructions Counter When the partial settlement has occurred When this ISI is enable to making partial settlement Possible values are 1 Normal priority 2 High priority 3 Top priority 4 Reserved Priority The party that will deliver the securities cash in case of a PFoD in a settlement instruction The party that will receive the securities cash in case of a PFoD in a settlement instruction When the ISI fulfils one CoSD rule stored in SD When the ISI is identified as required for having an automated transfer of cash proceeds to RTGS system The CSD can identify an ISI as non-modifiable by its participants When the partial settlement is allowed for the T2S Number of instructions that are linked to this one Common Reference Reference to be identified when the instruction is matched REPO Reference Reference for matching REPO Instruction{T2S 05 186} {T2S 05 190} Reservation Flag Pre-check Amendment Flag When the reservation/blocking information is inserted in the settlement instruction itself When the individual settlement instruction data is processed only for validation of maintenance instructions purposes 2.2.10 Individual Settlement Instruction Link - AFTER means that an instruction has to be settled after or at the same time as the linked instruction - BEFORE means that an instruction has to be settled before or at the same time as the linked instruction - WITH means that an instruction has to be settled at the same time as the linked instruction - Starting Leg to indicate the Repo instruction first leg - Closing Leg to indicate the Repo instruction second leg Each ISI Link is linked to its relevant Individual Settlement Instruction and to the Link Set that gather them.
Link Type - AFTER means that an instruction has to be settled after or at the same time as the linked instruction - BEFORE means that an instruction has to be settled before or at the same time as the linked instruction - WITH means that an instruction has to be settled at the same time as the linked instruction - "Starting Leg" - "Closing Leg" 2.2.11 Individual Settlement Instruction Link Set This entity includes information related to the group of links that establish a special relationship between two or more Individual Settlement Instructions. Each ISI Link Set is linked to their ISI Link that composes the group. 2.2.12 Individual Settlement Instruction Status This entity includes the information of each specific status that an Individual Settlement Instruction can have in its lifecycle. The status may change in time, but only the latest value is present here at any given point in time. Each ISI Status is linked to its relevant Individual Settlement Instruction. Name Possible values Validation status Matching status Cancellation status Settlement status CoSD Status Allegement status Eligibility status Hold/Release status
Value Depending on the status type it will have different values Validation status Accepted Matching status Matching not required already matched ready to be matched matched unmatched Cancellation status cancelled cancellation requested no cancellation requested Settlement status Settled unsettled partially settled <empty> CoSD status <empty> CoSD on hold CoSD to be released CoSD to be cancelled Allegement status allegement sent allegement removed none allegement sent Eligibility status Eligible ineligible <empty> Hold/Release status On hold released 2.2.13 Reason Codes This entity includes the information about the errors that occurred during the life cycle of the Individual Settlement Instruction Each Reason Code is linked to its relevant Individual Settlement Instruction Status.
Reason Code Reference Possible values -When value "cancelled" in Cancellation status -Recycling period reached -Standard period for unmatched instructions reached -Unilateral cancellation -Billateral cancellation -Cancelled due to Static Data change -Cancellation trigggered by Administering Party -When value "ineligible" in Eligibility status -Individual settlement instruction on hold -Linked individual settlement instruction missing -DVP cut-off reached -First leg/inception not settled -Intended Settlement Date not reached -When value "unsettled" in Settlement status -Lack of cash -Lack of securities -Lack of cash and securities -Intraday restriction security currency security account T2S dedicated cash account or T2S party blocked -Net buying limit reached -Earmarked restriction not sufficient 2.2.14 Settlement Related Instruction The purpose of this Class is to store both settlements instructions (new instructions that enter to the LCMM) and maintenance instructions (any kind of message, related to the settlement process that comes to the LCMM in order to update something in an existing instruction). This entity includes all the common information that is shared in any instruction. Since a Settlement related Instruction is received for the purpose of doing something related to settlement instructions, each Settlement related Instruction is linked at least to one Action. Since this information is only part of the whole information received in relation with the settlement instruction, this entity is also linked to the «Individual Settlement Instruction» when this one is created. This situation only occurs when the type is settlement Instruction and the status is Accepted. Otherwise, this link doesn t exist.
Instruction Type Sending Party Instructing Party Entry Date/Time Already Matched Matched Instruction Reference Status Possible Values - SETTLEMENT INSTRUCTION - MAINTENANCE INSTRUCTION T2S Party who may send the instruction on behalf of the Instructing Party T2S Party who instructs Data about the date and the time of the message Incoming flag in case of two instructions matched before reaching T2S A reference number assigned by the system or the T2S Parties Possible Values -Accepted -Rejected -Incoming 2.3 Legal Archiving 2.3.1 Archiving Date Manages the archiving process of the archive files Date Archiving Date Status Archiving date Possible values 1 Archiving in process 2 Archived 2.3.2 Archiving File Manages the archiving process of the archive files
Creation Date Actual Archived Date Archiving File Status Date of the creation of the file Timestamp of the actual archiving of the data Possible values 1 Created 2 Sent for archiving 3 Waiting for archiving 4 Cancelled 5 Archived 2.4 Liquidity Management 2.4.1 Liquidity Transfer The term liquidity transfer summarizes all liquidity adjustments on T2S dedicated cash accounts allowed according to the conditions recalled below. Since T2S is technically capable of providing cash settlement in noneuro central bank money, liquidity transfers are possible in all T2S settlement currencies. {T2S.02.050} As far as credited and debited accounts are denominated in the same currency {T2S.06.050, T2S.06.060, T2S.06.110}, liquidity transfers are possible under the following conditions between a T2S dedicated cash account and any RTGS account and vice versa provided this is allowed by the relevant NCB(s) between two T2S dedicated cash accounts linked to the same RTGS account or between two T2S dedicated cash accounts belonging to the same payment bank (i.e. proprietary and clients accounts) between a T2S dedicated cash account of an account holder and the T2S dedicated cash account/t2s NCB account of an NCB As a general rule, a liquidity transfer from an RTGS system to T2S is initiated in the RTGS system; a liquidity transfer from T2S to an RTGS system is initiated in T2S. In any case, liquidity transfers in T2S are executed real-time (except during the night-time settlement when a settlement cycle is running) {T2S.06.230}. Transfer Type Possible values are Immediate liquidity transfer order Predefined liquidity transfer order Standing liquidity transfer order Notification
Order Reference ID Entry Timestamp Settlement Timestamp RTGS Dedicated Transit Account Amount Rejection Flag Error Code Status Partial Execution Blocking Reference Transaction Category Reference ID for the liquidity transfer as received from the RTGS system incoming notification Timestamp specifying the date and the time the liquidity transfer entered in T2S Timestamp specifying the date and the time the liquidity was settled in T2S Involved RTGS dedicated transit account Amount to be credited or debited with the liquidity transfer Boolean attribute specifying whether the liquidity transfer was rejected or not In case the liquidity transfer was rejected the respective reason is mentioned through an error code Business status for the liquidity transfer Flag if partial execution is possible or not Internal reference to assign the liquidity transfer to a previously blocked amount Identifies the kind of transaction for the Settlement Possible values are - Liquidity Transfer Order - Forced RTGS Transfer - Blocking Liquidity Transfer Order Reference given by the sender 2.5 Query and Reports 2.5.1 Query Filter Criteria The Query Management allows different categories of pre-defined real-time and historical queries on the production data. A T2S System User can query historical data for a period of the last 90 business days. Generally, all User Queries are processed in real time, based on the latest available data {T2S.14.050}. When processing queries all privileges as defined in Static Data are taken into account {T2S.14.060} The response to a User Query always contains the timestamp that specifies the T2S system time when the data selection was actually performed. {T2S.14.520}
Criteria Set Name Remarks Name of the filter criteria as given by the user Additional field for remarks Query Name Name of the type of user query this filter criteria belongs to e g Securities Settlement Instruction Query 2.5.2 Query Filter Criteria Entry According to the various query types, different fields can be used as selection criteria. These selection criteria can be combined with a relation and/or a value. Field Name Field name of a selection criteria to filter the query result The available fields can be found in the Appendix A depending on the different query types Relation comparison operator </<=/=/>=/>/<> Value fixed value for comparison 2.5.3 Report T2S provides T2S actors with a number of pre-defined reports for periodical information on the production data. The Report Management Module, however, does not cover any regulatory reporting. The reports provided are set up as XML messages and comply to the largest possible extent with ISO 20022 standard. In cases where the standard is not able to meet T2S demands, proprietary messages are defined {T2S.13.160}. All reports are available in user-to-application mode and in application-to-application mode {T2S.13.170}. All securities instructions, balance and static data reports are available for all CSDs in T2S, T2S parties and NCBs {T2S.13.180}. Reports can be sent to CSDs and directly connected T2S parties, containing information on one or several accounts {T2S.13.210}. T2S reports can either be sent on a business event (e.g. end-of-day) or on a time event (i.e. at a fixed time) {T2S.13.190}. If a report got lost, it can be downloaded again by the affected T2S actor. Furthermore, in case a report is incorrect, e.g. due to technical problems, the report of a specific day can be regenerated by a NCB system administrator via a Report Generation Request.
Report Name Report Data Report Timestamp Name of the stored report - possible values are Statement of Holdings Statement of Transactions Statement of Pending Instructions Statement of Settlement Allegements Statement of End-of-Day Balance Statement of Static Data Billing Data Report Current Settlement Day Cash Information Report Following Settlement Day Cash Forecast Report Report content stored as flat file Timestamp reflecting date and time of the creation of the report 2.6 Rules and Parameters 2.6.1 Allowed Instructing Party This entity stores the combination of instruction types and instructing party types that T2S will allow for processing for the specified restriction. Market-specific restriction types (T2S.11.650) An objective of T2S and of many market participants is to achieve harmonised securities account structures. Nevertheless, the requirement currently exists to provide account structures that support segregation, blocking, reservation and earmarking of securities positions in a variety of existing models in the various markets. Furthermore, T2S must also support the blocking of T2S parties, securities accounts and dedicated cash accounts based on the regulatory and legal requirements of a country. To support the aforementioned, T2S will allow CSDs to define their own restriction types. Restriction types are attributes that define the specific processing characteristics for a securities position, a securities account, a T2S dedicated cash account, a party or a cash amount as to ensure configurability of market-specific requirements, as prescribed by legal and regulatory requirements and practices.
Allowed Instructing Party Type This attribute shall specify a valid party type which T2S will process for the defined restriction For example - Authorised instruction party such as CCP trading platform stock exchange and/or indirect CSD participant - CSD - CSD participant as account owner 2.6.2 Allowed Instruction This entity contains the information concerning the allowed instructions linked to an allowed instruction profile. Each allowed instruction can be linked to one or many allowed instruction profiles. Instruction Type Transaction Code Settlement instruction type to be allowed Transaction code of the instruction as defined by ISO 20022 standard 2.6.3 Allowed Instruction Profile This entity includes all the information concerning the allowed instruction profiles definition {T2S.11.780} {T2S.11.790} {T2S.11.800} {T2S.11.810}. Each allowed instruction profile can be linked to one or many marketspecific restrictions and to one or many allowed instructions {T2S.11.760}. Allowed Instruction Profile Name Allowed Instruction Profile Description Name of the allowed instruction profile Description of the allowed instruction profile
2.6.4 Allowed Subordinate Restriction General Functional Specifications This entity specifies the all restriction types that T2S will allow as subordinate restrictions. Market-specific restriction types (T2S.11.650) An objective of T2S and of many market participants is to achieve harmonised securities account structures. Nevertheless, the requirement currently exists to provide account structures that support segregation, blocking, reservation and earmarking of securities positions in a variety of existing models in the various markets. Furthermore, T2S must also support the blocking of T2S parties, securities accounts and dedicated cash accounts based on the regulatory and legal requirements of a country. To support the aforementioned, T2S will allow CSDs to define their own restriction types. Restriction types are attributes that define the specific processing characteristics for a securities position, a securities account, a T2S dedicated cash account, a party or a cash amount as to ensure configurability of market-specific requirements, as prescribed by legal and regulatory requirements and practices. 2.6.5 Attribute Domain This entity includes all reference data for attribute domains {T2S.11.240}. Each attribute domain is linked to many attribute values (i.e. to all the values belonging to the domain) and may be linked to one or many attribute references. Attribute Domain Name Attribute Domain Description Attribute Format Minimum Code Length Maximum Code Length Case Name of the attribute domain Description of the attribute domain It specifies a classification for the attribute format Possible values are 1 Alphabetic 2 Alphanumeric 3 Numeric It specifies the minimum length of the code for a value in the attribute domain It specifies the maximum length of the code for a value in the attribute domain It specifies a classification for the case type of the attribute format Possible values are 1 Upper case 2 Lower case 3 Both
2.6.6 Attribute Reference This entity includes all reference data for attribute references {T2S.11.230}{T2S.11.240}. Each attribute reference is linked to the relevant attribute domain and to many reference values (i.e. to all the values belonging to the attribute reference). Attribute Reference Name Attribute Reference Description Reference Format Minimum Code Length Maximum Code Length Case Mandatory Name of the attribute reference Description of the attribute reference It specifies a classification for the attribute reference format Possible values are 1 Alphabetic 2 Alphanumeric 3 Numeric It specifies the minimum length of the code for a reference value It specifies the maximum length of the code for a reference value It specifies a classification for the case type of the attribute reference format Possible values are 1 Upper case 2 Lower case 3 Both Boolean attribute specifying whether the input of a reference value is mandatory or not 2.6.7 Attribute Value This entity includes all reference data for attribute values {T2S.11.220}. Each attribute value is linked to the relevant attribute domain and may be linked to one or many references value. Attribute Value Attribute Value Description Value of the attribute Description of the attribute value
2.6.8 Business Date This dynamic entity identifies the current date which is calculated by the Business Date Change function, takinginto account whether the next day is a T2S closing day. Current Date Current date value 2.6.9 Closing Day This entity defines the set of closing days for the T2S calendar. Each occurrence is linked to an occurrence of the Currency entity and defines a specific closing day for the linked currency {T2S.20.020}{T2S.03.310}{T2S.03.320}{T2S.11.160}{T2S.11.170}. Date The specified date is a closing day for the linked currency 2.6.10 Conditional Securities Delivery Rule This entity includes all reference data for conditional securities delivery rules {T2S.09.210}. Each conditional securities delivery rule is linked to the relevant (defining) party (i.e. CSD), (administering) party, currency, transaction type, security and securities account. Furthermore, it may be linked to the relevant place of settlement (i.e. CSD) and to up to four countries (i.e. country of issuance, issuer CSD location, deliverer location and receiver location). COSD Rule Name Transaction Type Name of the conditional securities delivery rule Requested by User Requirement Document No further information is currently available
Security Reservation Cash Reservation Boolean attribute specifying if securities must be reserved in T2S for settlement or not Boolean attribute specifying if cash must be reserved in t2s for setllement or not 2.6.11 Country This entity includes all reference data related to countries defined in T2S. Country Code Country Name Numeric code of the country according to the ISO 3166-1 standard Name of the country according to the ISO 3166-1 standard 2.6.12 CSD-Specific Attribute This entity includes all the information concerning the CSD-specific attributes definition. Each CSD-specific attribute is linked to the relevant party (i.e. CSD) and to all its CSD-specific attribute values {T2S.16.770} and may be linked to an attribute domain {T2S.11.420}{T2S.16.760}. CSD-Specific Attribute Name CSD-Specific Attribute Type Name of the CSD-Specific attribute Type of the CSD-Specific attribute Possible values are Party Securities Account Mandatory Unique Boolean attribute specifying whether providing a value for the CSD-specific attribute type is mandatory or not Boolean attribute specifying whether the value provided for the CSDspecific attribute type has to be unique or not
2.6.13 CSD-Specific Attribute Value General Functional Specifications This entity includes all the information concerning the CSD-specific attributes definition. Each CSD-specific attribute is linked to the relevant party (i.e. CSD) and to all its CSD-specific attribute values {T2S.16.770} and may be linked to an attribute domain {T2S.11.420}{T2S.16.760}. Value Value specified for the CSD-Specific attribute 2.6.14 CSD-Specific Party Attribute Many to many relationship between CSD-Specific Attribute Definition and Party entities 2.6.15 CSD-Specific Securities Account Attribute Many to many relationship between CSD-Specific Attribute Definition and Securities Account entities 2.6.16 Currency This entity includes all reference data related to currencies defined in T2S {T2S.16.320} {T2S.11.340} {T2S.11.350} {T2S.11.360}. Currency Code Currency Name Number of Decimals T2S Settlement Currency Unique code of the currency according to the ISO 4217 standard Name of the currency Number of decimals in which the currency is expressed Boolean attribute specifying whether the currency is eligible for settlement in T2S or not
2.6.17 Default Event Schedule Many to many relationship between Event Type and Operating Day Type entities Default Event Schedule Time Predecessors Constraint Successors Constraint Default value to be taken into consideration for specified event typology Boolean attribute which specifies whether the Event depends on predecessor ones Boolean attribute which specifies whether the event is a predecessor for successor ones 2.6.18 Event Type This entity includes all the information concerning the event types defined in T2S {T2S.03.250}{T2S.03.260}{T2S.03.270}{T2S.03.280}{T2S.03.290}{T2S.03.300}. Each event type can be linked to many operating day types. Event Type Description System Entity Insert System Entity Update System Entity Delete Process to Start Process Parameters Description of the event type Boolean attribute specifying whether the system entity owner of the event type is allowed to insert a specific event of this type in the time schedule or not Boolean attribute specifying whether the system entity owner of the event type is allowed to update a specific event of this type in the time schedule or not Boolean attribute specifying whether the system entity owner of the event type is allowed to delete a specific event of this type from the time schedule or not It specifies the process that must be started when an event of this type is triggered It specifies the parameters of the process that must be started when an event of this type is triggered
2.6.19 Limit General Functional Specifications This entity includes all reference data related to limits defined in T2S {T2S.08.810}{T2S.10.060}. Each limit is linked to its relevant currency and to the relevant NCB {T2S.10.083}. Furthermore, it is linked to a (credit provider) party and may be linked to a (credit consumer) party {T2S.06.140}{T2S.10.070}. Finally, each limit may be linked to one or many securities accounts {T2S.08.770}; if not, the limit applies to all securities accounts of the credit consumer {T2S.10.080}. Credit Consumer Identifier Type Credit Consumer Primary BIC Limit Type Limit Amount Valid From Timestamp It specifies a classification for the credit consumer Possible values are 1 Primary BIC 2 Party Identifier from Party Reference Data T2S shall use the party identifier from party reference data for the payment/settlement bank to identify the credit consumer for an auto collateralisation limit set by NCBs T2S shall use the primary BIC to identify the credit consumer for the auto collateralisation set by the payment bank This shall enable the payment bank to define one limit for a financial institution even when it holds accounts with several CSDs in T2S When different from null it specifies the primary BIC of the financial institution for which the limit applies regardless the number of CSDs with which it hold an account i e regardless the number of parties defined for the financial institution Otherwise the credit consumer is defined by a link to a specific party It specifies a classification for the limit {T2S 06 140}{T2S 08 630} Possible values are 1 Net buying 2 Payment Settlement Bank Auto-collateralisation Limit 3 NCB Auto-collateralisation Limit It specifies the limit amount for the credit consumer for the relevant T2S Dedicated cash account It must be set to zero if the party has no limit for the relevant T2S Dedicated cash account This attribute specifies the date from which the credit limit is valid 2.6.20 Limit Group The entity Limit Groups stores the individual securities accounts to which a net buying limit applies, if the limit does not apply to all securities accounts of the credit consumer.{t2s.10.083}
2.6.21 Market-Specific Restriction Type General Functional Specifications This entity includes all the information concerning the market-specific restriction types definition {T2S.11.650}. Each market-specific restriction type is linked to one or many allowed instructing profiles. Restriction Type Restriction Description Object Restriction Type Subordinate Position Restriction Restriction Classification It specifies a code defined by the CSD or the NCB to identify the restriction Description of the restriction It specifies a classification for the object type on which the restriction applies Possible values are 1 Party 2 Security 1 Securities account 2 Securities position 3 T2S Dedicated cash account 4 Cash balance Boolean attribute specifying whether it is possible to place a subordinate position restriction of another type on the defined restriction or not It specifies a classification for the restriction type Possible values are 1 Blocking 2 Earmarking 3 Reservation 4 Segregation 2.6.22 Message Subscription Rule This entity defines the message subscription rules defined by each CSD or NCB. Each message subscription rule belongs to a single message subscription rule set and it is linked to a set of message subscription rule parameters. Rule Sequence It specifies the order in which the rule will be processed within the relevant rule set
2.6.23 Message Subscription Rule Parameter General Functional Specifications This entity includes the message subscription rule parameters defined within each message subscription rule. Each message subscription rule parameters belongs to a single message subscription rule and it is linked to a specific message subscription rule parameter type. Rule Parameter Value It specifies a valid value for the rule parameter 2.6.24 Message Subscription Rule Parameter Type This entity define all message subscription rule parameters types. Rule Parameter Type It specifies a classification for the message subscription rule parameters Possible values are 1 Message type 2 Instruction type 3 Message status 4 Party 5 Securities account 6 ISIN 7 T2S Dedicated cash account 8 Instruction status 2.6.25 Message Subscription Rule Set This entity defines the set of message subscription rules defined by each CSD or NCB Each message subscription rule set is linked to the relevant CSD or NCB, to a set of recipient addresses (i.e. party technical addresses) of a single interested party (i.e. the party that will receive all the messages identified by the message subscription rule set), and to a set of message subscription rules.
Valid From It specifies the date from which the rule set is valid 2.6.26 Operating Day Event Schedule Time Updated Event Schedule Time Event Start Time Event End Time Scheduled time for each Event Scheduled time for each Event following an update Actual start time of the Event Actual end time of the Event 2.6.27 Operating Day Type This entity includes all the information concerning the operating day types defined in T2S. Each operating day type is linked to all the event types foreseen for the operating day type itself. Operating Day Type Code Operating Day Type Description Code of the operating day type Description of the operating day type 2.6.28 Partial Settlement Threshold This entity includes all reference data related to partial settlement thresholds defined in T2S {T2S.08.290}{T2S.08.340}. Each partial settlement threshold is linked to its relevant party (i.e. CSD, CCP or the T2S Operator) or to its relevant securities account {T2S.08.360}{T2S.11.730}.
Threshold Type Amount Type Threshold Value It specifies a classification for the threshold Possible values are 1 Cash 2 Nominal 3 Number of shares It specifies a classification for the threshold value Possible values are 1 Absolute value 2 Percentage Value of the threshold 2.6.29 Partial Settlement Threshold Group Partial settlement thresholds (T2S.11.730) T2S shall specify the harmonised threshold setting for partial settlement on the level of T2S operator. The setting on T2S operator level shall apply for all CSDs, CCPs and participant accounts, when the aforementioned allow partial settlement, but have no thresholds configured. It shall also apply for Cross-CSD settlement in T2S. T2S shall allow each CSD and each CCP to define its own internal thresholds for partial settlement. A CCP threshold shall prevail over the CSD and Cross-CSD thresholds. Valid From Party Type Party or Account Identifier This attribute shall specify the date from which the threshold is valid This attribute shall define whether the threshold applies to the T2S operator CCP CSD or participant account This attribute shall specify the unique technical party identifier of the T2S operator a CCP or a CSD if the party type specifies one of the aforementioned Otherwise it shall specify a specific account identifier in T2S 2.6.30 Privilege This entity includes all reference data for privileges {T2S.11.360}. Each privilege can be linked to one or many privilege classes and roles. Each privilege can be directly linked to many users.
Privilege Name Privilege Description Name of the privilege Description of the privilege 2.6.31 Privilege Class This entity includes all reference data for privilege classes Each privilege class can be linked to one or many roles and privileges {T2S.11.380}. Privilege Class Name Privilege Name of the privilege class Description of the privilege class 2.6.32 Privilege Link Privilege Link is a many to many relationship between Privilege and Privilege Class entities. When linking a Privilege to a Privilege Class, a Role or a User, a boolean attribute specifies if the privilege is denied or granted to the relevant Privilege Class, Role or User Deny Administration Option GFS Boolean attribute specifying whether the grantee of the privilege can grant the same privilege to another user or not 2.6.33 Reference Value This entity includes all reference data for reference values. Each reference value is linked to the relevant attribute reference and attribute value.
Reference Value Reference Value Description Value of the attribute reference Description of the reference value 2.6.34 Role This entity includes all reference data for roles Each role can be linked to one or many privilege and privilege classes. Moreover, each role can be linked to many users {T2S.11.530}. Role Name Role Description Name of the role Description of the role 2.6.35 Role Privilege Privilege Link is a many to many relationship between Privilege and Role entities. Deny If the Deny Flag is set to TRUE the privilege is not allowed even if it is present in a privilege class assigned to the Role Roles T2S 11 400 A role is the set of functions and services to which the authorization application allows or denies the user access A role consists of one or more privilege classes or privileges When a T2S system administrator assigns a privilege class to a role the T2S system administrator shall specify if the privilege within the class allows or denies access to the functionality defined by the privilege Administration Option GFS Boolean attribute specifying whether the grantee of the privilege can grant the same privilege to another user or not
2.6.36 Role Privilege Class General Functional Specifications Privilege Link is a many to many relationship between Privilege Class and Role entities. 2.6.37 SAAP User 2.6.38 Securities Account Access Privilege This entity includes all reference data related to access privileges that limit the access of the party s T2S system users to specific securities accounts of the party {T2S.16.585}. Valid From Privilege Name Privilege Text Description It specifies the date from which the securities account access privilege is valid Name of the securities account access privilege Textual description of the securities account access privilege 2.6.39 Sequencing Rules This entity includes all the information needed to determine the sequence for processing of settlement instructions {T2S.11.350}. Each sequencing rule is linked to the relevant (sender) party type, instruction type and transaction type. Sequence It specifies the order in which an instruction will be sequenced in T2S based on its instruction type transaction type and sender party type