1. 1 T2S Volumetric Assumptions T2S Advisory Group Meeting Frankfurt, 18/19 November 2013 T2S Programme Office European Central Bank

2. T2S volumetric assumptions 1Objectives and background 2Peak volume factor and volume growth 3Transactional processing

3. 3 Volumetric analysis  Volumetric analysis for the sizing of the technical infrastructure for T2S Assess peak volume factor Estimate workload for peak end-of-day (EOD) and start-of-day (SOD) period Define a peak daytime processing hour Determine values for various variables affecting processing and workload  Analysis requires input from CSDs, Central Banks and Directly Connected Parties on their intended usage of T2S to derive a model Continuous process over the previous 18 months with several workshops  Latest workshop held on 4 November to present and review additional assumptions for the sizing of T2S, including EOD/SOD period  T2S Processing Volume Analysis to be updated in 2013 to provide a baseline for the sizing of T2S  AG members are invited to (i) assess if the statements (in red) in this presentation represent reasonable assumptions in view of the sizing of the T2S platform; and (ii) provide feedback on pending issues Objectives and Background

4. 1Objectives and background 2Peak volume factor and volume growth 3Transactional processing T2S volumetric assumptions

5. 5 Peak volume factors  T2S must be able to process a frequent expected variation of the average daily settlement instruction volume; and an infrequent exceptional variation of the average daily settlement instruction volume.  The T2S User Requirements and the General Technical Design V2.2 require T2S to process a peak of 4.15 times the average settlement volume  The original assumptions for this peak CSDs in direct holding markets would operate in T2S with all end- investor accounts, resulting in a doubling of volumes through corporate actions and income events in large securities issues Simultaneous peaks in multiple markets, including the UK market Background

6. 6 Peak volume factors  Standard peak volume factor Defines the number by which the daily average settlement instruction volume is multiplied in order to determine the standard volume baseline that T2S needs to process The assumption is that T2S must be able to process 2.5 times the daily average settlement instruction volume  Exceptional peak volume factor Defines the number by which the daily average volume is multiplied in order to determine the infrequent exceptional volume that T2S needs to process The assumption is that T2S must be able to process over 2.5 up to 4.15 times the average daily volume on an exceptional basis The maximum occurrences of an exceptional peak is four [4] times a year, probably at the start or end of a quarter Terms, definitions and assumptions

7. 7 Growth rates T2S volume assumptions Year Growth Rate Additional volume Total Growth Rate 2013 0.03125%0.00%0.03125% 2014 0.03125%0.00%0.03125% 2015 0.03125%7.72%7.75125% 2016 0.03125%0.00%0.03125% 2017 3.75000%0.00%3.75000% 2018 3.75000%0.00%3.75000% 2019 3.75000%0.00%3.75000% 2020 3.75000%12.00%15.75000% 2021 3.75000%0.00%3.75000% 2022 3.75000%0.00%3.75000% 2023 3.75000%0.00%3.75000% 2024 3.75000%0.00%3.75000%  The results of the informal survey of the AG in June 2013 have been used to estimate the growth rates  Additional volume New ISINs (eurobonds, funds…) New currencies 1 1 DKK included in baseline and not considered as additional volume

8. 1Objectives and background 2Peak volume factor and volume growth 3Transactional processing T2S volumetric assumptions

9. 9 Distribution of settlement instructions T2S volume assumptions Distribution of settlement instructions % Distribution Settlement Instructions100% DVP w/o corporate actions instructions as percentage of total settlement instructions 78.9% FOP w/o corporate actions as percentage of total settlement instructions16.6% Payment free of delivery (PFOD) for income events as percentage of total settlement instructions 2.1% DVP and FOP corporate actions instructions as percentage of total settlement instructions 2.4%  Distribution from the CSD Volume Survey in which some CSDs included settlement instructions for corporate actions and income events in DVP and FOP total  An average of 4.5% of Settlement instructions for corporate actions and income events derived from CSDs that provided segregated figures. –10% of total daily settlement instructions as peak (pending validation)

10. 10 2017 settlement instruction volumes T2S volume assumptions 2017 settlement instructions Average daily Standard Peak Exceptional Peak Settlement Instructions1,100,2152,750,5374,565,892 Delivery-versus-payment w/o corporate actions instructions as percentage of total settlement instructions908,9732,272,4333,772,239 Free-of-payment w/o corporate actions as percentage of total settlement instructions191,242478,104793,652 Settlement Instructions for corporate actions and income events51,843129,606215,147 Payment free of delivery (PFOD) for income events as percentage of total settlement instructions24,19360,483100,402 Corporate actions instructions as percentage of total settlement instructions - DVP and FOP27,64969,123114,745 Total Settlement Instructions1,152,0572,880,1444,781,038 Delivery-versus-payment with corporate action FOPs933,1672,332,9163,872,641 Free-of-payment191,242478,104793,652 Payment free of delivery27,64969,123114,745

11. 11 Estimation model Instruction life cycle communication  Instruction life cycle communication profile -Documents the T2S inbound and outbound responses for instructions that T2S receives  Presents assumptions that underlie the estimation model -for the types and number of instructions that directly connected actors, including Directly Connected Parties (DCPs) will send to T2S -for the types and number of responses that T2S will provide -uses the instruction volumes from the CSD Volume Survey

12. 12 Inbound instructions Instruction life cycle communication profile Distribution profile for T2S instructionsPercentage Settlement instructions, of which are Matched60% Unmatched40%  The share of pre-matched settlement instructions is assumed to be 60%  Settlement volume weighted average of pre-matched transactions is 54%, based on the feedback of euro area CSDs in the CSD volume survey  The introduction of further CCPs, potentially resulting in the move of at least some OTC trading volume to CCPs; and  Some CSDs will perform local matching and send pre-matched settlement instructions to T2S in particular at the beginning of T2S operations  Distribution file-based vs. message-based submission  Entities, submitting pre-matched instructions, instruct in batches at regularly scheduled intervals and will continue to do so in T2S  Most directly connected actors (DCPs) will forward unmatched instructions immediately to T2S during the day

13. 13 Inbound instructions Instruction life cycle communication profile  Hold and/or release instructions, including COSD, will be submitted for 30% of the settlement instructions.  Assumption is that participants will optimise processing:  that they likely will send released instructions for their proprietary accounts; and  that the majority will send released instructions for their customer accounts and hold before the settlement day if the customer does not have sufficient deliverable holdings to settle.  Distribution file-based vs. message-based submission  CSD participants will hold or release most instructions before the start of the new settlement day as part of a batch run in their securities back-office system. T2S will receive these instructions mainly as a files. Distribution profile for T2S instructionsPercentage Hold/Release of Settlement Instruction including COSD 30%

14. 14 Inbound instructions Instruction life cycle communication profile  The submission of amendments to settlement instructions will not exceed 0.5%  All amendments of settlement instructions will be messages, based on the consideration that an actor requires an immediate change to the instruction to ensure the update before settlement Distribution profile for T2S instructionsPercentageMessage- based File- based Amendment of settlement instruction0.5%100%0%

15. 15 Inbound instructions Instruction life cycle communication profile Distribution profile for T2S instructionsPercentageMessage- based File- based Cancellation of settlement instruction1.5%90%10%  T2S will receive cancellation instructions for a maximum 1.5% of the total number of settlement instructions  Distribution file-based vs. message-based submission  T2S actor will identify the need to cancel a settlement instruction during daytime business hours and send an immediate cancellation request to T2S

16. 16 Profile for the submission of instructions T2S volume assumptions Instruction typePercentage 1 Settlement instructions, of which are Matched60% Unmatched40% Hold/Release of Settlement Instruction including COSD30% Amendment of settlement instruction0.5% Cancellation of settlement instruction1.5% 1 As percentage of total settlement instructions

17. 17 Outbound notifications Instruction life cycle communication profile Distribution profile for T2S instruction life cycle% of inbound instruction Notification for Acceptance of Settlement Instruction50% Notification for Match Confirmation of Settlement Instruction100% Notification for Confirmation of Settlement or Fail120% Notification for Acceptance of Amendment of Settlement Instruction50% Notification for Execution of Amendment of Settlement Instruction100% Notification for Acceptance of Hold/Release of Settlement Instruction including COSD 50% Notification for Execution of Hold/Release of Settlement Instruction including COSD 100% Notification for Acceptance of Cancellation of Settlement Instruction50% Notification for Execution of Cancellation of Settlement Instruction100% Notification for Cash Posting100%

18. 18 Outbound notification copies for DCP instructions Instruction life cycle communication profile Distribution profile for T2S instruction life cycle% of DCP inbound instructions Notification for Acceptance of Settlement Instruction100% Notification for Match Confirmation of Settlement Instruction100% Notification for Confirmation of Settlement or Fail120% Notification for Acceptance of Amendment of Settlement Instruction100% Notification for Execution of Amendment of Settlement Instruction100% Notification for Acceptance of Hold/Release of Settlement Instruction including COSD 100% Notification for Execution of Hold/Release of Settlement Instruction including COSD 100% Notification for Acceptance of Cancellation of Settlement Instruction100% Notification for Execution of Cancellation of Settlement Instruction100% Notification for Cash Posting0% The current assumption is that DCP volume is 50% of overall T2S volumes

19. 19 Message vs. file-based business items Instruction life cycle communication profile Description As Messages In Files/ Reports Total business items Estimated average per settlement instruction448  Business item defines a settlement instruction life cycle related business event  Business items can be received or sent as single messages or bundled in files and report Average per settlement instruction = (business items received in files + business items sent in files + business items received as message + business items sent as message) / number of settlement instructions

20. 20 Current phases and indicative timings T2S Schedule 20 Start of Day Night-time Settlement Daytime Settlement End of Day 18:45 – 19:30 19:30 - ~ 3:00 ~ 3:00 – 5:00 18:00 – 18:45 Change of business date 2 night-time settlement cycles and end-of-night reporting Continuous settlement with partial settlement periods & real-time settlement closure period Close of business day Indicative Timings (CET) PhaseDescription Maintenance window 5:00 – 18:00 System maintenance activities End-of-day (EOD) and start- of-day (SOD) periods represent potentially the peak processing period; in any event a critical processing period

21. 21 EOD workload assumptions T2S Schedule  On a daily basis as part of their EOD, CSDs will perform full reconciliations of all types of pending and settled instructions  On a daily basis as part of their EOD, payment banks will require a full Statement of Account for each dedicated cash account  On a daily basis as part of their EOD, most CSDs will perform delta reconciliations for securities positions Most CSDs will undertake full reconciliations outside of the EOD and SOD periods using the query facility  Directly Connected Parties (DCPs) will subscribe to reporting in T2S and not through CSDs, thereby increasing reporting volumes by 50%  Pending issues Percentage of positions affected on average during the settlement day to estimate reporting volume for delta reconciliations Reporting for pending instructions as a factor of daily volume Number of payment banks intending to offer client collateralisation Expected number of securities eligible for client collateralisation with payment banks Scheduling of valuation price feeds

22. 22 Parameters Peak daytime hour  Defining a peak hour during the daytime period requires further market input  Information available from CSDs from questionnaires concerning as-is, but limited information as to expectation after adaptation to T2S  Pending clarification Percentage of settlement instructions that CSDs and DCPs will send during the daytime concentrated in the peak daytime hour Percentage of hold/release instructions that CSDs and DCPs will send during the daytime concentrated in the peak daytime hour Expected usage of U2A and A2A  Definition of the peak daytime hour will include Receipt of settlement instructions Receipt of hold/release instructions Matching operations Real-time settlement operations Maximum number of securities reference data updates Maximum number of application-to-application and user-to-application requests Maximum number of intraday liquidity transfers

23. 23 Thank you for your attention www.t2s.eu