1. Change Request T2S-0435-SYS (Replace dependency of static data updated on auto-collateralisation eligibility by a time-based approach)
Change Review Group 21 November 2013
ECB-PUBLIC
Item 3
T2S Programme Office European Central Bank

2. Is MSU, SUM, DSU, ST* update possible?
Current configuration in T2S
As defined in CR 0321-SYS (Static data limitation of intraday update on Securities)
When was the Security
created?
Is the Security eligible for auto-collateralisation?
Is MSU, SUM, DSU, ST* update possible?
On current settlement day No
Yes
Before current settlement day
Background: T2S allows an intraday SD update of MSU, SUM, DSU and ST* only if the Security is not eligible for auto-collateralisation since the start of day as in such a case, no reverse collateral instruction exists
Justification: That SD update might trigger the cancellation of the reverse collateral instruction, which would cause the malfunctioning of the following processes in T2S:
Reimbursement triggered by the payment/settlement bank
Automatic reimbursement of central bank collateralisation operations at EOD
Automatic reimbursement of central bank collateralisation in case of limit decrease
Automatic substitution in case of lack of securities
A consistent update of the limits in association to these reimbursements
* Minimum Settlement Unit, Settlement Unit Multiple,
Deviating Settlement Unit and Settlement Type

3. Change Request T2S-0435-SYS (I)
Description of requested change: The intraday SD update of MSU, SUM, DSU and ST should be queued during the day and executed between 16:30 and 18:45*
Expected benefit: That SD update will not trigger the cancellation of the reverse collateral instruction for Central Bank-collateralisation
The cancellation of any pending reverse collateral instruction for client-collateralisation will not be avoided by this CR in any case. Therefore, a manual procedure is required
Business motivation: The CSDs will be able to implement Corporate Actions (CA) without having to wait for the Central Bank’s modification of the Security’s eligibility for auto-collateralisation and the reimbursement of reverse collateral instruction
Should a redemption, as any other reorganisation, result in the creation of a new ISIN? is this compliant with the CAJWG standards?
* The times are indicative. The process will start when
the reimbursement is over
16:30
Reimbursement of CB collateralisation provided by central banks
18:00
Start of the end-of-day process
18:45
Close of Settlement day

4. Change Request T2S-0435-SYS (II)
Conditions under which the CR is applicable:
There is an upcoming corporate action for a security
The security is still eligible for auto-collateralisation
And the CAJWG standards does not apply to that security
Is it possible to have all the conditions fulfilled concurrently?

5. Questions
Compliance with CAJWG standards and eligibility for auto-collateralisation
Which securities will not follow the CAJWG standards?
Will they be eligible to auto-collateralisation?
Corporate Action Event and eligibility for auto-collateralisation
Are securities still eligible for auto-collateralisation in case of
corporate action event?

6. Thank you for your attention