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CBF

Customer Simulation for T2S Final Wave

Customer Notification

Execution Period

7 August to 1 September 2017

CBF

Customer Simulation for the T2S Final Wave

Customer Notification

7 August to 1 September 2017

July 2017

Document Number: F- 7183

This document is the property of Clearstream Banking AG, Frankfurt (“Clearstream Banking” or “CBF”) and

may only be changed with prior written consent obtained from Clearstream Banking. The information in this

document is subject to change without notice and does not represent any obligation on the part of

Clearstream Banking, a subsidiary or other affiliate of Clearstream International S.A.

© Copyright Clearstream Banking AG, Frankfurt (2017). All rights reserved.

Clearstream Banking AG, Frankfurt, is a Deutsche Börse Group company.

Clearstream Banking Frankfurt July 2017

Customer Simulation for T2S Final Wave 3

Content

1. Introduction ......................................................................................................................................... 5

2. Scope of the simulation ........................................................................................................................ 6

2.1 Disclosed Member List...........................................................................................................................6

2.2 Test case planning ..................................................................................................................................7

2.3 CBF Simulation Calendar .......................................................................................................................7

3. CBF Customer Simulation environment (IMS23) ................................................................................ 10

3.1 BIC for CBF Customer Simulation environment .................................................................................10

3.2 Participation of customers acting in DCP mode .................................................................................11

3.3 Preparation of the customer simulation .............................................................................................11

3.4 Dedicated test tools ..............................................................................................................................11

3.4.1 CBF / CBL interoperability via CETT tool ........................................................................................12

3.4.2 Foreign Currency Simulator ...........................................................................................................12

4. CBF Customer Simulation – T2S Business Day testing stage .............................................................. 13

4.1 Introduction for test cases with Iberclear ...........................................................................................13

4.2 Generation of test cases with Iberclear ..............................................................................................14

4.3 Test cases with Eurex Clearing ...........................................................................................................16

5. T2S test schedules ............................................................................................................................. 17

6. CBF processing day in CBF Customer Simulation environment (IMS23) ............................................. 18

7. Issue / Defect Reporting .................................................................................................................... 24

8. Contact .............................................................................................................................................. 25

9. Appendix ............................................................................................................................................ 26

July 2017 Clearstream Banking Frankfurt

4 Customer Simulation for T2S Final Wave

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1. Introduction

Clearstream Banking Frankfurt (CBF) would like to inform about the preparation of the customer simulation

for the T2S Final Wave, scheduled for 18 September 2017. Within the T2S Final Wave1 Iberclear, the Spanish

Central Securities Depository (CSD and the Baltic Central Securities Depositories and), will migrate to the

TARGET2-Securities platform.

After the completion of the Migration Weekend Dress Rehearsal (5 and 6 August 2017) for the T2S Final

Wave, simulation activities with the Spanish CSD, Iberclear, can be executed in the period between

8 August 2017 and 1 September 2017.

The availability of CBF Customer Simulation environment (IMS23) and the T2S Pre-Production environment

(UTEST) has been defined and has been compiled in the “CBF Simulation Calendar”. So far, no downtimes

are planned during the upcoming simulation period. However, as T2S might require software deployments,

the calendar might change on short notice.

During the preparation of the T2S Business Day testing, Iberclear and CBF agreed on Spanish securities that

can be used in the customer simulation. These positions will be reconciled in the related omnibus and mirror

test accounts. From 21 to 31 July 2017, CBF will collect existing holdings in dedicated Spanish securities

from customer accounts and re-distribute them via CBF account 4424 to the respective CBF main account

(xxxx 000) registered for the customer simulation. If necessary, the reallocation of holdings will be executed

on 7 August 2017. CBF will create additional security holdings in a predefined nominal on customer accounts

for such ISINs, only.

The participation in the CBF customer simulation is optional. Customers can execute their test cases on their

demand in the CBF Customer Simulation environment (IMS23). Customers were asked to register by

21 July 2017 by submitting the simulation registration form.

For functional information about the CBF adaptations related to T2S Final Wave, please also refer to CBF

Customer Notifications “T2S Final Wave Customer Information”. This Customer Simulation Guide is available

on the Clearstream website www.clearstream.com under Products and Services / Connectivity /

CASCADE/T2S / Testing and Simulation.

1 An overview of the T2S wave composition can be found in the appendix.

http://www.clearstream.com/



2. Scope of the simulation

After its migration to the settlement platform, the Spanish Central Securities Depository (CSD) Iberclear will

support all functionalities that are offered by T2S. Since the migration of CBF to T2S in February 2017, CBF

executes its settlement procedure compliant with the T2S requirements.

During the T2S Business Day testing stage for T2S Final Wave, CBF customers need to consider that the “T2S

Live Timing Schedule” applies. This can be found in chapter 5.

The focus of this customer simulation is the test execution of cross-border settlement with Iberclear and its

participants. This is because today’s cross-border link between CBF and Iberclear, which is maintained as a

T2S Out-CSD link, will be modified to a T2S In-CSD link.

The test cases will be conducted in the CBF Customer Simulation environment (IMS23), which is connected to

the T2S Pre-Production environment (UTEST). Since 24 July 2017, T2CUST2) has been connected to UTEST in

order to enable liquidity transfers on the customer dedicated cash accounts (DCA). Liquidity transfers to the

DCA can be initiated either by using the CBF Liquidity Management CASCADE Online functionality “KNEE”

(based on Cash Forecast data if requested) or the “Standing Order” procedure offered by the respective NCB.

In the week prior to T2S Business Day testing stage, customers are requested to delete pending instructions

in Spanish ISINs or with counterparties in the Spanish market in order to prepare for the T2S Final Wave

Migration Weekend Dress Rehearsal (MWDR). Hence, with the start of the customer simulation, customers

are requested to newly allege these instructions, if necessary.

On 4 August 2017 the MWDR will be executed using a “T2S Special Schedule”. During the MWDR, no further

activities are required by our customers. In line with this approach, no liquidity transfer will be executed on 4

August 2017 for the business day 7 August 2017. CBF will conduct all necessary dress rehearsal activities

and report the results to the market members. On 7 August 2017, as prerequisite for the start of the

customer simulation, CBF will finalise the T2S In-CSD setup with Iberclear. Between 8 August 2017 and

1 September 2017, CBF will actively support cross-border test cases with the Spanish Market. During this

period, the IMS23 will allow such settlement activities. Customers can still execute tests in other areas on

their demand. However, during this period, the IMS23 setup focuses on the T2S Final Wave activities. The

setup that was established for T2S Wave 4 mainly remains. However, some dedicated CBF services like

Xemac – Collateral Management, Eurex GC Pooling, New Issue procedures, LION (stock exchange) and

CASCADE RS functionality are not available, as they are not used in the context with T2S Final Wave

simulation. Furthermore, during this testing period, no dedicated test cases (“Focus Days”) are offered,

because all services and subsequent processes (for example Corporate Actions) will be executed based on

the already established T2S and cross-border functionalities.

2.1 Disclosed Member List

Similar to the proceedings for the T2S Wave 4, CBF will support a dedicated list, the "Disclosed Member

List", with contact details of nominated customer simulation participants. In the context of the customer

simulation for the T2S Final Wave, this list will be shared with Iberclear in order to allow the settlement of

cross-border instructions with counterparties in the Spanish market. CBF customers interested to register

further contact persons for the “CBF T2S Final Wave Disclosed Member List” are asked to complete and sign

the already provided form.

According to our rules and considering the privacy policy, the Clearstream T2S Support Team can create and

provide contact details, if a nominated member agrees on the publication of the details shared with CBF. The

T2S Support Team will send a “CBF T2S Final Wave Disclosed Member List” showing the contacts only to

CBF participants who registered at least one member. The list will only be sent out by email to customers

who have a contact person listed. Therefore, this list will not be available as download in the internet.

2 Please refer to CBF announcement D17040, dated 14 July 2017 for more details regarding the switch of the environment.

http://www.clearstream.com/clearstream-en/products-and-services/connectivity--1-/d17040/91246



2.2 Test case planning

The customer simulation will focus on cross-border settlement with Iberclear and its participants.

Customers need to get in contact with their counterparties in the Spanish market. They should agree on test

cases and test data that are based on the provided ISINs and positions. More details regarding the holdings

can be found in chapter 4. Further details on the scope of the cross-border test instructions are defined in

section 4.2.

2.3 CBF Simulation Calendar

The following calendar covers the period 1 August 2017 to 1 September 2017. It shows the availability of the

CBF Customer Simulation environment (IMS23) and highlights the “CCP batch days”. Furthermore, it

indicates setup activities that will be requested by CBF or the customers.

According to the overall test schedule, downtimes are not planned for IMS23 or UTEST. If one of the

environments is not available or the testing is limited because of particular measures to ensure a proper test

execution, CBF will inform customers in due time. This information will be sent to the T2S SPOCs and is

provided via the email account of the CBF T2S Support Team ([email protected]).

Calendar for T2S Final Wave Business Day Testing in T2S Live Timing Mode

T2S Support

(09:00 – 16:00)

Availability

of IMS23

CCP Simulation Calendar Comments

Tuesday 1-Aug-17 Open The “T2S Synchronised Standard

Day” schedule applies.

As a prerequisite for a successful

execution of the upcoming MWDR for

the Final Wave, CBF customers are

requested to cancel pending cross-

border test instructions with

Iberclear and its Spanish customers

until Friday, 4-Aug-2017, 14:30,

latest.

Wednesday 2-Aug-17 Open CCP Simulator will be

used; CCP is not

connected to the IMS23.

Thursday 3-Aug-17 Open CCP Simulator will be

used; CCP is not

connected to the IMS23.

Friday 4-Aug-17 Open The “T2S Special Schedule” applies.

On that day, no liquidity transfers for

the testing day, Monday, 7-Aug-2017,

from T2CUST to UTEST will be

generated. Customers cannot use the

CASCADE Online or NCB functionality

to manage their liquidity on the

respective DCA.

Saturday 5-Aug-17 Weekend T2S Final Wave MWDR; all activities will be executed without

involvement of CBF customers.

Once the MWDR has been successfully completed, the “T2S Live

Timing” schedule will apply until 1-Sep-17.

Sunday 6-Aug-17 Weekend

mailto:[email protected]




T2S Support

(09:00 – 16:00)

Availability

of IMS23


Monday 7-Aug-17 Open No cross-border instructions with


shall be executed on this testing day.

This day is blocked for the verification

of the setup for Iberclear as T2S In-

CSD. In addition, the distribution of

positions will be executed to the CBF

T2S Support Team. More details can

be found in section 3.3.

CBF recommends that customers

calculate their liquidity needs prior to

the testing day, Monday, 7-Aug-17.

Customers need to check with the

respective NCB how to inject liquidity

towards the DCA.

Tuesday 8-Aug-17 Open CCP Batch Day –

operated in T2S Live

Timing Mode

Cross-border instructions with


can be entered with the opening of

the test day.

For the testing day, Tuesday,

8-Aug-17 and during the further

simulation the CBF liquidity

management services will be

available. The liquidity transfers will

be based on the CBF cash forecast of

the previous testing day generated

after the T2S event “IDVP”.

Wednesday 9-Aug-17 Open CCP Batch Day –


Timing Mode

Thursday 10-Aug-17 Open CCP Batch Day –


Timing Mode

Friday 11-Aug-17 Open

Saturday 12-Aug-17 Weekend


Monday 14-Aug-17 Open



Timing Mode



Timing Mode



Timing Mode


Saturday 19-Aug-17 Weekend






T2S Support

(09:00 – 16:00)

Availability

of IMS23



operated using the “T2S

Synchronised Standard

Day”




Day”




Day”


Saturday 26-Aug-17 Open

Sunday 27-Aug-17 Open





Day”




Day”




Day”

Friday 1-Sep-17 Open

Table 1 CBF Customer Simulation – Calendar 1 August to 1 September 2017



3. CBF Customer Simulation environment (IMS23)

As no dedicated “Focus Days” are planned, the static data for CBF accounts and the related connectivity

settings in IMS23 remain unchanged. This means, that the static and dynamic data can be re-used with the

settings defined for previous test stages.

Static Data – The account master data and connectivity settings defined for the customer simulation

of T2S Wave 4 are still available and remain unchanged unless the customer asks for a renewal.

Dynamic Data – At the beginning of May 2017, a purge of pending instructions was executed in

UTEST. In preparation for the Migration Weekend Dress Rehearsal (MWDR) for the T2S Final Wave

customers are requested to delete pending instructions in Spanish securities or with Iberclear

acting as T2S Out-CSD.

3.1 BIC for CBF Customer Simulation environment

For the message exchange via the SWIFT network, SWIFT requires the use of test BICs as technical sender

and receiver address within its testing environment. The test BIC must be registered with the SWIFT

network. If customers want to participate via a test BIC for the first time, they should allow some time for the

preparation of the technical setup by SWIFT, RMA key exchange and connectivity tests.

For the message exchange via File Transfer and MQSeries, the production sender / receiver addresses are to

be used, since only production addresses are allowed in the CBF connection to T2S.

Technically, CBF customers can send instructions to the CBF Customer Simulation environment (IMS23) by

using the production BIC DAKVDEFFXXX in the header or the CBF test BIC ZYDGDEF0XDOM when they

instruct via File Transfer or MQSeries. Via SWIFT, BIC ZYDGDEF0XDOM must always be used. If a customer

wants to send an instruction to a test system via File Transfer, the message has to be identified as not being

for production. This is done by a TNG trailer at the end of the instruction: ä5: äTNG: üü

The trailer is used for CBF replies to customers, too. This guarantees that CBF test messages can clearly be

identified, so that the customer can avoid injections into the customer’s production system.

The CBF customer SWIFT addresses used in their messages to CBF is applied by CBF to create the T2S actor

reference for DCP eligible instruction types. If the SWIFT address is a test BIC and linked to an account with

T2S Party BIC, this BIC is used when forwarding the messages to the T2S platform.

Figure 1 Message flow during the testing



3.2 Participation of customers acting in DCP mode

For the test execution within the T2S Final Wave Business test stage, customers acting in DCP mode are

requested to connect to UTEST. The already established settings in UTEST will remain unchanged.

3.3 Preparation of the customer simulation

During the preparation of the T2S Final Wave Business test stage, the Spanish CSD Iberclear and CBF agreed

on Spanish bonds that can be used in customer simulation. These positions will be reconciled in the related

omnibus and mirror test accounts before the test execution starts.

ISIN Name MSU Nominal3

ES00000128B8 Spanien EO-Bonos 1.000 100.000

ES00000123Q7 Spanien EO-Bonos 1.000 100.000

ES00000121L2 Spanien EO-Bonos 1.000 100.000

ES00000126C0 Spanien EO-Bonos 1.000 100.000

ES00000121S7 Spanien EO-Bonos 1.000 100.000

ES0414970204 3,875 % CAIXABANK 100.000 500.000

ES0413900129 3,875 % BCO SANTANDER 100.000 500.000

ES00000126Z1 Spanien EO-Bonos 1.000 100.000

ES00000123B9 Spanien EO-Bonos 1.000 100.000

ES00000122E5 EO-Obligaciones 1.000 100.000

ES00000127H7 Spanien EO-Bonos 1.000 100.000

ES00000128A0 Spanien EO-Bonos 1.000 100.000

Table 2 Eligible Spanish bonds during T2S Final Wave Customer Simulation

Customers were asked to indicate their interest regarding the participation in the customer simulation in

order to prepare for the functional modifications with T2S Final Wave. The related registration form was sent

to customers via email from [email protected] and was requested to be returned by

21 July 2017, latest.

From 21 to 31 July 2017, CBF collects existing holdings in the above-mentioned Spanish bonds from

customer accounts and re-distributes them via CBF account 4424 to the respective CBF main account

(xxxx 000). The holdings will be reallocated on 7 August 2017. Upon message subscription in ICP and / or DCP

mode, customers will receive information on the message flow between CBF and T2S (for example status

messages or settlement confirmations). Once the holdings are set up, customers can verify them via

CASCADE Online functionality (HOST / PC) or MT535 “Statement of Holding” if set up in IMS23.

Customers shall send test instructions with the lowest possible nominal amount, as during the simulation

there will be no further reconciliation between the involved CSDs.

3.4 Dedicated test tools

During the T2S Final Wave customer simulation, CBF supports its customers with dedicated test tools.

Especially for the realignment testing between ICSD Clearstream Banking S.A., Luxembourg (CBL) and CBF,

the “CETT” tool is active. In addition, a simulator for settlement in foreign currency is still available upon

request.

3 Holdings will be provided to registered accounts, only.




3.4.1 CBF / CBL interoperability via CETT tool

Customers can allege test instructions with CBL. A tool that partially replicates the existing interoperability

link between CBF and CBL was introduced with the T2S Wave 4 simulation activities. This functionality will be

active during the T2S Final Wave Business Day testing, too. Therefore, customers have the opportunity to

transmit securities instructions with the type

Free of Payment (“FoP”)

Delivery Against Payment (“DvP”) in Euro only; using the liquidity via the dedicated cash account

(DCA)

for further processing in the CBL testing environment. These instruction types can be transmitted by the

customers and their counterparties. If applicable, customers can use the “6-series account” to set up the

counter instruction. In addition, settlement with a counterparty that is actively connected to CBL is enabled.

Here, a close cooperation between the customers is required.

Please consider that for the participation in the CBL testing environment, a dedicated notification one week

prior to the test execution is needed. If testing is required, please send an email to our Connectivity Team in

Luxembourg ([email protected]).

3.4.2 Foreign Currency Simulator

T2S Business Day testing stage does not require dedicated test cases in foreign currencies as the cross-

border link between CBF and Iberclear is set up in Euro only.

CBF offers transfers of securities against payment in non-Euro currencies. For regression testing, CBF

customers have the opportunity to simulate their settlement activities in foreign currencies as T2S does not

support non-EUR currency settlement yet and rejects a foreign currency DvP instruction. Therefore, CBF

generates FoP instructions towards T2S and settles the cash side in Creation. Whereas customers in ICP

mode instruct with DvP / RvP towards CBF (no RwP, DwP allowed), customers in DCP mode have to instruct

foreign currency instructions towards T2S as a FoP instruction including cash and currency details.

During the simulation, customers have the option to simulate foreign currency instructions under the

following conditions:

By entering a cash amount starting with “55”, the instruction is not considered in the settlement

since it is assumed that the required cash liquidity is not available.

By entering a cash amount starting with “5”, the foreign currency simulator generates a negative

feedback of the payment (lack of cash). Settlement of such instructions must be requested via email

to the T2S Support Team. Otherwise, the instruction will remain in status pending.

By entering any other numbers, the foreign currency simulator generates a positive feedback of the

payment and settlement of the instructions takes place.




4. CBF Customer Simulation – T2S Business Day testing stage

During the T2S Business Day testing stage, the T2S Live Timing schedule is applied to allow for production-

like testing. That means that all participating CSDs and NCBs simulate the T2S Business Day based on the

T2S Live Timing schedule. The schedule can be found in chapter 5 “T2S test schedules”.

4.1 Introduction for test cases with Iberclear

The settlement processes for cross-border transactions with other T2S In-CSDs are harmonised based on

the common use of T2S standards. This applies to all securities admitted for settlement between Iberclear

and CBF no matter whether they act as Issuer CSD or Investor CSD.

Customers acting with Spanish counterparties do not need to consider the realignment process in their

instructions. Only the counterparty CSD and the counterparty participant(s) are to be specified, not the

respective mirror or omnibus accounts.

In general, for cross-border customer instructions the same rules apply as for domestic instructions with the

exception of the identification of counterparty details and the setup of the respective party levels.

This means:

a) Counterparty CSD

The counterparty CSD needs to be specified with its BIC. The counterparty CSD BIC is identical for all

cross-border transactions against one CSD, irrespective of whether the CSD acts as the Issuer CSD or

the Investor CSD. T2S will generate realignment instructions against the respective omnibus or mirror

account automatically based on the ISIN given in the instruction. CBF maps the counterparty CSD BIC to

a counterparty CSD account master internally. If a customer instructs with the counterparty CSD

account, CBF maps the respective counterparty CSD BIC.

For delivery and receipt instructions with counterparties in the Spanish market, the Spanish CSD,

Iberclear needs to be addressed with the T2S BIC “IBRCESMMXXX”.

Customers acting in DCP mode need to use this if the T2S BIC is mandatory.

Customers acting in ICP mode can use the T2S BIC also, because the counterparty CSD

account concept4 applies. However, the CBF account master “4710” can be used, too.

b) Counterparty participant

The counterparty participant needs to be specified with its BIC (not the proprietary account number with

the counterparty CSD). Customers are recommended to focus on the test execution of cross-border

settlement with Iberclear and its participants. This is because today’s cross-border link between CBF

and Iberclear, which is maintained as T2S Out-CSD link, will be changed to a T2S In-CSD link. Further

details for the setup of cross-border settlement instructions with Iberclear can be found in CBF’s

functional announcement related to the T2S Final Wave.

Customers have to find counterparties of their choice to execute bilateral test cases, for example OTC

FoP / DvP transactions, or to execute special procedures like bilateral cancellations.

Iberclear supports a list of potential counterparties for testing in the Spanish market. The T2S Support

Team has a copy of this list and will be able to assist CBF customers in finding a counterparty. Similar to

the setup requirements for the previous T2S Business Day testing stages, counterparties can be

addressed with the T2S Party BIC that is / will be used in the T2S production environment. This way,

customers can verify if standing instructions in their counterparty database are up-to-date.

In contrast to today, after the migration of Iberclear to T2S, DvP instructions can settle. If purchase

instructions (RvP) shall be tested, customers need to fund their related DCA. As the T2CUST environment is

linked to the UTEST, liquidity transfers can be initiated on customer demand. Please contact your respective

NCB for more details on the RTGS settings and available cash amounts.

4 The counterparty CSD account master is used as placeholder and no bookings will be posted against this account



4.2 Generation of test cases with Iberclear

CBF advises customers registered for the customer simulation of the T2S Final wave to execute test cases

via their preferred connectivity channel. Starting 8 August 2017, test cases in

OTC FoP (Free of Payment);

OTC DvP Euro (Delivery versus Payment Euro)

can be executed.

The following sections include the necessary data to allow customers to execute such test cases during the

simulation.

General information for cross-border settlement of Free of Payment and Against Payment Euro instructions in

T2S NTS and RTS processing cycles

Summarised functional description:

1) Entry of OTC instructions in ICP and / or DCP mode (new):

DFoP / RFoP

PFoD debit / credit

DvP / RvP Euro

DwP / RwP Euro

2) Options: T2S functionalities (linking, partial settlement, priority, usage of optional and additional matching criteria)

within transactions

3) Successful matching of cross-border transactions in T2S using the realignment account

4) CBF reporting in ISO15022 to customers in ICP mode

5) T2S reporting directly to customers in DCP mode

Detailed information regarding the cross-border settlement procedures can be found in CBF’s related DFD

and in the dedicated announcements for T2S Final Wave regarding the migration of Iberclear. These

documents are available on Clearstream website.



Instruction management for cross-border settlement of Free of Payment and Against Payment Euro instructions in

T2S NTS and RTS processing cycles

Instruction entry Reporting

Type Report

Send date /

online

availability

Type

DoP/DvP

(DwP)

RFoP/RvP

(RwP)

CASCADE Host

/

CASCADE-PC

KVEE-WE/

OTC -

enter delivery

KVEK /

OTC –

unverified

instructions –

verify

KVEE-MI / OTC

– enter receipt

KVEK /

OTC –

unverified

instructions –

verify

PFoD debit as

RvP with

nominal = 0

PFoD credit as

DvP with

nominal = 0

ISO 15022

(ICP)

MT542/

MT543

MT540/

MT541

see DvP

(PFoD DELI

/ RvP

(PFoD

RECE)

ISO 20022

(DCP)

Sese.023

DELI with

FREE or with

APMT and

CRDT

Sese.023

RECE with

FREE or with

APMT and

DBIT

see DvP/RvP

ISO 15022

(ICP)

MT548 (Status

reporting)

Real-time

MT545 - MT547

(Deliver / Receive Free

confirmation -

Deliver / Receive

against

payment confirmation

Real-time

MT578

(Settlement Allegement)

Real-time

MT535

(Statement of Holdings)

End of Day

(EoD)

MT536

(Statement of settled

Transactions / Clearing

& Settlement Statement

/ C&S Statement)

End of Day

(EoD):

complete or at

predefined

sending times

(Delta)

MT537

(Pending CASCADE OTC

instructions)

Daytime:

hourly

Night-time:

At predefined

times or events

MT586

(Statement of

Allegements)

Daytime:

hourly

Night-time:

at predefined

times or events

CASCADE-

Host

CASCADE-

PC

KVDU-ID (movements)

KVBA-BB

(Positions per ISIN)

KVAI

(Pending verified

instructions)

movements / positions

- movements – booked

movements

- final positions

OTC-pending

instructions

CASCADE

Online opening

hours

ISO 20022

(DCP)

Messages will be transmitted upon

subscription rights defined in UTEST.

Customers are requested to verify their

profiles with their DCP admin user



4.3 Test cases with Eurex Clearing

In general, the simulation environment of Eurex Clearing (ECAG) for CCP activities will be connected to the

CBF Customer Simulation environment (IMS23). However, ECAG members are not obliged to execute tests

for the T2S Final Wave.

A list of eligible securities is available via www.eurexclearing.com under Eurex Clearing member section.

ECAG will forward test instructions to CBF in ICP mode. These instructions will be transmitted on the “CCP

Batch Days” only. The batch days for August 2017 have been defined by ECAG and can be found in section 2.3.

Once the CCP instructions arrive at CBF, they are forwarded for settlement to UTEST. ECAG will delete

pending (unsettled) transactions according to their testing / batch day procedures.

Please note, that Stock Exchange instructions processed via LION and GC Pooling transactions will not be

supported during this simulation period.

Figure 2 Process chain stock exchange instruction

http://www.eurexclearing.com/



5. T2S test schedules

The CBF customer simulation supports the T2S Final Wave Business Day testing stage with the Spanish CSD

Iberclear in the period between 8 August 2017 and 1 September 2017. Prior to this testing stage, the

Customer Simulation environment (IMS23) is open to allow a testing. Customers can execute tests on their

demand using the “T2S Synchronsided Standard Day” schedule. Please note on 4 August 2017 in preparation

for the Migration Weekend Dress Rehearsal (MWDR) the “T2S Special Schedule5” will apply.

In general tIMS23is aligned with the T2S test calendar predefined by T2S. The test execution for the T2S

Business Day testing stage of the T2S Final Wave will be conducted in “T2S Live Timing” mode. Based on this

schedule, CBF customers can transmit instructions in ICP and DCP mode. Please note that if T2S needs to

deliver software fixes in UTEST, the “T2S Release Day” schedule will apply. The following table provides an

overview of the existing T2S schedules.

T2S Settlement Procedure T2S Standard

Day

T2S

Synchronised

Standard Day

T2S Live Timing

7 August 2017 –

1 September

2017

T2S Release Day

might be

requested for

Friday

Start of Testing 07:00 07:00 07:00 07:00

Real-time Settlement

Partial Settlement 1 08:00 08:00 08:00 08:00





DvP / Cash SR Cut-off6 16:00 14:30 16:00 14:30

Collateral reimbursement 16:20 14:50 16:30 14:50

BATM / CBO Cut-off 16:40 15:10 17:40 15:10

Inbound LTO Cut-off /

Automated cash sweep

16:45

15:15 17:45 15:15

Securities SR / FoP Cut-off 17:00 15:30 18:00 15:30

End of Day / Start of Day

Change Business Day 17:45 16:15 18:45 16:15

Feeds from Collateral

Management System

18:00 16:30 19:00 16:30

Start Night-Time / Cash

Injection

18:30 17:00 20:00 17:00

Night-Time Settlement

End of Testing 19:00 19:00 ~22:30 17:30

Table 3 T2S test schedules

Legend:

DvP: Delivery versus Payment, Cash SR: Cash Settlement Restrictions, BATM: Bilateral Agreed Treasury Management, CBO: Central Bank

Operation, LTO: Liquidity Transfer Order, Securities SR: Securities Settlement Restrictions, FoP: Free of Payment

5 The T2S settlement procedures will be conducted according to the testing requirements. The T2S timing will be made

available on short notice. CBF will keep its customers informed.

6 In the context of the CBF Cash Forecast reporting, please note that the time differs from the time in production. In

simulation, the T2S event “IDVP” is used to generate the T2S cash forecast towards IMS23. This event is linked to the DVP

/ Cash SR Cut-off.



6. CBF processing day in CBF Customer Simulation environment

(IMS23)

The CBF schedule for core activities, reporting times and deadlines during the T2S Business Day testing

stage needs to be adjusted and embedded in the test schedule. Real-time messages, for exampleMT54x are

not included in the following table, but generated on incoming messages throughout the day.

CBF highly recommends alleging instructions via CASCADE no later than ten minutes before the T2S

deadlines shown in chapter 5. Please note that this processing schedule provides an indicative timeline.

T2S activity CBF activity Application / system Timing Further details

Start of T2S Testing

/ Real-time

Settlement Start

T2S 07:00 ECB’s Real Time

Settlement (RTS)

starts right after the

end of their

maintenance window.

CASCADE

Reporting7:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 07:30

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 08:00

Partial Settlement

Window 1 / Start

T2S 08:00

Partial Settlement

Window 1 / End

T2S 08:15

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 09:00

DD1 Cycle Cash 09:30 During the simulation,

this process will be

executed, but no

results are expected

as no Focus Days are

planned.

CASCADE Reporting:

MT536 – Statement

of Transactions

CASCADE 10:00

Partial Settlement

Window 2 / Start

T2S 10:00

7 Empty CBF-files might occur and are intended.




Partial Settlement

Window 2 / End

T2S 10:15

KADI Reporting:

MT564 – Notification

MT568 – Narrative

KADI 10:30

KADI Reporting:

MT566 –

Confirmations

(Income + Non-

Income)

KADI 10:30

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 10:30

CASCADE-RS:

1. Allocation run

CASCADE-RS 10:20

CASCADE Reporting:

MT536 – Statement

of Transactions

CASCADE 11:00

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 11:15

KADI Reporting:

MT564 –

Notifications

MT566 –

Confirmations

MT568 – Narrative

KADI 11:30 During the simulation,


executed, but no



planned.

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 12:00

Partial Settlement

Window 3 / Start

T2S 12:00

Partial Settlement

Window 3 / End

T2S 12:15

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 12:45

CASCADE Reporting:

MT536 – Statement

of Transactions

CASCADE 13:00




CASCADE-RS:

2. Allocation run

CASCADE-RS 13:15

MT537 – Statement

of Pending OTC

Transactions

CASCADE 13:25

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 13:30

DD2 Cycle Cash 13:45 During the simulation,


executed, but no



planned.

CASCADE Reporting:

MT536 – Statement

of Transactions

CASCADE 14:00

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned.

Partial Settlement

Window 4 / Start

T2S 14:00

Partial Settlement

Window 4 / End

T2S 14:15

CASCADE Reporting:

MT536 – Statement

of Transactions

CASCADE 15:00

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned.

DD3 Cycle Cash 15:15

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 15:30

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned.




Partial Settlement

Window 5 / Start

T2S 15:45

Partial Settlement

Window 5 / End

T2S 16:00

End Acceptance of

DvP instructions

(except with BATM

flag)

T2S 16:00

End Acceptance of

DvP

DwP and PFoD

instructions in EUR

(except BATM)

CASCADE 16:00

Optional generation

of Liquidity Transfers

from RTGS to DCA

Cash 16:00

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 16:00

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative

KADI 16:15

Reimbursement T2S

Auto-

Collateralisation

T2S 16:30

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 17:00

CASCADE-RS:

3. Allocation run

CASCADE-RS 17:00

End Acceptance of

DvP instructions

with BATM flag

T2S 17:40

Liquidity Transfer

Order Cut-off /

Automatic cash-

sweep

T2S 17:45

End of Acceptance

of FoP instructions /

FoP Cut-off

T2S 18:00

Real Time

Settlement / End

T2S 18:00

End of Acceptance of

non-T2S FoP

instructions

CASCADE 18:00

End of Day

Processing

T2S 18:00




End of Day

Processing

CASCADE 18:00

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE after T2S

EODR and

EORP

Cash Reporting:

MT942 – Interim

Transaction Report

MT950 – Statement

Message

Cash triggered

by T2S

EODR

Cash Management:

Deadline for entry,

deletion or

modification of

Liquidity Transfer for

following NTS

Cash 18:30

Start of Day

Processing / Start

Change of Business

day

T2S 18:45

Cash Management:

Optional generation

of Liquidity Transfers

from RTGS to DCA

based on CBF Cash

Forecast

Cash 19:00

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned

Night-time

Settlement (NTS) /

Start

T2S 20:00

CASCADE Reporting:

MT535 – Statement

of Holdings

LIMA / CASCADE 20:00

Night-time

Settlement (NTS) /

End

T2S 20:40

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned.

End of Testing T2S T2S 22:30




CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending

Transactions

MT586 – Statement

of Allegements

CASCADE 23:00

CASCADE Reporting:

MT537 – Statement

of Pending SE

Transactions

CASCADE / LION 23:45

CASCADE Reporting:

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 02:00

[RTMS]

CASCADE Online /

End

CASCADE 03:00

CBF Maintenance

Window / Start

CASCADE 03:00

CASCADE Reporting:

MT537 – Statement

of Pending

Transactions

MT586 – Statement

of Allegements

CASCADE 05:00

KADI Reporting:


MT566 –

Confirmations

MT568 – Narrative



executed, but no



planned.

CASCADE Reporting:

MT536 – Statement

of Transactions

MT537 – Statement

of Pending OTC

Transactions

MT586 – Statement

of Allegements

CASCADE 06:00

CASCADE Online /

Start

CASCADE 07:00

Start of Testing T2S T2S 07:00

Table 4 CBF processing day



7. Issue / Defect Reporting

All issues with CBF or the T2S functionality encountered by customers during the T2S Final Wave customer

simulation should be reported to CBF. For this reason, CBF kindly asks its customers to use the “TARGET2-

Securities (T2S) Issue Declaration Form for Customer Simulation” which is available on the Clearstream

website under Products and Services / Connectivity / CASCADE Testing and Simulation. CBF collects all

raised items, analyses them and reverts to customers. Where issues involve T2S, CBF raises them with the

ECB.

http://www.clearstream.com/clearstream-en/products-and-services/connectivity--1-/cascade/testing-and-simulation



8. Contact

During the customer simulation period from 7 August to 1 September 2017, the T2S Support Team at CBF

will be at your disposal to answer questions regarding the CBF Customer Simulation environment (IMS23)

and the related setup as well as any questions regarding T2S-specific functions and processes. The team will

be available from 09:00 to 16:00.

Clearstream T2S Support Team

Email [email protected]

Tel. +49 (0) 69 / 211 18 27 8

Fax +49 (0) 69 / 211 60 80 60



9. Appendix

T2S Project – Wave Composition

Central Securities Depositories



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Contact

www.clearstream.com

Published by

Clearstream Banking Frankfurt

Registered address

Clearstream Banking AG

Mergenthalerallee 61

65760 Eschborn

Germany

Postal address

Clearstream Banking AG

60485 Frankfurt /Main

Germany

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