NASDAQ CSD OPERATING MANUAL · 2020-02-14 · OPERATING MANUAL v.1.20.February, 2020 3 v. 1.14 March 20,2019 Contract number insert during registration similar pledges Pledge type

NASDAQ CSD OPERATING MANUAL

1. Nasdaq Central Securities Depository in Baltic

2. v 1.20

3. February, 2020

OPERATING MANUAL v.1.20.February, 2020

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Summary of changes

Version Date Version history

v.1.0 September 2016 Initial version for participant opening

v.1.1 November 2016 Updated with allegement and portfolio transfer order information, and minor changes in field names

v.1.2 December 2016 Updated with trade capture and restrictions information, and minor changes and updates in relation to securities accounts

v.1.3 February 2017 Updated with trade capture CSD SSI information, and minor changes in the text

v.1.4 March 2017 Updated with cash management related information, securities account linking with DCA and LT savings notes information

v.1.5 May 2017 Updated with T2S auto-collateralization related information, and minor changes in the text

v.1.6 June 2017 Updated with report and message subscription information, and minor changes in the text

v.1.7 October 2017 Updated with Corporate action instruction, IPO subscription instruction information, Latvian Initial Register, currency calendar, and minor changes in the text

v.1.8 March 2018 Updated with operations related to billing - participants reports and changes to the calendar

v. 1.8 March 19, 2018 Updates approved by Head of Operations

v. 1.9 July 04 Added EE specific rule for securities account opening

v. 1.10 October 04, 2018 Added securities account balance and transactions statement creation instructions

v. 1.11 November 23, 2018 Added securities account opening requirements for foreign private persons and legal entities.

v. 1.12 December 28, 2018 Added IPO subscriptions related information applicable for Estonian market. Approved by Head of Operations.

v. 1.13 February 6,2019 Added ADEA transaction code for the settlement instruction creation, opt-out indicator in the deregistration from Initial register and the portfolio transfer via CSD system’s portfolio transfer functionality


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v. 1.14 March 20,2019 Contract number insert during registration similar pledges Pledge type specification

v. 1.15 July 17, 2019 Pledge information update Added flag “a notation, whether the pledge also

covers shares issued in the future” v.1.16 October 14, 2019 Settlement instruction input. Added linked CSD in

T2S participant BIC and the participant’s securities account in linked CSD

Version

Date of amendments

Owner of

the document

Modifier/

involved stakeholders

Brief description of the main changes and their justification

Approved date

1.17 2019-11-01 Head of Operations

Project manager Sr Specialist, Business Development

Commercial bank money settlement. Updated with the information on cross-CSD settlement with Baltic T2S eligible instruments in non-T2S currencies.

Annex 6 updated with meeting related message subscriptions.

11/11/2019


Project manager Sr Specialist, Business Development

Correction of section references to section 3.7. Restriction instructions related to pledging of securities

Annex 6 updated with subscription related to pledge.

11/20/2019


Head of Operations

Liquidity Account description changed

01/20/2020

1.20 2020-02-13 Project manager Sr Specialist, Business Development

Changes in section 3.1.1 Securities account opening related to the identifiers of the account holders

13/02/2020


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Contents

1 Introduction ............................................................................................................................ 8

Purpose of operating manual ........................................................................................... 8

Abbreviations ................................................................................................................... 8

2 Securities settlement market practices .................................................................................. 9

Business day and Business calendar ................................................................................ 9

Settlement day ................................................................................................................. 9

Non Baltic securities settlement in Issuer CSD (CBL) ..................................................... 10

Cash for settlement and corporate actions payments .................................................. 13

2.4.1 Central bank money settlement ............................................................................. 13

2.4.2 Commercial bank money settlement ..................................................................... 14

3 CSD system’s GUI usage guidelines ...................................................................................... 15

Operations related to securities account ....................................................................... 15

3.1.1 Securities account opening ..................................................................................... 15

3.1.2 Securities account modification ............................................................................. 22

3.1.3 Securities account closing ....................................................................................... 24

Operations related to securities settlement .................................................................. 24

3.2.1 Settlement instruction input................................................................................... 24

3.2.2 Matching criteria ..................................................................................................... 30

3.2.3 Tolerance matching ................................................................................................ 32

3.2.4 Allegement .............................................................................................................. 32

3.2.5 Settlement instruction amendment ....................................................................... 33

3.2.6 Hold and Release .................................................................................................... 34

3.2.7 Settlement instruction cancellation ....................................................................... 34

3.2.8 Settlement .............................................................................................................. 35

3.2.9 Recycling ................................................................................................................. 37

Operations related to Stock Exchange trades ................................................................ 37

3.3.1 Trade enrichment and confirmation....................................................................... 37

3.3.2 Trade enrichment and confirmation through SSI ................................................... 39

3.3.3 Instructing via settlement instruction .................................................................... 40


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3.3.4 Operations related to portfolio transfer ................................................................. 40

3.3.5 Portfolio transfer via FOP instructions ................................................................... 40

3.3.6 Portfolio transfer via CSD system’s portfolio transfer functionality ...................... 42

Operations related to open ended investment fund units ............................................ 43

3.4.1 Subscription of open ended investment fund units ............................................... 44

3.4.2 Redemption of open-ended investment fund units ............................................... 45

3.4.3 Swap of investment fund units ............................................................................... 47

Operations related to corporate action instructions ..................................................... 47

3.5.1 Cancellation of the previously accepted corporate action instruction .................. 47

3.5.2 Release of the corporate action settlement instruction by the Paying agent ....... 48

IPO related subscription instructions in EE SSS.............................................................. 49

3.6.1 General IPO procedure ........................................................................................... 49

3.6.2 Preliminary and Final Circular Letter sent by Nasdaq CSD Estonian branch .......... 49

3.6.3 Participants’ obligation on readiness to intermediate offerings in the Estonian market 49

3.6.4 Deadline for subscription orders collected during the subscription period .......... 50

3.6.5 Participants’ deadline for subscriptions orders collected during the last day of subscription period ............................................................................................................... 50

3.6.6 IPO Subscription instruction input .......................................................................... 50

3.6.7 Generation of settlement instructions by the CSD ................................................. 51

3.6.8 Nasdaq CSD’s deadline of informing market participants about changes in the IPO technical setup ...................................................................................................................... 52

Restriction instructions related to the pledging of securities ........................................ 52

3.7.1 Pledge registration .................................................................................................. 52

3.7.2 Pledge release ......................................................................................................... 53

3.7.3 Pledge modification ................................................................................................ 54

3.7.4 Pledge transfer ........................................................................................................ 54

3.7.5 Pledge appropriation .............................................................................................. 55

3.7.6 Pledge registration under financial collateral arrangement .................................. 56

Operations related to cash management ...................................................................... 56

3.8.1 Outbound Liquidity transfer from CSA to external cash account ........................... 57

3.8.2 Operations related to T2S cash management ........................................................ 57


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3.8.3 T2S Liquidity Transfers ............................................................................................ 58

3.8.4 T2S DCA Cash Balance ............................................................................................. 59

3.8.5 T2S DCA Postings .................................................................................................... 60

3.8.6 T2S DCA Forecast .................................................................................................... 60

Operations related to T2S auto-collateralization........................................................... 61

3.9.1 Auto-collateralization reimbursement ................................................................... 61

Operations related to settlement messaging and reporting ..................................... 62

3.10.1 Messages and report subscription .......................................................................... 62

3.10.2 Notifications via emails ........................................................................................... 65

3.10.3 End investor account notices subscription (EE SSS) ............................................... 65

3.10.4 Securities account balance statement .................................................................... 67

3.10.5 Securities account transactions statement ............................................................ 67

Operations related to billing....................................................................................... 68

Operations related to Lithuanian Saving Notes ......................................................... 68

3.12.1 Distribution of Savings Notes .................................................................................. 69

3.12.2 Early redemption of Savings Notes ......................................................................... 70

3.12.3 Corporate actions ................................................................................................... 71

Operations related to Shareholders Disclosure ......................................................... 71

Operations related to Latvian Initial Register ............................................................ 71

3.14.1 De-registration ........................................................................................................ 71

3.14.2 Number of securities to be de-registered .............................................................. 72

3.14.3 Cash management .................................................................................................. 73

3.14.4 Transfers to Initial Register ..................................................................................... 74

3.14.5 Insolvent company register .................................................................................... 74

Notifications regarding Insolvency and Operational Default Events ......................... 74

4 ANNEX 1 – Holidays calendar................................................................................................ 76

5 ANNEX 2 – Currency calendars ............................................................................................. 77

6 ANNEX 3 – Cash transfer instruction to settle LT savings notes ........................................... 78

7 ANNEX 4 – Cash transfer instruction to settle T2S eligible Baltic securities in non-T2S

currency ........................................................................................................................................ 80


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8 ANNEX 5 – Settlement instructions related to the CBL ........................................................ 81

9 ANNEX 6 – List of messages and reports .............................................................................. 84


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1 Introduction

Purpose of operating manual

This document sets forth guidelines and establishes conditions for participants on how to instruct securities account opening, settlement instructions and other relevant processes. This document serves as the CSD system’s (DEPENDQ) GUI usage guidelines and establishes basic data composition and conditions for the communication between the CSD and the CSD participants in addition to the Service Description and Messaging Guidelines.

Abbreviations

Abbreviation Explanation

BIC Bank Identification Code

CB/NCB Central Bank/National Central Bank

CSA Technical liquidity mirror account are opened by the CSD for CSD participants in order to segregate their cash balances and record transactions in the CSD system (e.g settle cash of Lithuanian Government Saving Notes)

CSD Central Securities Depository. The CSD throughout the document refers to the Nasdaq CSD

DCA Dedicated Cash Account is used for cash settlement in T2S. DCAs are opened by the National Central Banks (NCBs)

DVP Delivery versus Payment settlement instruction

EET Eastern European Time

EOD End of Day

FOP Free of Payment settlement instruction

GUI Graphical User Interface

ISD Intended Settlement Date

OTC Over-the-counter or off-exchange Trading

PD Payment Day

PM Payment Module (TARGET2)

T2, TARGET2 Pan-European real-time gross settlement (RTGS) payment system owned and operated by the Eurosystem (Trans-European Automated Real-time Gross settlement Express Transfer system)

T2S, TARGET2-Securities Pan-European platform for securities settlement, operated by the Eurosystem

T2S UDFS T2S User Detailed Functional Specifications

CSD system CSD system throughout the document refers to the CSD’s securities clearing, settlement and registry system, DEPEND

SSS Securities Settlement System


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2 Securities settlement market practices

Instruments issued and registered in the CSD system are collectively called Baltic instruments. Other instruments that are admitted in the CSD system through CSD links - non-Baltic instruments. Note that the Baltic instruments could be both T2S eligible and non-T2S eligible.

Business day and Business calendar

Business day is the day when the CSD system is open and operational. The CSD system is open for settlement on the TARGET2-Securities opening days, i.e. the CSD system is operational during local holidays if TARGET2-Securities is open on that day. Business calendar may vary for different currencies depending on the opening time of the relevant cash settlement system. More information on settlement calendar can be found in ANNEX 1 – Holidays calendar and ANNEX 2 – Currency calendars.

In general, the CSD is open for settlement from Monday to Friday. However, it is closed for any type of settlement on the following days in all currencies:

• All Saturdays; • All Sundays; • Easter Friday; • Easter Monday; • 1st of May (Labor Day); • 25th of December (Christmas Day); • 26th of December (Christmas Holiday); • 1st of January (New Year’s Day).

Any time references in this document are in the Baltic local time zone EET (CET+1), unless stated otherwise.

Settlement day

“General business hours” of the CSD system is period of time within business day which starts at 08:00 and ends at 19:00. During this time period the following actions are possible:

• Input and matching of settlement instructions; • Input and matching of maintenance instructions; • Input of restriction instructions; • Transfer of liquidity to payment module account necessary for executing settlement

instructions; • Settlement of settlement instructions; • Other operations.

Matching and maintenance of settlement instructions is executed continuously during general business hours. Note! Settlement instructions with Baltic T2S instruments are matched in T2S, if settlement instruction was not initially entered as already matched settlement instruction.


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Free of payment (FOP) settlement instructions are settled continuously in real time during the general business hours. FOP settlement is executed until 19:00.

Against payment (DVP) settlement instructions settle continuously in real time during the general business hours. DVP settlement is executed until 17:00.

During the end of day period (19:00-21:00):

• CSD system is open for participants’ queries (via GUI and messaging); • Between 19:45 and 21:00 CSD sends settlement instructions1 to T2S for processing in NTS

for ISD settlement. Note! ISD starts in T2S on ISD -1 at 21:00.

During nighttime period (21:00-08:00):

• CSD system is opened for participants’, however it is not foreseen that CSD participants will be using CSD system, therefore CSD Operations are not actively monitoring processes taking place during that time or supporting participants in case of possible erroneous actions;

• CSD system is synchronized with information received from T2S NTS (first NTS cycle shall finish by 23:20) and communicates settlement instruction status advice and/or confirmation messages to CSD participants (if subscribed).

• CSD system sends participants subscribed reports (after midnight).

Non Baltic securities settlement in Issuer CSD (CBL)

This section describes operations performed by the CSD and CSD participants when, as a result of a transfer of financial instruments registered with Clearstream Banking Luxembourg (hereinafter – CBL) are credited to or debited from the CSD omnibus account with CBL. Such instructions are mediated and therefore reflected in the CSD system.

CSD has opened multiple accounts in CBL for accounting financial instruments that are registered with CBL and are owned by CSD’s participants or by clients of CSD participants.

1 After T2S EOD, CSD reconciles corporate actions related balances. After successful reconciliation, the CSD will send corporate actions related settlement instructions to T2S, which will be processed during T2S NTS. Regular settlement instructions that are received from CSD participants are passed to T2S immediately.


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If CBL, in accordance with its rules, is obliged to open a separate financial instruments account for holding of specific financial instruments or for particular CSD participant’s clients, the CSD notifies the CSD participant accordingly. The CSD participant is obliged to submit to the CSD all the information necessary for opening the segregated account with CBL within five (5) business days from reception of the CSD notice. When the segregated account is opened the CSD will transmit account details to the CSD participant.

For each account opened with CBL, a cash account is linked to enable cash settlement.

All financial instruments that are issued in CBL defined core markets2 and settle in CBL accounting and settlement system are eligible for settlement. If a CSD participant in its own name or on behalf of its client wants to hold financial instruments issued in the CBL defined specific markets3, then the CSD participant notifies the CSD about that, by sending to the CSD official e-mail notice setting out what financial instruments the CSD participant intends to transfer, at least three (3) business days before the CSD’s account within CBL is credited. The CSD will notify the CSD participant about the permission or prohibition within three 3 (three) days from the CSD participants notification.

The CSD provides free of payment (hereinafter – FOP) and delivery versus payment (hereinafter – DVP) gross settlement for the financial instruments registered with CBL. Instructions for filling out settlement instruction that is sent to CBL is provided in ANNEX 5 – Settlement instructions related to the CBL.

Transfers between the CSD and CBL may be executed between 08:00 and 17:00 on all days that are business days for both the CSD and CBL, however, taking into account that on some occasions the transaction may be entered in the books on a date that is a business day for CBL but not for the CSD.

Where, by 17:00 on the settlement day (hereinafter – S day) the CSD has failed to receive from CBL a confirmation for executing a FOP or DVP settlement, the instruction is rolled over to the next settlement day and further on until the CSD has received a confirmation from CBL or until the settlement instruction is cancelled.

Where the date for book entry specified in the CBL confirmation is not a business day for the CSD, the CSD participant receives a confirmation from the CSD about the settlement on the first business day following the date specified by CBL in the confirmation.

The CSD system, upon a receiving a settlement instruction from the CSD participant, performs technical validation of the settlement instruction and also checks whether there is sufficient amount if underlying financial instruments available in the securities account in order to be able execute the instruction (in case of the delivering side).

2 Core markets – financial instruments recorded in international securities depositories (ISIN XS…), financial instruments issued in Italy, Austria, Netherland, France, Great Britain, Germany and USA.

3 Specific markets – all other financial instruments that are not issued in core markets.


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If the instruction is incorrect according to the technical validation, the CSD rejects the instruction and advises the CSD participant accordingly.

In case of the receiving DVP instruction (buy side) the CSD participant transfers the cash amount necessary for the execution of DVP settlement to the CSD’s cash account opened with CBL accounting and settlement system.

FOP/DVP settlement instructions By 13:00 on the settlement day Transfer cash for DVP buy settlement

instructions cash leg

CBL instruction deadline By 17:00 on the settlement day

CBL may reject a settlement instruction with incorrect counterpart information. When receiving a CBL rejection to execute a settlement instruction, the CSD system cancels the CSD participant’s settlement instruction.

Settlement instructions are cancelled according to the CBL Rules available on CBL website www.clearstream.com.

To cancel a settlement instruction that has been submitted to the CSD, a CSD participant sends the CSD a cancellation instruction. Upon receiving a cancellation message from a CSD participant, the CSD does the following:

• If the instruction submitted by the CSD participant to the CSD has not yet been forwarded to CBL, the CSD participant can cancel it and CSD approves cancelation accordingly;

• If the instruction submitted by the CSD participant to the CSD has already been forwarded to CBL, the CSD system sends a cancellation message to CBL provided that settlement of the instruction has not yet been initiated in CBL accounting and settlement system.

Upon receiving a confirmation from CBL about the cancellation, the CSD system cancels the instruction submitted by the CSD participant.

Data exchange between the CSD and CBL is performed via SWIFT or by using CreationOnline solution provided by CBL.

In accordance with FATCA4, CBL has registered the CSD as non-qualified intermediary and for execution of corporate actions for those financial instruments held in the CSD’s accounts with CBL, CBL in respect of the CSD is acting as the tax withholding agent. Based on the aforementioned, the CSD participants shall disclose to the CSD all information that the CSD is obliged to submit to CBL for execution of financial instruments corporate actions.

4 FATCA -Foreign Account Tax Compliance Act


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Cash for settlement and corporate actions payments

2.4.1 Central bank money settlement

2.4.1.1 Baltic non T2S instruments

Participants will have technical liquidity mirror account (CSA) opened in the CSD system for central bank money settlement of Baltic non T2S instruments. Such technical liquidity mirror account will be only used for settlement of the Lithuanian Government Savings notes in accordance with the Chapter IV of the CSD Rulebook.

In case of distribution and early redemption of the Lithuanian Government Savings notes one of the counterparts is always the CSD in the role of an Issuer Agent.

Cash settlement of the Lithuanian Government Savings notes is carried out according to the Lithuanian statutory calendar in the CSD system.

In the event of Lithuanian Savings notes distribution, a cash agent servicing a CSD participant has to transfer required cash amount to the Nasdaq CSD Lithuanian branch T2 account (as described in ANNEX 3 – Cash transfer instruction to settle LT savings notes), referencing the cash delivering cash agent’s dedicated CSA opened in the CSD system, to ensure timely settlement on the intended settlement day. After the liquidity is received in the CSD T2 account, the CSD will mirror it in the CSA in the CSD system.

In case of Lithuanian Savings notes early redemption, the issuer will transfer the required liquidity before 09:00 to the Nasdaq CSD Lithuanian branch SEPA MMS account, from where the cash is transferred to the Nasdaq CSD Lithuanian branch T2 account. The settlement will start as soon as the cash is received.

Settlement of cash legs is reflected in the CSD system in the CSAs that belong to the cash agents involved in Lithuanian Savings notes settlement.

All the remaining cash balances are automatically swept out from the Nasdaq CSD Lithuanian branch T2 account to the cash agent’s T2 account according to the following time schedule:

• The first automated cash sweep is scheduled at 11:00; • The second automated cash sweep is scheduled at 17:00.

It is also possible to request ad hoc liquidity return from a CSA during the day. Liquidity return transactions are reflected in the cash agent’s CSAs in the CSD system.

Cut-off time for cash agents to transfer liquidity to the Nasdaq CSD Lithuanian branch T2 account is 16:00.

Cut-off time for the issuer to transfer liquidity to the Nasdaq CSD Lithuanian branch SEPA-MMS account is 09:00.

2.4.1.2 Baltic T2S instruments

Cash settlement of Baltic T2S eligible instruments takes place in DCAs in T2S. The T2S DCAs can be opened by any National Central Bank participating in T2S and are used for the settlement of


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cash transactions arising in T2S, such as cash leg settlement of settlement instructions, corporate actions etc.

Payment Banks are responsible for liquidity management in T2S. Therefore, the Payment Banks are responsible for ensuring sufficient liquidity in the DCA by the start of T2S night time settlement at 21:00 and throughout the settlement day.

Just before the EOD period, at 18:45, all remaining cash in the DCAs is automatically swept to the linked main PM account in T2.

Issuers’ deadline for transferring corporate action related cash payments to the Nasdaq CSD Lithuanian branch T2 account is no later than 12:00 one business day before the payment date (PD-1 business day) to ensure timely processing of corporate actions by the CSD. Following cash transfer details have to be used:

• Receiver: Nasdaq CSD Lithuanian branch; • BIC: CSDLLT22577; • IBAN: LT119057700000000001.

If issuer (or its agent) is handling the cash distribution outside the Nasdaq CSD, Nasdaq CSD will not follow the CA standards.

2.4.2 Commercial bank money settlement

Besides the EUR currency, the CSD system supports settlement in USD via the linked CSDs. DVP settlement in USD is also available for Baltic instruments in the CSD only in case it is intra-CSD settlement (i.e. between two CSD participants). DVP with T2S eligible Baltic instruments in USD is not available for cross-CSD settlement in T2S. Cash leg for T2S eligible Baltic securities in non-T2S currency is settled outside T2S via an External Cash Account opened in the name of the CSD in the commercial bank. For such purpose, the CSD will open technical liquidity mirror account (CSA) for each participant in the CSD system (as described in section 3.8) where sub-bookkeeping records of cash transfers are kept.

On the ISD as soon as possible but no later than 12:00, the buyer’s Cash Agent, Issuer’s Paying Agent or the Issuer will transfer the required liquidity to the CSD External Cash Account for USD cash leg settlement. If no cash is received in CSD External Cash Account for USD by the deadline, instructions will be recycled to the next settlement day (as described in section 3.2.9).

It is important to note that the DVP settlement of T2S eligible Baltic instruments in foreign currency, which is accepted as settlement currency in the CSD, is commenced on the gross basis separately for each DVP. The settlement amount is transferred from the CSD’s external cash account in the commercial bank to the seller’s CSD participant’s cash agent’s external cash account for the respective currency.


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3 CSD system’s GUI usage guidelines

This section provides the CSD system’s GUI usage guidelines. In matters that are not covered here, the GUI user manual should be taken as the basis.

Operations related to securities account

3.1.1 Securities account opening

Securities account opening data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through the menu option Holders -> Insert -> Account Insert.

Note! Securities account opening in CSD system triggers also securities account opening in T2S.

Attribute Description Presence5

Account Reference An account identifier (number) is assigned by CSD automatically upon opening the securities account Account number is generated according to following algorithm: 1) Pre-defined prefix (99), 2) Appended with a numeric global sequence value converted to string (decimal) left padded with zeros to have a pre-defined length (11), 3) Appended with a checksum digit according to 7-3-1 method.

A

Alternate Account Reference

Used by participants for their internal purposes. This as such is not used within CSD system.

O

Account Class The following securities account type is entered in the data input field: 1) If the securities account is declared to hold only the assets belonging to a single beneficial owner other than account operator itself – select the option “Owner Account”. 2) If the securities account is a joint securities account and the securities held in the account are the object of joint ownership – select the option “Joint Owner Account”. 3) If the securities account is a joint securities account and the securities held in the account are the object of co-ownership – select the option “Co-Owner account”. 4) If the securities account is declared to hold the co-mingled assets belonging to multiple Clients of the Nominee – select the option “Nominee Account”.

M

5 Here and hereinafter: “M” – Mandatory field, “O” – Optional field, “A” – Automatically filled.


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5) If the securities account is declared to hold only the assets belonging to a single Client of the Nominee – select the option “Segregated Nominee Account”. 6) If the securities account is declared to hold only the assets of a single client (pledgor) pledged in support of an external collateral arrangement with a pledgee– select the option “Owner Pledge account” 7) If the securities account is declared to hold only the assets belonging to the account operator – select the option “Participant own account”. 8) If the securities account is declared to hold only the assets belonging to the account operator as a pledgor – select the option “Participant pledge account”. 9) If the securities account is declared to hold only the assets belonging to the account operator’s multiple clients – select the option “Omnibus account”. 10) If the securities account to be opened is intended for depositing of securities with a notary in accordance with the Notaries Regulation or other legal acts applicable to the activities of notary – select the option “Notary securities account”. 11) If the securities account to be opened is intended for use by a bailiff as the official securities account of the bailiff referred to in the Code of Enforcement Procedure in connection with the sale of arrested securities – select the option “Bailiff securities account”. 12) If the pledgee does not have a securities account, the account operator representing the pledgee may open a technical securities account – option “Pledgee Technical account” to store the pledgee information. Such account can only be used for information purposes and may never have a balance or be indicated in a settlement instruction. 13) Issuer Temporary Account6 – technical securities account that is registered in the name of account operator and is segregated by security is used for holding balances of account operator’s multiple clients.

Account Type Account holder who is requesting the opening of a securities account is entered in the data input field:

M

6 Issuer temporary accounts are not involved in settlement process except the ones determined the Chapter IV of the Rulebook and Lithuanian law.


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1) If the securities account is opened for a natural person – option “Private person”. 2) If the securities account is opened for a legal entity (both private and public entity) – option “Legal entity”.

Participant Reference The reference/archiving feature allowing the validation of the underlying account opening instruction which is the basis for the opening of an account.

O

Account Category The data input field is completed with one of the following classification markers of the owner of the securities account configured by the CSD system: 1) 11001 – Public non-financial corporations 2) 11002 – National private non-financial corporations 3) 11003 – Foreign controlled non-financial corporations 4) 121 – Central bank 5) 122 – Deposit-taking corporations except the central bank 6) 123 – Money market funds 7) 124 – Non-MMF investment funds 8) 125 – Other financial intermediaries 9) 126 – Financial auxiliaries 10) 127 – Captive financial institutions and money lenders 11) 128 – Insurance corporations 12) 129 – Pension funds 13) 1311 – Central government 14) 1313 – Local government 15) 1314 – Social security funds 16) 14 – Households 17) 15 – Non-profit institutions serving households Classifier is used in reporting to NCBs.

M

Tax Residence The country of the tax residence applied for the securities account

M

T2S Securities Account ID

The data input field specifying an identifier for the T2S securities account. It is assigned by the CSD system for the accounts opened in the T2S with following convention CSD BIC4 + assigned securities account number for the account. This field cannot be populated by the CSD participants

A

T2S Account Hold The data input field that is a T2S attribute and represents Hold Release Default. If the attribute value of the securities account is set to “Yes”, the settlement instruction involving this securities account is put automatically On Hold.

O


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In case the attribute value of securities account is set to “No”, the settlement instruction involving this securities account is not automatically put On Hold.

T2S Allocation Account7

Data input field specifies information to identify securities accounts where allocation instructions are posted (End Investor Flag). Account operator who is operating in EE SSS can mark account allocation to DVFO (DVP/FOP account allocations) if account is opened for end investor8. In all other situations, account allocation has to be set to NONE (No account allocations).

A

T2S Pricing Scheme Defines how the pricing scheme is applied to the securities account. Set automatically by the system to ISIN (specifying that securities account is charged in T2S by ISIN).

A

TAB NAME (repeating group)

Account relation type The data input field specifying the name relation type. Possible values:

Holder

Joint-owner

Co-owner

Pledgee

Representative

Mail receiver

Joint-owner - disposer

Co-owner - disposer

Pledgee – disposer

Disposer - Informational indicator showing that the person has a “Right to Dispose” of, or not, collateral held on the account.

M

7 By default CSD prefills this field to hold value DVFO, participants who are not operating in EE SSS have to change field value to NONE. Also if account is not opened to end investor then participant has to specify value of the field to be NONE.

8 All retail investor accounts are eligible to be flagged as ‘end-investor account’. In accordance with T2S Framework Agreement a retail investor means a ’retail client’ in the meaning of MiFID (EU Directive 2004/39/EC). A retail client is a client who is not a professional client according to Annex II of MiFID.


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Surname The data input field is completed with information in accordance to the person who requested account opening: 1) If the securities account is opened for a natural person – surname of the person. 2) If the securities account is opened for a legal person – name of the legal entity in local language.

M

Forenames The data input field is completed with information in accordance to the person who requested account opening: 1) If the securities account is opened for a natural person – first name of the person. 2) If the securities account is opened for a legal person – the data input field is left empty.

M O (legal entity)

Address type The attribute specifying postal address of the person. Possible values: Main, Office, Other Main address is mandatory other instances are optional.

O/M

Address line 1 The address of the residence or location of the person requesting the opening of a securities account is to be entered in the data input field in the following format: street, house number, apartment number

O

Address line 2 Additional field reserved for address. O

City The local government of the residence or location of the person requesting the opening of a securities account is to be entered in the data input field.

O

State The administrative-territorial unit of the residence or location of the person requesting the opening of a securities account is to be entered in the data input field

O

Postcode The postal code of the residence or location of the person requesting the opening of a securities account is to be entered in the data input field.

O

Country The name of the country of residence or location of the person requesting the opening of a securities account is to be entered in the data input field.

O

TAB Contact

Phone number If necessary, the phone number of the person requesting the opening of a securities account is to be entered in the data input field.

O

Mobile number If necessary, the mobile phone number of the person requesting the opening of a securities account is to be entered in the data input field.

O


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Fax number If necessary, the fax phone number of the person requesting the opening of a securities account is to be entered in the data input field.

O

E-mail If necessary, the e-mail address of the person requesting the opening of securities account is to be entered in the data input field.

O

TAB Other

ID Number The data input field is completed with information in accordance to the person who requested account opening: 1) If the securities account is opened for a natural person (having the nationality of one of the Baltic states) – personal identification code of the person; if not available, date of birth (in the format date, month and year of birth). 2) If the securities account is opened for a legal person (registered in one of the Baltic states) – the company’s Registration Number in registration country. 3) If the securities account is opened for a fund – fund managers’ registry code 4) If the securities account is opened for legal entities, who have ID code from a foreign country (not EE, LV, LT), on ID code field a unique national registration number preceded by the country code for its country of registration9 or LEI has to be indicated. 5) If the securities account is opened for foreign private persons, who have ID code from a foreign country (not EE, LV, LT), the national identifier within the meaning of Article 6 of Commission Delegated Regulation (EU) 2017/59010.

M

ID Number Type The data input field is completed with information in accordance to the person who requested account opening: 1) If the securities account is opened for a natural person (having the nationality of one of the Baltic states) and depending on the person’s ID Number in registration country specified above – select either EE-SOCS, LV-SOCS or LT-SOCS. 2) If the securities account is opened for a legal person (registered in one of the Baltic states) and depending on the

M

9 In force from September 1, 2020. Example ID code SE219872701: SE is ISO two-letter code for Sweden; followed by the national registration number.

10 In force from September 1, 2020. Regulation (EU) 2017/590 supplementing Regulation (EU) No 600/2014 of the European Parliament and of the Council with regard to regulatory technical standards for the reporting of transactions to competent authorities

https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2017.087.01.0449.01.ENG&toc=OJ:L:2017:087:TOC%20


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company’s Registration Number in registration country specified above – select either EE-NRIN, LV-NRIN or LT-NRIN. 3) ID Number Type OTHR should only be used if person who requested account opening has foreign ID Number.

Residence The data input field is completed with information in accordance to the person who requested account opening: 1) If the securities account is opened for a natural person – country of residence of the natural person. 2) If the securities account is opened for a legal person – company’s registration country. 3) If the securities account is opened for a legal person as nominee – nominee’s registration country.

M

Nationality The data input field is completed with information specifying the nationality of the private person in whose name a securities account is opened.

O

Preferred communication method

The attribute specifying the holder’s preferred method of communication. Based on information provided in data input field the Contact details below are specified. Possible values: Post, Phone, Fax, E-mail.

O

Preferred communication language

The attribute specifying the holder’s preferred communication language.

O

Percentage Interest For joint owner account, the proportion of the legal share of each joint owner in percentage. Only available and mandatory for Joint owner accounts.

O

Date of Birth The data input field is completed with information in accordance to the holder who requested account opening: 1) If the securities account is opened for a natural person – date of birth of the person. 2) If the securities account is opened for a legal person – date of the incorporation of the organization.

M

O (legal entity)

TAB MANDATE (repeating group)

Mandate type The data input field specifying the cash account type connected to securities account. Possible values: Bank (External cash account)

M

Cash Account Name The name of the holder of the bank account (IBAN). If the field is not completed by participant, the name of the holder of the bank account, will be populated by CSD system to the name of the holder of the securities account. Mandatory if the Mandate type selected is Bank.

O/M


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IBAN The data input field is completed with information in accordance with: 1) If Mandate type selected is Bank – data input field specifies bank account (IBAN) indicated by the holder to which payments are made from securities transfers by Bank (cash account servicer). Mandatory for securities accounts opened in EE SSS.

O/M

BIC Code The BIC-code of the bank (Account Servicer) who is managing referenced bank account (IBAN) entered into the data of the securities account. Mandatory if the Mandate type selected is Bank.

O/M

Currency The data input field specifying currency of the cash account. O

TAB Notepad

Notepad Free text field for additional comments. O

3.1.2 Securities account modification

The instruction for modifying the securities account data is submitted through the CSD system by opening the local menu option “Edit” with right-click on the respective securities account found through menu option Holder -> Account Browse. The opened data input form is completed based on the same principles as for the table given for “Securities account opening”.

Note! Only modification of T2S Hold attribute in CSD system triggers securities account modification in T2S. Only limited set of attributes can be amended. It is prohibited to change the following details in the information entered in the CSD system in connection with a securities account:

• Type of the securities account; • Holder of the securities account (i.e. replacing current holder of the securities account by

another person); • Details of joint owners registered in a Joint Owner Account (joint owners or co-owners,

respectively).

If an account operator is notified of changes in the details of joint owners registered in a Joint Owner Account (joint owners or co-owners), the account operator opens a new Joint Owner Account and registers the new joint owners accordingly. Securities that are the object of joint ownership are transferred in the new Joint Owner Account.

If securities registered in a Joint Owner Account no longer constitute the object of joint ownership, such securities are transferred to the securities account opened in the names of the exclusive owners of the securities.

An account operator will submit settlement instructions to perform actions described above to the CSD based on a transfer order received from the joint owners or co-owner having the right of disposal in respect of the Joint Owner Account. The account operator will verify the person’s


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right of disposal on the basis of the information which has been provided by the securities account holder and which has been registered in the Joint Owner Account.

3.1.2.1 Securities account linking with DCA

Securities accounts that are related to DVP settlement in T2S must have at least one default DCA link defined in T2S. However, there can be more than one DCA link per securities account in T2S, meaning that if a participant has multiple DCA accounts, those can be linked as alternative DCAs to the securities account.

The main rule is that CSD participants inform the CSD about the default DCA to be used to settle securities against cash in T2S. Such default DCA is set in the CSD system on participant level for each account operator. Whenever an account operator opens a new securities account, the CSD links the default DCA to this new securities account in T2S.

3.1.2.2 Create securities account link with DCA

If the account operator wants to assign alternative DCA to the securities account, it is possible to add DCA link after securities account opening is finalized in T2S. This action is submitted through the CSD system by finding to respective securities account through menu option Holder -> Account Browse and navigating to the “Liquidity A/c Links” tab. By using right-click “Insert” operation following Create Liquidity Account Link window is opened and has to be filled in with the following details:

Attribute Description Presence

Account Reference Prefilled by the system with securities account number that is linked with DCA.

A

Liquidity Account Reference

Specify alternative DCA in T2S operated by a central bank and associated with the T2S securities account.

M

Liquidity Account Participant Code

O

Valid From Date Defines the date since when the securities account is linked to the DCA.

M

Valid To Date Defines the date until when the securities account is linked to the DCA.

O

Default Flag Specifies whether created account link is set as default for settlement.

O

T2S Auto Collateralization

Specifies whether participant can use the securities, earmarked as collateral and held on the securities account, for auto-collateralization operations on the linked participant DCA.

O

T2S Settlement Specifies whether the DCA is used for the settlement of the cash leg of a settlement instruction.

O

If the account operator has several DCAs linked to a single securities account in T2S, T2S will use the default DCA of that securities account during cash settlement. Should T2S use other than the


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default DCA, a CSD participant is required to specify the respective DCA in the settlement instruction.

3.1.2.3 Remove securities account link with DCA

If the account operator wants to un-link (alternative) DCA from the securities account, it is possible to remove securities account link with DCA. This action is submitted through the CSD system by finding to respective securities account through menu option Holder -> Account Browse and navigating to the “Liquidity A/c Links” tab. By using right-click “Cancel” operation Account operator has to specify the “Valid to Date”, DCA link with securities account is removed from that date and DCA cannot be used for cash leg settlement.

3.1.3 Securities account closing

The instruction for closing a securities account is submitted through CSD system by opening the local menu option “Close T2S Account” with right-click on the respective securities account found through menu option Holder -> Account Browse. Note! Securities account closing in CSD system triggers also securities account closing in T2S. It is possible to specify securities account closing date, it should be noted that the closing date must be greater than the opening date.

It is not possible to close a securities account if securities balance of the account is greater than zero; it means that securities account has securities registered in it, or is used in active settlement instructions. In addition, it is not possible to close securities account if there are any active securities account DCA links, such links have to be removed beforehand.

If already closed securities account receives income securities based on an application from the Issuer because of a corporate action, the CSD operator will re-open the account that allows transfer of income securities into the account.

Operations related to securities settlement

3.2.1 Settlement instruction input

Settlement instruction data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through menu option Settlement -> Insert -> Settlement Instruction.


Already Matched Instruction

The data input field specifies that the instruction is entered as already matched settlement instruction.

O

Instruction Type Specifies how the transaction is to be settled. The following is entered to the data input field according to the options configured in the CSD system: 1) Option “DvP” if the movement of the securities is done against cash. 2) Option “FoP” if the movement of the securities is done without cash movement.

M


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Securities Movement Type

Specifies if the movement on a securities account results from a deliver or a receive instruction. The following is entered to the data input field according to the options configured in the CSD system: 1) Option “Deliver” if the account operator entering the data is the account operator of the delivering (securities selling side) securities account. 2) Option “Receive” if the account operator entering the data is the account operator of the receiving (securities buying side) securities account.

M

Transaction Type An attribute characterizing the circumstances of the transaction is entered to the data input field according to the options configured in the CSD system. 1) Option “TRAD” if the instruction is related to settlement of a trade. 2) Option “REDM” if the instruction is related to redemption of fund units. 3) Option “SUBS” if the instruction is related to subscription of fund units. 4) Option “OWNI” if the instruction is related to portfolio transfer within the same account operator. 5) Option “OWNE” if the instruction is related to portfolio transfer between two account operators, incl. external portfolio transfer. 6) Option “COLI” if the instruction is related to a collateral transaction, from the point of view of the collateral taker or its agent. 7) Option “COLO” if the instruction is related to a collateral transaction, from the point of view of the collateral giver or its agent. 8) Option “BSBK” if the instruction is related to a buy sell back transaction. 9) Option “CNCB” if the instruction is related to a collateral delivery/receipt to a national central bank for central bank credit operations. 10) Option “RVPO” if the instruction is related to a reverse repurchase agreement transaction. 11) Option “SECB” if the instruction is related to a securities borrowing operation. 12) Option “SECL” if the instruction is related to a securities lending operation.

M


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13) Option “SBBK” if the instruction is related to a sell buy back transaction. 14) Option “TRPO” if the instruction is related to a triparty repurchase agreement. 15) Option “TRVO” if the instruction is related to a triparty reverse repurchase agreement. 16) Option “TURN” if the instruction is related to a turnaround: the same security is bought and sold to settle the same day, to or from different brokers. Note! Transaction type is not matching field

Account Reference Account to or from which a securities entry is made in a given settlement instruction is entered to the data input field.

M

ISIN Code The ISIN of the security that is the object of the securities transfer is entered in the data input field.

M

Quantity Total quantity of securities to be settled which is the object of the transfer is entered in the data input field: 1) Quantity expressed as a number of securities if securities to be settled are accounted in units. 2) Quantity expressed as an amount representing the face amount if securities to be settled are accounted in face amount.

M

Settlement Amount The total value of the transaction is entered to the “Amount” data input field. Mandatory if payment type is against payment.

O/M

Currency The currency of the transaction is entered in the “Currency” data input field. Mandatory if payment type is against payment. Currencies different than those mentioned in section 2.4.2 may be indicated at a transaction only in case of transfers of securities without payment.

O/M

Price The attribute specifies the price of the traded securities. This is the deal price of the individual trade transaction.

O

Price Type Type of price in which the settlement amount is expressed in the instruction. Mandatory if the Price is specified.

O/M

Trade Date The data input field specifies the date on which the trade was executed. This date cannot be a date in future.

M

Intended Settlement Date

The data input field specifies the date when the transaction becomes eligible to be submitted to the settlement, i.e. date at which the securities are to be delivered or received.

M


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Participant Reference Unique instruction identification assigned by the instructing party, is treated as the Account Owner Reference in T2S. Maximum length is 16 symbols and specific symbols are prohibited. Also reference is case sensitive.

M

Common Reference Unique reference agreed between the two trade counterparties to identify the trade. Maximum length is 16 symbols and specific symbols are prohibited. Also reference is case sensitive.

O

Cum/Ex indicator The data input field enables the counterparties in a transaction to indicate conditions under which the trade was executed. Possible values: CumCoupon – Indicates whether the trade is executed cum coupon. ExCoupon – Indicates whether the trade is executed ex coupon.

O

Opt-out indicator The attribute enables the counterparties in a transaction to opt-out from generation of settlement instructions as part of a corporate actions transaction management.

O

Partial Settlement Indicator

The data input field is marked if the account operator allows that the transaction is settled partially. Possible values: PART – partial settlement is allowed NPAR – partial settlement is not allowed PARC – partial settlement is allowed but must satisfy a cash value minimum PARQ – partial settlement is allowed but must satisfy a minimum quantity of securities By default it is set by the system to hold value NPAR.

O

Party Hold Flag This field is ticked if the account operator requests to temporarily withhold the underlying settlement instruction from settlement. The settlement instruction will become eligible for settlement only after it is released.

O

Accept After Deadline If ADEA transaction code is specified in RECE and DELI DVP settlement instructions they are considered BAMT (Billateral Agreed Treasury Management) transactions and can be settled after DVP cut of time

O

Priority The transaction settlement priority is entered to the data input field: 1) High Priority (03) 2) Normal Priority (04)

O


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Liquidity Account The data input field used to select or override a technical liquidity mirror account or T2S DCA used for cash settlement. This is applicable only in case there are several technical liquidity accounts linked to the securities account. When no technical liquidity account is instructed, then the default technical liquidity account is used.

O

TAB Settlement Parties

Participant CSD Code The data input field specifies the CSD where settlement party is a participant.

A

Counterparty CSD The data input field specifies the CSD where counterparty is a participant.

M

Participant Side (repeating group)

Party Sequence (1) If ‘1’ is entered in the data input field it specifies the settlement party in a settlement chain that interacts with the CSD.

M

Party BIC The data input field specifies the settlement party in the instruction.

M

Party Safekeeping Account

The following is entered to the data input field: 1) By the delivering account operator – to be debited securities account number in the CSD. 2) By the receiving account operator – to be credited securities account number in the CSD.

M

Party Sequence (2) If ‘2’ is entered in the data input field it specifies settlement party that, in a settlement chain interacts with the Party 1.

O

Party BIC

The data input field that specifies the client of the settlement party, i.e. BIC of client of settlement party.

O


The data input field that specifies the securities account of the client of the delivering/receiving settlement party. Securities account of client of settlement party

O

Party Name The data input field that specifies the client of the settlement party, in case of legal or natural person Name of the person.

O

Counterparty Side (repeating group)


M

Party BIC The data input field specifies the settlement counterparty in the instruction.

M


The data input field specifies the settlement counterparty’s securities account in the CSD where counterparty is a participant.

O


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Linked CSD Party BIC The data input field specifies the settlement counterparty in linked CSD in T2S

Linked CSD Party Safekeeping Account

The data input field specifies the settlement counterparty’s T2S securities account ID in the linked CSD where counterparty is a participant.

Party Sequence (2) If ‘2’ is entered in the data input field it specifies settlement counterparty that, in a settlement chain interacts with the Party 1.

O

Party BIC

The data input field that specifies the client of the settlement counterparty, i.e. BIC of client of settlement counterparty.

O


The data input field that specifies the securities account of the client of the delivering/receiving settlement counterparty. Securities account of client of settlement counterparty

O

Party Name The data input field that specifies the client of the settlement counterparty, in case of legal or natural person Name of the person.

O

TAB Cash Parties11

Cash Agent (Debtor/Creditor)

The attribute of the debited or credited cash agent entered to the data input field according to the transaction specifics.

O

Cash Agent’s Cash Account

The attribute of the debited or credited cash agent’s cash account entered to the data input field according to the transaction specifics.

O

Ultimate Debtor (Creditor) Cash Account

The attribute of cash account information for Cash Agent. This cash account information is not used for cash settlement in CSD.

O

Ultimate Debtor (Creditor)

The attribute field of ultimate debtor (creditor) information for Cash Agent. Mandatory if ultimate debtor’s (creditor’s) cash account is specified.

O/M

TAB Other

Place of Trade Type The attribute of market in which a trade has been executed. Possible values: EXCH – Stock exchange OTCO – Over the Counter

O

Place of Trade (MIC) The attribute of Market Identification Code (MIC) in which a trade has been executed.

O

TAB Linkages

Pool Reference Collective reference identifying a set of transactions. O

11 Used is cross-CSD scenario when cash is not settled in the same CSD where instruction is created


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Linkage Type If the settlement of the transaction is related to the settlement of another (other) transaction(s), linkage type is indicated in the data input field according to the options configured in the CSD system. Possible values: BEFO, AFTE, WITH, INFO

O

Linked Match Participant Reference

The linked transaction Participant Reference is indicated in the data input field.

O

Reference Owner BIC The linked transaction Participant Reference Owner (BIC code) is indicated in the data input field.

O

3.2.2 Matching criteria

CSD system’s matching criteria are harmonized with T2S matching criteria, it means that the matching rules are the same for the settlement instructions to be settled in the CSD system and for the settlement instructions to be settled in T2S.

Settlement instructions with Baltic non T2S instruments are matched continuously in the CSD system. Not matched settlement instructions with Baltic T2S eligible instruments are matched in T2S.

3.2.2.1 Mandatory matching fields

For two settlement instructions to match the following mandatory matching fields must be present in both settlement instructions and their values should be the same for the corresponding delivering and receiving settlement instructions.

• Securities movement type (deliver or receive); • Payment type (free of payment or against the payment); • ISIN code; • Settlement quantity (quantity in unit or nominal value); • Trade date; • Intended settlement date; • Delivering (settlement) party BIC; • Receiving (settlement) party BIC; • CSD of Delivering party; • CSD of Receiving party; • Currency (N/A if payment type „free of payment“); • Settlement amount (N/A if payment type „free of payment“); • Credit/debit indicator (N/A if payment type „free of payment“).

3.2.2.2 Additional matching fields

Additional matching fields must match in case one of the counterparties has provided a value in the additional matching field. The other counterparty has to indicate the same value in the same


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field for the settlement instructions to match. In case no value is provided in the counter instruction, then the settlement instructions do not match.

• Opt out indicator; • Cum/Ex indicator; • Currency; • Settlement amount; • Credit/debit indicator.

Note! Settlement instruction has to have correct additional matching information when entering the CSD system, i.e. opt-out or cum/ex indicators cannot be amended after the entry moment.

3.2.2.3 Optional matching fields

Optional matching fields must match in case both counterparties have provided values in the corresponding optional matching fields. In case one party leaves the field empty, the settlement instructions will still match.

• Common reference; • Client of settlement party; • Client of settlement counterparty; • Securities account of client of settlement party; • Securities account of client of settlement counterparty.

Note! Settlement instruction has to have correct optional matching information when entering the CSD system, i.e. information entered on optional matching fields cannot be amended after the moment of entry.

Market practice for usage of additional matching fields

Opt-out indicator should be used if settlement party of a transaction wants to opt-out from market claim/transformation process. Both counterparts choice has to be aligned.

The attributes Currency, Settlement amount and credit/debit indicator are defined as additional matching fields in T2S for FOP instructions in order to minimize the risk of mismatching of settlement instructions containing cash leg in a non T2S currency.

Market practice for usage of common reference field

It is advice for both settlement parties to use a common reference (optional matching field) in the following situations:

The CSD participant that does not use trade capture functionality and instructs the CSD by itself are advised to use trade number as the common reference as this will ensure that settlement instruction matches with the correct counter-instruction.

Both settlement parties are advised to use a common reference for settlement instructions in non-EUR currencies (Conditional Settlement in T2S) in order to secure that such transactions match with the correct counterparty’s instruction in T2S.

Otherwise, transformed DVP instruction as a FOP instruction in T2S can result in incorrect matching, e.g. a foreign currency FOP instruction could be matched to a real FOP instruction.


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3.2.3 Tolerance matching

Tolerance matching is applied if the settlement amounts input by the counterparties in the settlement instruction differ by a predefined tolerance amount.

The amount of acceptable tolerance range depends on the settlement amount indicated in the settlement instructions, i.e. for retail transactions with values up to and including EUR 100 000, the applicable tolerance amount is EUR 2. Transactions with values over the EUR 100 000, the applicable tolerance amount is EUR 25.

In case there are several settlement instructions that could potentially match and have the only difference in settlement amount within the tolerance matching range, the settlement instructions with the smallest settlement amount of difference will match. Such matched settlement instructions are submitted for settlement and a settlement amount indicated by the seller (deliverer) of the securities is used. Participant that has sent the buy settlement instruction is informed of the new settlement amount through sese.024 containing the new tolerance matched settlement amount.

If the settlement amount is out of the tolerance range, the settlement instructions will not match.

3.2.4 Allegement

Allegement screen in the CSD system is available to all relevant participants through menu option Settlement -> Browse -> Allegements Browse. It informs the account operator that another party has instructed against it and no matching instruction was found to complete matching.

Allegement messages are sent immediately to subscribed participants via A2A for Baltic non-T2S eligible instruments meaning that the settlement instruction input will trigger immediate allegement message to the alleged party (counterparty). If both parties of the settlement instruction belong to same participant, allegement message is not sent out.

Allegement messages for Baltic T2S eligible instruments are sent (via A2A) to subscribed participants as soon as the allegement message is received from T2S. T2S will send allegement messages with predefined delay periods

• 1-hour delay period from the first unsuccessful matching attempt of a settlement instruction (standard delay period), or

• 5-hour delay period measured backwards from the FOP cut-off time on the intended settlement date (before cut-off).

T2S will send out an allegement at the earliest point in time between the results of the calculation using each of the two predefined delay periods.

For example, if a FOP settlement instruction is received after 14:00 (EET) on the ISD, the FOP cut-off time is 19:00 (EET) and the settlement instruction is not matched in the first matching attempt, then the allegement message is sent to the alleged party immediately, because the second parameter applies as the earliest point of time.

As soon as settlement instructions match allegement removal message is sent to an account operator to acknowledge that the previously sent allegement is no longer outstanding, because


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the alleged party has sent its instruction. Allegement entry also disappears from the CSD system’s Allegement browser.

When settlement instruction initiating party cancels unmatched settlement instruction, allegement cancellation message is sent to the account operator informing that previously sent allegement message is no longer outstanding. Allegement entry also disappears from the CSD system’s Allegement Browser.

3.2.5 Settlement instruction amendment

The CSD system’s settlement instruction amendment principles are harmonized with T2S, which means that only a limited set of attributes of a settlement instruction can be amended and rules are the same for both the settlement instructions to be settled in the CSD system and in T2S.

It is possible to amend the following processing indicators of a settlement instruction:

• Settlement priority; • Link information; • Partial settlement indicator.

The instruction for amending settlement priority of the settlement instruction is submitted through the CSD system by opening the local menu option “Set Priority” with right-click on the respective settlement instruction found through menu option Settlement -> Settle Instructions Browse.

If a settlement instruction is initially inserted as an already matched instruction (Already Matched Instruction flag is ticked), then it is possible to amend both legs of the settlement instructions by opening the local menu option “Set Both Priority”.

The same action is achieved via A2A if the maintenance instruction references settlement instructions with the same instruction reference shared by both instructions.

The instruction for amending link of the settlement instruction is submitted through the CSD system by opening the local menu option “Link” with right-click on the respective settlement instruction found through menu option Settlement -> Settle Instructions Browse.

The instruction for amending partial settlement indicator of the settlement instruction is submitted through the CSD system by opening the local menu option “Change Partial Settle Ind” with right-click on the respective settlement instruction found through menu option Settlement -> Settle Instructions Browse.

If a settlement instruction is initially inserted as an already matched instruction (Already Matched Instruction flag is ticked), then it is possible to amend both legs of the settlement instructions by opening the local menu option “Change Both Partial Settle Ind”.

The same action is achieved via A2A if maintenance instruction references settlement instructions with the same instruction reference shared by both instructions.


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3.2.6 Hold and Release

Settlement instructions with the Hold indicator are not eligible for the settlement process and are pending until they are released by all involved parties.

The instruction for releasing the settlement instruction from Hold is submitted through the CSD system by opening the local menu option “Release Match” with right-click on the respective settlement instruction found through menu option Settlement -> Match Browse.

If a settlement instruction is initially inserted as an already matched instruction (Already Matched Instruction flag is ticked), then it is possible to amend both legs of settlement instructions by opening the local menu option “Release Both”.

The same action is achieved via A2A if maintenance instruction references settlement instructions with the same instruction reference shared by both instructions.

The instruction for Hold the settlement instruction from settlement is submitted through the CSD system by opening the local menu option “Hold Match” with right-click on the respective settlement instruction found through menu option Settlement -> Settle Instructions Browse.

If a settlement instruction is initially inserted as an already matched instruction (Already Matched Instruction flag is ticked), then it is possible to amend both legs of settlement instructions by opening the local menu option “Hold Both”.

The same action is achieved via A2A if maintenance instruction references settlement instructions with the same instruction reference shared by both instructions. Settlement instruction can be initially instructed with the Hold indicator. A settlement instruction that is on hold can be matched, amended and cancelled.

If a settlement instruction remains on Hold at the end of the indicated ISD, the system will recycle the instruction following the standard recycling rules.

3.2.7 Settlement instruction cancellation

Participants can cancel unmatched or unsettled pending matched settlement instructions. Additionally, participant can cancel the unsettled remaining part of a partially settled settlement instruction.

An unmatched settlement instruction can be immediately unilaterally cancelled.

A matched pair of settlement instructions can only be canceled bilaterally, i.e. cancellation requests are required from both settlement parties. If a cancellation request is only received from one party, both instructions remain eligible for settlement.

The instruction for cancelling the settlement instruction is submitted through the CSD system by opening the local menu option “Cancel” with right-click on the respective settlement instruction found through menu option Settlement -> Settle Instructions Browse.

Participants cannot cancel settlement instructions related to corporate actions (with transaction type CORP and ISSU) generated by the CSD system.


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In exceptional cases, the CSD operator can cancel settlement instructions, e.g. upon request of a CSD participant, or according to the specific processes, e.g. at the end of ISD matched LT savings notes distribution settlement instructions that have not been settled are cancelled because the new price comes into effect at 16:00 every day.

3.2.8 Settlement

Settlement of Baltic non T2S instruments is continuous throughout the general business hours.

The CSD executes the transfer of securities on the ISD indicated in the settlement instruction according to the principles of gross settlement. The ISD set forth in the settlement instruction should follow opening days described in section 2.1.

The CSD system settles settlement instructions for both securities and cash simultaneously on a trade-by-trade (gross) basis, with final (irrevocable and unconditional) transfer of securities from the seller to the buyer occurring at the same time as final transfer of cash from the buyer to the seller. Settlement status of successfully settled instructions is changed to Settled.

Settlement cut-off times are harmonized to follow T2S business day schedule as described in section 2.2.

Instructions that are not successfully settled are updated with relevant pending information (i.e. lack of cash) and are attempted to settle during the ISD. New settlement attempts are continuous throughout the general business hours. Pending settlement instructions, for which settlement at the ISD is still possible are reported with status PEND. However, failing settlement instructions, for which settlement at the ISD is no longer possible at the end of the day are reported with status PENF.

If the settlement instruction cannot be settled during ISD, it is automatically recycled after EOD, see section 3.2.9.

3.2.8.1 Partial settlement in T2S

The partial settlement process settles only a part of the original quantity or amount when full settlement is not possible due to a lack of securities or cash.

When inserting a settlement instruction (based on section 3.2.1) or amending a settlement instruction, it is possible to specify the following partial settlement indicators:

• Partial settlement is allowed – “PART”; • Partial settlement is not allowed – “NPAR”; • Partial settlement is allowed but must satisfy a cash value minimum – “PARC”; • Partial settlement is allowed but must satisfy a minimum quantity of securities – “PARQ”.

A matched pair of settlement instructions will be eligible for partial settlement if partial settlement indicator is not set to "NPAR" in any of the settlement instructions and settlement instructions are not linked to any other settlement instruction by a link type “Before”, “After” “With” or by a pool reference.


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Settlement instructions are settled partially during designated partial settlement windows; partial settlement is active in T2S within the following time periods12 during the settlement day:

• Between 11:00-11:15; • Between 13:00-13:15; • Between 15:00-15:15; • Between 16:45-17:00.

Note! If both parties allow partial settlement with different indicators or with "blank" value, the following default threshold is applied by T2S:

• The default threshold for FOP instructions is PARQ; • The default threshold for DVP is PARC. However, if both parties entered PARQ, partial

settlement is performed on the quantity threshold.

In any other combination the PARC applies.

If one of the settlement instructions holds the “NPAR” indicator, partial settlement is not possible.

3.2.8.2 Conditional settlement in T2S

Intra-CSD DVP settlement instructions with Baltic T2S eligible securities in non-T2S eligible currency (USD) are settled in T2S using T2S conditional securities delivery (“CoSD”) functionality. Configuration of the CoSD settlement rule in T2S is applied by the CSD, and it is defined as follows:

• Settlement currency – USD; • Securities movement type – DELI; • Payment type – FREE; • BIC of Receiving CSD – LCDELV22XXX; • Asset to block – securities; • Administering Party13 – LCDELV22XXX.

After receiving DVP instruction14 from participant, the CSD system will transform and send a FOP settlement instruction to T2S. T2S CoSD process is triggered on the ISD, provided that the FOP instruction is matched against the counterparty’s settlement instruction (see section 3.2.2 that describes matching criteria required for such settlement instructions to avoid cross-matching in T2S).

On the ISD, T2S will automatically detect and perform conditional settlement delivery based on CoSD rule described above. Settlement instruction that complies with CoSD will be put on “CoSD Hold” and securities will be blocked in the deliverer’s securities account.

12 New window introduced at 09:00 - 09:15 with T2S 0641 URD, not yet implemented.

13 Administering party is the party who manages the fulfilment of external settlement condition, i.e. the CSD.

14 FOP settlement instruction with currency USD inserted by the CSD participant will not be sent to T2S, because T2S will process such instruction under CoSD.


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After CoSD activation information is received from T2S, the CSD can settle the cash leg of the settlement instruction provided that the required amount is secured by the cash agent in the CSD External Cash Account (as described in section 2.4.2). The CSD will make sub-bookkeeping record in the CSD system in the cash delivering and receiving cash agent’s technical liquidity mirror accounts.

In order to fulfill the external condition (cash leg settlement in USD), the CSD will initiate a transfer of the respective amount from the CSD External Cash Account to the cash receiving cash agent External Cash Account.

After the CSD has received notification from the commercial bank that the CSD External Cash Account is debited, the CSD (administrating party) will initiate settlement instruction “CoSD Hold” release and the securities settlement process in T2S will be completed. The cash agents’ will also see made cash transfers in the CSD system in the respective technical liquidity mirror accounts.

3.2.9 Recycling

At end of each settlement day the CSD system recycles all pending settlement instructions. After recycling all settlement instructions that were reported with status PEND are changed to report status PENF.

Matched settlement instructions are recycled for unlimited time until settled or cancelled.

The recycling period of unmatched settlement instructions is 20 business days and after that settlement instructions will expire and are immediately cancelled by the system. The recycling period starts from the ISD or the date of the last status change of the instruction.

Operations related to Stock Exchange trades

Trade capture functionality is based on trade feed data that is received from the Baltic stock exchanges. It enables enriching stock exchange trades with settlement information that may but does not have to be already included in the trade information, confirmation of trade legs, and subsequent generation of settlement instructions.

Trade capture functionality is an optional service that a CSD participant may choose to use for their convenience, since it utilizes information that is already present in the trade leg and simplifies generation of correct settlement instructions. The same function, however, can be maintained by submitting relevant settlement instructions to the CSD.

For the transactions concluded in the Special Procedures Market of AB Nasdaq Vilnius, including, but not limited to IPO, a public share sale or an execution of a tender offer, settlement of transactions will be carried out as ordinary stock exchange transaction.

3.3.1 Trade enrichment and confirmation

If a CSD participant has opted to use trade capture functionality, then information from the trade feed will become accessible in the CSD system’s GUI via menu option Settlement -> Trade Capture Browse.


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The trade enrichment and confirmation is submitted through the CSD system by opening the local menu option “Trade Enrichment Update” with right-click on the respective trade leg found through menu option Settlement -> Trade Capture Browse.

Attribute Mandatory values

Match ID Unique ID generated by the CSD system This field cannot be populated by the CSD participants

ISIN Code The ISIN of the security which is the object of the securities transfer This field cannot be populated by the CSD participants

Trade Date The data input field specifies the date on which the trade was executed This field cannot be populated by the CSD participants

Party 1 Safekeeping Account The following is entered to the data input field: 1) By the delivering account operator – to be debited securities account number in the CSD. 2) By the receiving account operator – to be credited securities account number in the CSD. This information may already be present in the trade leg data received from the stock exchange if it was submitted by the stock exchange member firm. If so, then this field is prefilled by the trade capture module.

Party 2 Details

Party 2 BIC The data input field that specifies the client of the settlement party, i.e. BIC of client of settlement party.

Party 2 Safekeeping Account The data input field that specifies the securities account of the client of the delivering/receiving settlement party. Securities account of client of settlement party

Party 2 Name The data input field that specifies the client of the settlement party, in case of legal or natural person Name of the person.

Party 2 Reference

Party Hold Flag This field is ticked if the account operator requests to temporarily withhold the underlying settlement instruction from settlement. The settlement instruction will become eligible for settlement only after it is released.

Participant Reference Instruction identifier assigned by the account operator. Participant Reference has to be unique within the CSD participant. Participant reference is treated as the Account Owner Reference in T2S and is used for communication throughout the lifecycle of settlement instruction.

Liquidity Account The data input field used to select or override a default T2S DCA used for cash settlement. This is applicable only in case


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there are several technical liquidity accounts linked to the securities account. When no technical liquidity account is instructed, then the default technical liquidity account is used.

Confirm Trade Capture The data input field is marked if the account operator has chosen to confirm trade leg together with enrichment information inserted.

The trade confirmation is submitted through the CSD system by opening the local menu option “Confirm Trade Capture” with right-click on the respective trade leg found through menu option Settlement -> Trade Capture Browse. This menu option becomes available when trade leg has been previously enriched but not yet confirmed.

Additionally, it is possible to enrich and confirm a trade leg via messaging (Proprietary trade capture transaction instruction).

When a trade leg is confirmed, a settlement instruction is created and becomes accessible for relevant account operator through menu option Settlement -> Settlement Instruction Browse in CSD system’s GUI.

If subscribed account operator is notified with Securities Settlement Transaction Generation Notification message (sese.032) after a trade leg is transformed to a settlement instruction.

3.3.2 Trade enrichment and confirmation through SSI

Account operators can specify (by notifying the CSD) standing settlement instructions (SSI) per each Exchange Member they service. It is also possible to specify securities accounts that will be used as default for different trade owner categories and instruments. Trade capture SSI can be used by account operators for automatically generating settlement instructions as part of the service. The SSI has following details:


Exchange Member Exchange Member served by the account operator and to whom SSI is applied

Account Operator Account operator servicing Exchange Member

Securities Account Securities account to be used in settlement of trade. It is possible to setup several SSI-s with different securities accounts specifying different trade owner categories and instruments. Account Operator must have a permission to instruct on specified securities account.

Trade Owner Category C - Client I - Issuer Holding M - Market Maker


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O - Own Account P - Price Stabilizing R - Riskless Principal

Country of Settlement Country of settlement of instrument, meaning that Baltic instruments settle in respective SSS. It is possible to specify which country instruments account operator settles with particular SSI.

Automatic Confirmation Enabling straight through processing, meaning trade is captured, enriched with settlement details specified in SSI and confirmed. End result is automatically generated settlement instruction.

Hold/release parameter Specifies whether the settlement instruction must be put on hold when it is generated by the trade capture service.

3.3.3 Instructing via settlement instruction

If a participant has decided not to use the trade capture functionality described above, then the account operator has to instruct the CSD itself by using regular settlement instructions, it means that Stock Exchange Member has to provide its account operator with the relevant settlement information.

When instructing such settlement instructions the CSD participant must ensure to receive all the required information from the Member in order to settle the trade in the CSD. For matching purposes such settlement instruction shall comply with the mandatory matching criteria related to settlement instruction described in section 3.2.2. In addition, the CSD would suggest using trade number as the common reference (optional matching field) to ensure settlement instruction matching with the correct counter-instruction.

Settlement instruction data input form necessary for the submission to the CSD is completed based on the same principles as for the table given in section 3.2.1.

3.3.4 Operations related to portfolio transfer

Portfolio transfer is transfer of all securities registered on the securities account from one securities account opened in the name of an investor to another securities account opened to the name of the same investor. There are two alternative options to make portfolio transfers.

Portfolio transfer using FOP instructions and

Portfolio transfer using the CSD system’s portfolio transfer functionality.

3.3.5 Portfolio transfer via FOP instructions

The transfer of the securities account is preformed when account operator submits either already matched settlement instruction to the CSD system if the transfer occurs between two accounts serviced by the same account operator or, both account operators submit securities transfer instructions and those instructions match according to the CSD’s matching rules.

Account operators instruct regular settlement instructions with relevant transaction type:


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OWNI for portfolio transfer within the same account operator;

OWNE for portfolio transfer between two account operators;

OWNE for external portfolio transfer – between a securities account in the Nasdaq CSD and a securities account in another CSD.

Portfolio transfer can either be initiated by the delivering or receiving account operator. One message per ISIN is required from the delivering party and one message per ISIN is required from the receiving party respectively.

Such settlement instructions are validated, matched and settled as per the standard settlement process. All matched settlement instructions are eligible for settlement as soon as the intended settlement date is reached.

Portfolio transfer settlement instruction data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through menu option Settlement -> Insert -> Settlement Instruction.


Payment Type FoP (Free of payment)

Securities Movement 1) Option “Deliver” if the account operator entering the data is the account operator of the delivering (securities selling side) securities account. 2) Option “Receive” if the account operator entering the data is the account operator of the receiving (securities buying side) securities account.

Transaction type 1) Option “OWNI” if the instruction is related to portfolio transfer within the same account operator. 2) Option “OWNE” if the instruction is related to portfolio transfer between two account operators, incl. external portfolio transfer.

Instrument ISIN code of the financial instrument

Quantity 1) The number of securities. 2) If a face amount is the object of the transfer – the nominal value of the unit to be transferred.

Trade Date The data input field specifies the date on which the trade was executed.

Intended Settlement Date The data input field specifies the date when the transaction becomes eligible to be submitted to the settlement, i.e. date at which the securities are to be delivered or received.

Participant Reference Unique instruction identification assigned by the instructing party, is treated as the Account Owner Reference in T2S.

Common Reference Unique reference agreed between the two counterparties to identify the transaction.



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Participant CSD Code CSD where settlement party is a participant

Counterparty CSD CSD where counterparty is a participant


Party BIC Delivering or Receiving CSD participant

Party Safekeeping Account Securities account of the Delivering or Receiving CSD participant


Party BIC Delivering or Receiving CSD participant

Party Safekeeping Account Securities account of the Delivering or Receiving CSD participant

If the investor requests to close the securities account from where the securities were delivered, the account operator should close the securities account (see section 3.1.3) after the settlement instructions related with portfolio transfer have been settled.

3.3.6 Portfolio transfer via CSD system’s portfolio transfer functionality

Account operator can enter a portfolio transfer order through menu option Transactions -> Insert -> Portfolio Transfer Insert. Portfolio Transfer Order data input form necessary for the submission to the CSD is completed based on the table given below.


TAB FROM

Participant CSD participant from (source) which securities account the securities are to be moved

M

Account Number Source securities account from which securities are to be moved

M


O*

TAB TO

Participant CSD participant to (destination) which securities account the securities are to be moved

M

Account Number Destination securities account to which securities are to be moved

M

Participant Reference Unique instruction identification assigned by the counterparty, is treated as the Account Owner Reference in T2S.

O*

Opt-out indicator The attribute enables the counterparties in a portfolio transfer to opt-out from generation of settlement instructions as part of a corporate actions transaction management.

O

*Portfolio transfer order initiating party Participant Reference has to be filled, it means either delivering or receiving account operator has to specify this information.


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Portfolio transfer order can either be initiated by the delivering or receiving account operator. Once the order is entered by the initiating account operator, it is made available for counterparty’s account operator in GUI, who then must confirm the order before portfolio transfer can take place.

The account operator’s portfolio transfer confirmation is submitted through the CSD system by opening the local menu option “Confirm” with right-click on the respective portfolio transfer order found through menu option Transactions -> Portfolio Transfer Browse.

The confirmation of a portfolio transfer order will trigger settlement instructions generation in the CSD system for transfer of holdings from delivering securities account to the receiving securities account. All booked holdings on an account will be included in the portfolio transfer, i.e. the securities amount to be delivered in the automatically created settlement instruction will be equal to the booked holdings in the securities account at the moment of the counterparty's confirmation.

The CSD system will generates two unmatched settlement instructions:

• One from delivering account operator and one from receiving account operator; • Two matching portfolio transfer instructions are created for each booked holding in the

securities account the portfolio transfer is made from.

A settlement instruction pair, generated from a portfolio transfer order, will follow the same rules as described in Portfolio transfer via FOP instructions table in section 3.3.5.

Portfolio transfer order can be cancelled by an account operator before it is confirmed by the counterparty. Cancellation is submitted through the CSD system by opening the local menu option “Cancel” with right-click on the respective portfolio transfer order found through menu option Transactions -> Portfolio Transfer Browse.

When a portfolio transfer order is entered and confirmed, the CSD system will validate that Holder Name and Holder ID in delivering account and receiving account are identical. If they do not match completely, an additional confirmation is also required from the CSD. In such cases, the portfolio transfer order is in status Needs CSD Confirmation. Portfolio transfer order lifecycle can be tracked by the account operator through menu option Transactions -> Portfolio Transfer Browse.

Operations related to open ended investment fund units

Fund administrator acts on behalf of a Fund management company offering distribution, redemption and settlement services of the open ended investment fund units. Fund administrators are CSD participants that have been granted the right to instruct on dedicated issuance accounts in order to increase and/or decrease the amount of issued fund units.

Account operators intermediate investors’ subscription and/or redemption instructions to the Fund administrator via the CSD.


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Issuance account is technical securities account in the CSD system that is used for the subscription (issuance and distribution) and redemption of open-ended investment fund units. The balance of issuance account represents the total quantity of fund units in circulation.

The fund administrator can instruct debit and credit settlement instructions on an Issuance account used for respective open-ended fund unit instrument.

3.4.1 Subscription of open ended investment fund units

Subscription of investment fund units can be performed by the fund administrator by debiting Issuance account of the respective open-ended fund.

The fund administrator processes subscription of investment fund units in CSD system by registering a delivery settlement instruction, to be matched with receiving counterparty’s settlement instruction.

The open-ended investment fund units are subscribed (incl. issuance and distribution in one go) from the Issuance account with the Deliver Free of Payment (DFP) or Deliver versus Payment (DVP) settlement instructions with transaction type SUBS.


Instruction Type 1) Option “DvP” if the movement of the securities is done against cash. 2) Option “FoP” if the movement of the securities is done without cash movement.

Securities Movement Option “Deliver” if the fund administrator is instructing delivery of securities from Issuance account.

Option “Receive” if the account operator entering the data is the account operator of the receiving securities account.

Transaction type Option “SUBS” if the instruction is related to a subscription of fund units.


Quantity The number of securities

Settlement Amount Total value of the transaction

Currency The currency of the transaction






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Participant CSD Code Nasdaq CSD



Party BIC Delivering CSD participant; Fund administrator BIC

Receiving CSD participant

Party Safekeeping Account Issuance account of the Fund administrator

Securities account of the Receiving CSD participant


Party BIC Receiving CSD participant Delivering CSD participant; Fund administrator BIC

Party Safekeeping Account Securities account of the Receiving CSD participant

Issuance account of the Fund administrator

It is possible to submit already matched settlement instructions to the CSD system if the transfer occurs between two accounts serviced by the same CSD participant, i.e. account operator services the investor’s securities account and is the fund administrator and is authorized to debit/credit both – deliver and receive – accounts in the CSD system.

Such settlement instructions are validated, matched and settled as per the standard settlement process.

All matched settlement instructions will become eligible for settlement as soon as the intended settlement date is reached.

3.4.2 Redemption of open-ended investment fund units

In case of redemption, the open-ended investment fund units are delivered to the fund administrator’s issuance account used for the respective open-ended fund.

The fund administrator can initiate redemption of investment fund units by registering a receiving settlement instruction, to be matched with delivering party’s instruction.

Redemption of the open-ended investment fund units to the Issuance account is done with the Receive Free of Payment (RFP) or Receive versus Payment (RVP) settlement instructions of transaction type REDM.


Instruction Type 1) Option “DvP” if the movement of the securities is done against cash. 2) Option “FoP” if the movement of the securities is done without cash movement.

Securities Movement Option “Receive” if the fund administrator is instructing receiving of securities to Issuance account.

Option “Deliver” if the account operator entering the data is the account


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operator of the delivering securities account.

Transaction type Option “REDM” if the instruction is related to a subscription of fund units.


Quantity The number of securities


Currency The currency of the transaction






Participant CSD Code Nasdaq CSD



Party BIC Receiving CSD Participant, Fund administrator BIC

Delivering CSD participant

Party Safekeeping Account Issuance account of Fund administrator

Securities account of the Delivering CSD participant


Party BIC Delivering CSD participant Receiving CSD Participant, Fund administrator BIC

Party Safekeeping Account Securities account of the Delivering CSD participant

Issuance account of Fund administrator

It is possible to submit already matched settlement instructions to the CSD system if the transfer occurs between two accounts serviced by the same CSD participant, i.e. account operator services the investor’s securities account and is the fund administrator and is authorized to debit/credit both – deliver and receive – accounts in the CSD system.

Such settlement instructions are validated, matched and settled as per the standard settlement process.

All matched settlement instructions are eligible for settlement as soon as the intended settlement date is reached.


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3.4.3 Swap of investment fund units

Swap of fund units is process where fund units of one fund are substituted with another fund. In this case settlement instructions (REDM and SUBS) are linked and settled in accordance with the standard settlement process.

All matched settlement instructions are eligible for settlement as soon as the intended settlement date is reached.

Operations related to corporate action instructions

Corporate action instruction data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through the menu option Corporate actions -> Maintenance -> CA Instruction Insert.

Note! Corporate action instruction in the CSD system triggers also the instructed quantity’s / amount’s freeze in the instructed securities account in T2S.

The corporate action instruction can be submitted to the CSD starting from the first day of the election period and by the CSD’s indicated response deadline.


Event reference (CORP)

The CSD’s unambiguous reference of the corporate action as indicated in the notification of the corporate action.

M

CA option number Corporate action option number as indicated in the notification of the corporate action to which the instruction applies. Use only one corporate action instruction per corporate action option per securities account.

M

Account reference Securities account number with the CSD. M

Participant reference This field must contain Account operator’s reference to identify the corporate action instruction.

M

Instruct by source quantity

This field must contain the quantity of the underlying securities to which the instruction applies.

M

Remarks This field can contain information not included within the structured fields.

O

3.5.1 Cancellation of the previously accepted corporate action instruction

Account operator can cancel previously input corporate action instruction until the revocability deadline. This is opened through the menu option Corporate actions -> Browse -> CA Instruction Browse.

By selecting respective corporate action instruction to be cancelled from the list of all submitted corporate action instructions it can be canceled by right click on the entry and choosing ‘Cancel’.

The corporate action instruction is cancelled only after the T2S has successfully released previously frozen instructed securities quantity / amount in the respective securities account.


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3.5.2 Release of the corporate action settlement instruction by the Paying agent

In case when the CSD Participant (Paying agent) provides cash for the corporate action settlement on behalf of the issuer the CSD will automatically generate a special settlement instruction that debits this Paying agent’s dedicated cash account in T2S (for EUR) or technical liquidity mirror account in the CSD system. Paying agent has to release this settlement instruction in order to transfer the cash from the Paying agent to the cash accounts (DCA or the technical liquidity mirror account as the case may be) linked to each entitled securities account. The instruction for releasing the settlement instruction from Hold is described in section 3.2.6. The Paying agent has to release the settlement instruction no later than by 12:00 local time on the payment date of the corporate action.


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IPO related subscription instructions in EE SSS

3.6.1 General IPO procedure

IPO within the meaning of 3.7 and its subsections refers to collection and passing of subscription instructions or purchase orders as part of initial public offerings (IPOs) and issues of additional securities that are (i) subject to initial recording in Estonian Settlement System; and that (ii) may be offered to the public in accordance with the Securities Market Act and applicable EU acquis or admitted to the trading venue within the meaning of Directive 2014/65/EU (MiFID II)15.

The IPO organizer or Issuer informs the CSD in advance of the upcoming IPO and signs respective service agreement with the CSD.

3.6.2 Preliminary and Final Circular Letter sent by Nasdaq CSD Estonian branch

The CSD informs its participants about the upcoming IPO with a Preliminary and Final Circular Letter. Preliminary Circular Letter is published by the CSD three calendar days before the official start of the subscription period. Final Circular Letter is published by the CSD one hour before official start of the subscription period.

It is Issuer’s decision whether to disclose Key Information (such as name of the issuer, time schedule of the offering, eligibility criteria for participation, specificities of subscription instructions, including price and other items that according to the established and evolving practice are reasonably sufficient to support technical and organizational preparation of participants that have entered into an “Agreement on mediation of new issue services”) in the Preliminary or Final Circular letter.

3.6.3 Participants’ obligation on readiness to intermediate offerings in the Estonian market

Market participants willing to intermediate IPOs in Estonian market need to sign “Agreement on mediation of new issue services”.

Market participants’ readiness to intermediate an offering depends when (i.e. whether in the Preliminary or Final Circular Letter) Issuer will publish the Key Information. Market participants’ obligation on readiness to intermediate offerings in Estonian market is defined as follows:

• In case Issuer discloses Key Information of the offering in the Preliminary Circular Letter then the participant is obliged to be ready to intermediate the respective offering from technical and organizational point of view from the start of the official subscription period, except when the participant informs Nasdaq CSD and the Issuer about its inability to intermediate the offering and reasons behind as soon as possible but not later than one hour before the official start of the subscription period;

15 Account operator that has entered into the agreement on mediation of new issue services has no obligation to collect and pass subscription instructions or purchase orders when securities subject to IPO do not meet the conditions defined in (i) and (ii). When the account operator decides not to collect and pass subscription instructions or purchase orders on the grounds referred to in the previous sentence, it shall notify CSD of its decision at the earliest opportunity.


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• In case Issuer discloses Key Information in the Final Circular Letter then the participant is obliged to be ready to intermediate the respective offering from technical and organizational point of view not later than 24 hours after the official start of the subscription period, except when the participant informs Nasdaq CSD and the Issuer about its inability to intermediate the offering and reasons behind it as soon as possible but not later than 24 hours after the official start of the subscription period.

3.6.4 Deadline for subscription orders collected during the subscription period

Subscription orders collected by participants during the subscription period should be sent to the Nasdaq CSD SE Estonian branch by 17:00 of the respective subscription day except the last day of the subscription period.

3.6.5 Participants’ deadline for subscriptions orders collected during the last day of subscription period

Subscription orders collected by participants during the last day of the subscription period should be sent to the Nasdaq CSD SE Estonian branch within one hour after the end of the official subscription period.

3.6.6 IPO Subscription instruction input

IPO offer administration and subscription takes place via IPO menu in the CSD system. All inserted IPO offers and relevant details for application submission can be viewed via Offer browse. Inserted subscriptions for IPO offer can be viewed via menu option Appl Browse.

CSD participants insert investors’ subscription instructions into the CSD system either by using CSD system’s GUI or via the sese.023 messages (with IPO specific attributes).

IPO instructions that are given via the CSD system’s GUI, are submitted through the CSD system menu option IPO -> Insert -> Appl Insert.


Application type* The code that specifies the type of the application for a specific Offer.

M

Account Reference The reference of the account to which this application relates to

M

Quantity Quantity in the subscription instruction If the Offer is for subscription of Bond units, the quantity will be inserted in face amount (FAMT).

M

Price The price at which the securities are being applied for. If a price is set on the application type, then no other value is permitted here

O

Amount The amount of money due with the application O

Entry date Specifies the date when the application was inserted. This date cannot be a date in future.

O


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Participant reference Unique instruction identification assigned by the participant, is treated as the Account Owner Reference in T2S when settlement instructions are generated. Maximum length is 16 symbols and specific symbols are prohibited. Also reference is case sensitive.

M

*One Offer may have different application types for subscription available when offer conditions vary for some customer groups, (e.g. for institutional and retail customer), the accurate application type should be chosen when inserting the application.

Participant can view its clients’ IPO subscriptions via menu option IPO -> Browse -> Appl Browse.

Settlement instruction message sese.023 specific to IPOs has to contain the following attributes

• SctiesSttlmTxInstr/TradDtls/TradId specifying Application type code of the Offer and • SctiesSttlmTxInstr/TradDtls/PlcOfTrad/Tp/Cd 'PRIM'.

Already inserted applications (subscription instructions) cannot be amended. The instruction should be cancelled and a new subscription instruction should be inserted.

The inserted subscription will be automatically rejected on the following cases:

• If a price is set on the application type, no other value is permitted; • The minimum acceptable application quantity does not meet the

requirements/conditions of the Offer; • The maximum acceptable application quantity does not meet the requirement/conditions

of the Offer; • The Application Entry date cannot be earlier than the Offer Open date. Entry date can be

left blank to default to today's date; • The Offer period has ended.

3.6.7 Generation of settlement instructions by the CSD

After the subscription period has ended, the CSD will send the subscription results to the Issuer or IPO organizer, who decides on the final allocation based on the IPO subscription instructions, and informs the CSD, respectively. Final allocations are shown to participants on Appl Browse.

On SD-1 the CSD based on the final allocations received from the Issuer will generate automatically already matched settlement instructions (both sides) or only receive instructions if requested by participant servicing the Issuer and send to T2S. Processing of IPO related settlement instructions follows standard DVP settlement procedure.

CSD participants will receive sese.024 where they will see the final securities quantity and after confirming of the settlement in T2S, sese.025 is sent. Participant reference specified on the subscription instruction will be instructed in sese.023 sent to T2S and therefore will be also in sese.024 and sese.025 reported back to CSD participant.


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3.6.8 Nasdaq CSD’s deadline of informing market participants about changes in the IPO technical setup

Nasdaq CSD is obligated to inform market participants about any changes in the technical setup of the IPO in minimum 6 months before the implementation.

Restriction instructions related to the pledging of securities

3.7.1 Pledge registration

The CSD registers a pledge on the basis of respective pledge instructions submitted by pledgor’s and pledgee’s account operators.

Pledge is registered in the pledgor’s securities account. There are two options to represent pledgee information:

If the pledgee already has an existing securities account, the pledgee’s securities account will be used to indicate pledgee information;

If the pledgee does not have a securities account, the account operator representing the pledgee may open a technical securities account (“Pledgee Technical account”) to store the pledgee information. Such account can only be used for information purposes and may never have a balance or be indicated in a settlement instruction.

Registering a pledge data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through menu option Pledges & Blocks -> Pledge Reg.


Pledge Side The following information is entered to the data input field according to the options configured in the CSD system: 1) Option “Pledgor”, if the data is entered by pledgor’s account operator. 2) Option “Pledgee”, if the data is entered by pledgee’s account operator. 3) Option “Both”, if the data is entered by the account operator representing both the pledgor and the pledgee. Selecting option “Both” will create already matched pledge instructions that do not have to go through matching process.

M

Contract Number Only entered if inserting two similar pledges (the same ISIN, amount, pledgee (only pledgor is different))

M/O

Counterparty Only entered if the instruction is not entered as already matched (Pledge Side “Both”). Pledgor’s representative enters pledgee’s account operator’s BIC. Pledgee’s representative enters pledgor’s account operator’s BIC.

M/O

Participant Reference Instructing party’s own identification of the pledge. M


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Pledgor’s Account The account operator of the pledgor enters the securities account number in which the pledged securities are registered.

M

Pledgee’s Account Only entered by pledgee’s account operator (Pledge Side “Pledgee” or “Both”).

M/O

Release date Date when the pledge is expected to be released, if known. Only for information – no automatic release.

O

Can Appropriate Flag The flag is ticked if pledgor and pledgee have agreed on granting the right of disposal to the pledgee necessary for appropriating the pledged securities.

M

Transfer Clearance Flag

The flag is ticked if pledgor and pledgee have agreed that disposal of pledged securities requires written consent of the pledgee. Informative in the system.

M

Pledge also covers shares issued in the future

The flag is ticked if pledgor and pledgee have agreed that pledge also covers shares issued in the future. Informative in the system.

M

Remarks Remarks or text about the pledge instruction visible only to the instructing participant

O

Public notice Information for public display, e.g. displayed on shareholder’s list.

O

TAB ISIN (repeating group)

ISIN Code (M) Any instrument that has a positive available balance on the pledgor’s securities account, and that does not have the flag “Eligible for pledge” in instrument definition set to “not eligible”, can be requested to be pledged, by entering ISIN of instrument.

M

Quantity (M) Quantity is based on the settlement unit type of the instrument and can be entered as units (for securities with settlement unit type: units) or face amount (for securities with settlement unit type: face amount).

M

If the pledge was registered in the shareholder’s list before the issuer’s securities are registered with the CSD, the pledge will be entered in the CSD system by the CSD based on the issuer’s application.

Pledge registration is not performed if the pledge instruction is given for securities that are prohibited from pledging pursuant to the articles of association of the issuer.

3.7.2 Pledge release

The instruction for releasing the pledge is submitted through the CSD system by opening local menu option “Release” with right-click on the respective pledge instruction found through menu option Pledges & Blocks -> Pledge Browse. The opened data input screen requests to specify the Release Date of the pledge.


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3.7.3 Pledge modification

The instruction necessary for changing the data entered into the CSD system on the pledge instruction (i.e. the number of pledged securities) is submitted through CSD system by opening with right-click the local menu option "Edit" on the respective pledge instruction found through menu option Pledges & Blocks -> Pledge Browse. The opened data input form is completed based on the table given for “Pledge registration” in section 3.7.1.

Pledge instruction can be modified unilaterally only if it is not yet matched.

In order to modify the information regarding pledge registered in the CSD system (i.e. pledged instruments and/or pledged quantities), it is required that both pledgor’s pledgees account operators submit respective pledge instructions. Modification of a pledge instruction results in creation of a new pledge instruction that will substitute modified instruction. Modified pledge instruction needs to be matched with counterparty’s modified pledge instruction and once matched a new copy of pledge will substitute current pledge.

The instruction to change the pledgee (replacing one pledgee with another) is submitted through the CSD system by opening with right-click the local menu option “Pledgee Amend” on the respective pledge instruction found through menu option Pledges & Blocks -> Pledge Browse. The opened data input form is completed based on the table given for “Pledge registration” in section 3.7.1.

In order to change pledgee (i.e. replace one pledgee with another), pledgee’s account operator’s instruction is required.

If pledgee is changed, but pledgee’s account operator stays the same, then change in pledge instruction data is performed by the pledgee’s account operator.

If account operator of the new pledgee is different from account operator of the current pledgee, then both account operators have to submit corresponding request to the CSD and the CSD will perform the change.

3.7.4 Pledge transfer

Pledge transfer is used by the pledgor’s account operator to transfer pledged securities to a third party. Pledged securities transferred in this way remain pledged.

Pledge transfer is submitted through the CSD system by opening local menu option “Transfer” with right click on the respective pledge instruction found through menu option Pledges & Blocks -> Pledge Browse. The opened data input form is completed based on the table given below.


Securities account New pledgor’s securities account in the CSD system to where securities will be transferred. Mandatory, only in case new pledgor’s account operator is the same as current pledgor’s account operator.

M

ISIN Code Indicates which instruments to transfer to a new pledgor M

Quantity Quantity of each instrument to transfer to a new pledgor M


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Price Price for each transferred instrument O

Currency Currency for each transferred instrument O

Participant’s reference Instructing party’s own identification of the underlying instruction.

O

Remarks Free text field for additional comments. O

Pledged securities are transferred to the new pledgor without releasing the pledge using a free of payment (FOP) securities transfer.

If the pledgor is changed, but the account operator representing the new pledgor does not change (transfer within same account operator), the transfer of the pledged securities is performed as described in section “Pledge modification” 3.7.3

If the account operator of the new pledgor is different from account operator of the current pledgor, the transfer of pledged securities is performed by the CSD on the basis of the requests both account operators have submitted to the CSD. A new copy of pledge will substitute the current pledge.

3.7.5 Pledge appropriation

Pledge appropriation involves transfers the pledged securities to a new securities account and releases them as part of the process. The instruction necessary for appropriation of the pledged securities is submitted through the CSD system by opening local menu option "Pledge Appropr with right-click on the respective pledge instruction found through menu option Pledges & Blocks -> Pledge Browse. The opened data input form is completed based on the table given below.


Securities account Securities account in the CSD system to where securities will be transferred. NB! This securities account must be managed by the account operator of the pledgee and valid for settlement.

M

ISIN Code Which instruments to transfer M

Quantity Quantity of each instrument to transfer M

Participant’s Reference Instructing party’s own identification of the underlying instruction.

M

Remarks Free text field for additional comments. O

Pledgee’s account operator can appropriate pledged instruments by invoking appropriation process on a pledge instruction. Appropriation process consists of transferring all or some of pledged securities to the pledgee’s securities account (or an account instructed by the pledgee), which results in full or partial release of the pledge.

Appropriation process is only possible for pledge instructions where flag “Pledgee right for appropriation” is set to “Yes”.


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3.7.6 Pledge registration under financial collateral arrangement

With respect to securities pledged under a financial collateral arrangement, the pledge is entered by transferring the securities governed by the financial collateral arrangement to a separate type of securities account opened in the name of the pledgor (pledge account).

The pledge account is opened by the account operator in the CSD system. The account operator will enter the instruction to open a pledge account according to the section 3.1.1.

Pledgee’s information and right of the disposal of the securities to be transferred to the pledgee’s account are indicated in the account operator’s instruction for opening a pledge account. The pledge is considered registered as from the transfer of the securities to the pledge account. The securities are transferred to the pledge account using a free of payment (FOP) securities transfer.

The same pledge account may be used for registering securities pledged to the same pledgee under different financial collateral arrangements, but only if such financial collateral arrangements do not differ from each other with respect to the existence of an irrevocable right of disposal granted to the pledgee. In other cases, a pledge in securities pledged under different financial collateral arrangements is registered by the transfer of the securities to different pledge accounts.

Operations related to cash management

As described in section 2.4, the CSD system supports EUR settlement of non T2S-eligible securities, and settlement of foreign currencies between CSD participants.

The CSD operates several bank accounts held at a commercial or central bank in order to receive, and transfer cash used in the various CSD processes, each in the relevant currency, to support the abovementioned settlement of CSD participants.

In order to settle the cash leg of such settlement instructions, the CSD opens technical liquidity mirror account for cash agent in the CSD system, based on the application received form the CSD participant (acting as a cash agent in CSD system).

Cash agent servicing a participant will transfer required liquidity for the cash leg settlement to a bank account opened by the CSD in commercial or central bank with the reference to cash agents’ CSA (see ANNEX 3 – Cash transfer instruction to settle LT savings notes) from where the liquidity is mirrored to their dedicated CSA opened in the CSD system.

The CSD keeps the following sub-bookkeeping records in technical liquidity mirror accounts opened in the CSD system:

• Records related to cash amounts transferred to the CSD’s bank account by the cash agent (liquidity transfer in);

• Cash debits and credits as a result of settlement (DVP or corporate actions); • Records related to cash amounts transferred out from the CSD’s bank account to the cash

agent’s external cash account (liquidity transfer out).

The balances on the technical liquidity mirror accounts are always swept out during the settlement day (depending on settlement currency and agreements) and/or at the end of the


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settlement day to the linked external bank account of the cash agent. Cash agents can request for intraday transfer of excess cash to their external cash accounts.

3.8.1 Outbound Liquidity transfer from CSA to external cash account

As described above cash agents can request intraday liquidity return to their external cash account. Outbound liquidity transfer request data input form necessary for the submission to the CSD is completed based on the table given below. This is opened through menu option Cash management -> Insert -> Liq Return Transfer.


From Liquidity Account

CSA number from which cash is debited M

Transaction Reference Payment reference provided by Instructing Party M

End To End Reference Provided by Instructing Party O

Currency The currency in which cash transfer is done M

Amount The amount to be debited M


The date on which the instruction must be settled M

Payment Instruction Type

Specifies payment instruction type. The following is entered to the data input field according to the options configured in the CSD system: Customer transfer Financial institution transfer

M

Beneficiary BIC The BIC of beneficiary M

Beneficiary Name The name of beneficiary O

External Account Number

The external account number to where liquidity is returned O

External Account IBAN The external account IBAN to where liquidity is returned O

Receiver BIC O

Intermediary BIC O

Addressee BIC O

Remarks Free text comments O

Inserted liquidity transfer is visible in Cash Management -> Cash Transfer Browser, where cash agent can monitor status of the liquidity transfer. Upon successful settlement, processing status is set to “Settled”.

3.8.2 Operations related to T2S cash management

The CSD needs to be authorized by the respective DCA holder (T2S Payment Bank) or their liquidity providing RTGS account holder to have access to the respective DCA in order to offer the CSD cash management services and provide access to information from T2S through the CSD system.

The CSD offers the following services to support its customers’ cash management in T2S:


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• Liquidity Transfers: o Internal Liquidity transfers between T2S DCAs of the same Payment Bank; o Outbound Liquidity transfers from T2S DCA to main RTGS account;

• T2S DCA cash balance; • T2S DCA postings; • Current and following settlement day cash forecast.

The queries can be initiate in the CSD system GUI and responses from T2S are also displayed in GUI.

3.8.3 T2S Liquidity Transfers

As described above, CSD participants (Payment Banks in T2S) who are using cash management service provided by the CSD can initiate liquidity transfers through the CSD system.

3.8.3.1 Outbound Liquidity transfers from T2S DCA to main RTGS account

Payment bank can request liquidity transfer from its T2S DCA to RTGS accounts held in T2 at any time during business day. External cash account number specified in Outbound Liquidity transfer has to be connected to the DCA, it means that it is defined as main RTGS account.

Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Cash management -> Insert -> T2S DCA Liq Transfer


From T2S DCA T2S DCA number from which cash is debited M

From account cash transfer type

Specifies FROM cash transfer type. The following is entered to the data input field according to the options configured in the CSD system: CASH – transfer between two DCAs

M

To External Account Number

External account number (RTGS account) to which cash is credited

M

To account cash transfer type

Specifies TO cash transfer type. The following is entered to the data input field according to the options configured in the CSD system: SACC – transfer from T2S DCA to External RTGS Account

M



Amount The amount to be credited M

At the end of the business day all T2S DCAs must have a balance of zero. Therefore, T2S automatically transfers the remaining liquidity at the end of the business day to an External RTGS account which is specified for each T2S DCA.


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3.8.3.2 Internal Liquidity transfers between T2S DCAs

Liquidity transfer between two DCAs can be performed if both DCAs belong to the same party (Payment Bank) and DCAs are linked to the same RTGS account.

Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Cash management -> Insert -> T2S DCA Liq Transfer


From T2S DCA T2S DCA number from which cash is debited M

From account cash transfer type

Specifies FROM cash transfer type. The following is entered to the data input field according to the options configured in the CSD system: CASH – transfer between two DCAs

M

To T2S DCA T2S DSA number to which cash is credited M

To account cash transfer type

Specifies TO cash transfer type. The following is entered to the data input field according to the options configured in the CSD system: CASH – transfer between two DCAs

M



Amount The amount to be credited M

After the CSD participant submits the liquidity transfer in the CSD system’s GUI, the system will send the corresponding liquidity transfer request to T2S. T2S will respond by either confirming or rejecting the initiated liquidity transfer. The CSD participant is able to follow the status of liquidity transfers in the CSD system’s GUI through menu option Cash management -> Browse -> Cash Transfer Browse.

3.8.4 T2S DCA Cash Balance

CSD participant is able to request a view of the latest information about the current balance of a T2S DCA in the CSD system’s GUI. Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Cash management -> Insert -> T2S DCA Cash Balance Request


T2S DCA T2S DCA number for which cash balance information is requested

M

Currency Specifies the currency of the T2S DCA M

After the CSD participant submits the request, the system will create a DCA balances query to T2S and displays the full set of response data received from T2S in the CSD system’s GUI, visible through menu option Cash management -> Browse -> DCA Bal Browse.


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3.8.5 T2S DCA Postings

The CSD participant is able to request a view of the latest settled cash transactions information from T2S in the CSD system’s GUI. Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Cash management -> Insert -> T2S DCA Cash Postings Request



M


From Date The date from which DCA postings are requested M

To Date The date to which DCA postings are requested M

When the CSD participant submits request, the system will create a T2S DCA posting query to T2S and displays the response data received from T2S in the CSD system’s GUI, visible through menu option Cash management -> Browse -> T2S DCA Trans Browse.

3.8.6 T2S DCA Forecast

The CSD participant is able to request a view information about the forecast balance of a T2S DCA in the CSD system’s GUI. Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Cash management -> Insert -> T2S DCA Cash Forecast Request.



M


From Date The date for which DCA forecast is requested M

When the CSD participant submits request, the system will create a T2S DCA forecast query to T2S and displays the response data received from T2S in the CSD system’s GUI, visible through menu option Cash management -> Browse -> DCA Fcast Browse.

FORMS TO BE FILLED

Participants (Payment Banks in T2S) have to fill in following forms in order to access T2S related cash information from the CSD system GUI:

TARGET2 7300 form, is filled and signed by participant and sent to respective NCB. The NCB needs this information for set-up and granting of roles and privileges. The NCB sends a copy of the form to the relevant CSD;

PB subscription form, is filled and signed by payment bank willing to subscribe to the CSD service. By signing this form, the payment bank authorizes the CSD:

o To be granted the relevant privileges; o To access information related to payment bank DCAs; o To send/receive on its behalf any query, information, instruction.


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The CSD sends copy of this form to the relevant NCB.

Operations related to T2S auto-collateralization

T2S auto-collateralization is an automatic mechanism to provide intraday cash credit, secured with eligible collateral that is offered to central banks and payment banks.

T2S auto-collateralization process is triggered when buyer does not have sufficient liquidity in its DCA to settle DVP settlement instructions. Obtained liquidity is used to settle underlying settlement instructions immediately.

The credit provided in auto-collateralization can be secured by using securities that are already held by the buyer "collateral on stock" or the securities that are being purchased "collateral on flow”. T2S auto-collateralization operations first use “collateral on flow” and second “collateral on stock”.

Meaning that in case of insufficient liquidity, securities being purchased are used as collateral to obtain the intraday credit to settle the instruction (collateral on flow). T2S can use collateral on stock in addition to the collateral on flow, when the collateral value of the securities on flow is not sufficient to cover the amount of credit granted.

All three Baltic NCBs have chosen the REPO procedure for intraday credit provision. In the REPO procedure, securities used as collateral for intraday credit operations, are transferred from the credit receiver’s (Payment Bank) securities account to the credit provider’s (NCB) securities account.

In order to use the central bank auto-collateralization:

• Payment Bank has to open an RTGS account with the same NCB that maintains its DCA; • CSD participant has to have a separate securities account for auto-collateralization

operations. Securities positions held in this account are automatically earmarked and used for auto-collateralization.

• the CSD will create link between the DCA and the securities account that can be used to provide collateral

The CSD will create all the required static data in T2S, such as opening a separate securities account to the Payment Bank (on request), earmarking the securities account, creating links between the securities account and the DCA for auto-collateralization.

When the CSD participant settles securities balance from its regular securities account to the separate account used for auto-collateralization, settled securities position will be automatically settled to EEUR (earmarked) sub-balance position in T2S.

3.9.1 Auto-collateralization reimbursement

The actual provision of intraday credit is achieved through the T2S generated and settled settlement instructions. In addition, T2S will create “on hold” reimbursement settlement instruction that corresponds to the exact reverse operation. The reimbursement settlement instruction can be released by the CSD participant at any time during the business day through CSD system’s GUI or via messaging (Hold/Release functionality described in section 3.2.6)


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provided that there is necessary liquidity in Payment Bank’s DCA that received the intraday credit.

T2S has automated reimbursement procedure for central bank auto-collateralization operations at the end of the day:

• If intraday credit reimbursement settlement instruction is still pending in T2S at 16:30 CET (Payment Bank has not reimbursed its pending intraday credit operations with the NCB), then T2S will automatically use all the liquidity available on the DCA(s) held with the relevant NCB to reimburse the pending intraday credit operations;

• If the liquidity available on the DCA(s) is insufficient to fully reimburse the pending settlement instruction, T2S will automatically generate a new credit operation for the lacking cash amount. T2S will settle the newly created settlement instructions in an all-or-none basis together with the reimbursement of the auto-collateralization operation.

The CSD participants receive information related to the generation of settlement instructions (generated auto-collateralization instructions/reimbursement instructions) and the respective settlement via A2A messages and through the CSD system’s GUI Settlement Instruction Browse. The transaction type of such instructions is collateral out – COLO.

Operations related to settlement messaging and reporting

The CSD system informs instructing party immediately if a settlement instruction is incorrect or incomplete after technical and/or business validation.

The CSD system sends settlement instruction status advice messages and settlement instruction confirmation messages to subscribed participants immediately after relevant triggering event has taken place. It will be also possible to see settlement instruction status from CSD system GUI.

Allegements are sent in accordance with the description set in section 3.2.4.

The CSD sends only those messages and reports for which there is an active subscription setup in the CSD system. The list of all messages and reports available for subscription are described in ANNEX 6 – List of messages and reports. All the reports return data available in the CSD system, regardless whether the CSD system or T2S is the settlement application.

3.10.1 Messages and report subscription

It is possible to subscribe on the individually selected messages and/or reports. Subscribed messages and/or reports are delivered to the CSD Participants based on their connectivity option.

Subscribed reports are generated and sent to the CSD participants at a predefined frequency (i.e. on a daily basis) after midnight. The CSD performs end of day reconciliation processes with T2S approximately at 20:00.

It is also possible to query statements on an ad hoc basis. CSD participants that opt for the query based reconciliation need to keep in mind the timing of the T2S end of day procedure when querying for the end of day balances.


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Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Reports -> Insert -> Report Subsc Insert.


Service Code Code representing the report or message to which subscription is related. Possible values: TxStsAdvc – Settlement instruction status notification TxConf – Settlement instruction confirmation TxCxlReqSt – Settlement instruction cancellation request status advice TxAllgmtNt – Settlement allegement notification AllgmtRmvl – Settlement allegement removal CondModSts – Settlement instruction modification request status advice TxGnrtnNtf – Settlement instruction generation notification MsgCxlAdvc – Settlement allegement cancellation SctiesBal – Statement of securities holdings SecTxPstng – Statement of securities transactions SecTxPdg – Statement of pending transactions

M

Subscription Reference

Reference provided by the CSD participant O

Participant Code BIC code of the subscribing CSD participant. Filled in by the CSD system if left empty

O/M

Account Reference Reference of the securities account reference to which subscription is related

O

Channel Code Distribution channel through which reports/messages will be sent for the subscription. Possible values: ISO – ISO messaging

M

Report Format Format in which report/message will be distributed for the subscription. Possible values: ISO20022

M

Frequency Code Schedule of the requested report/message Possible values: D – Daily W – Weekly M – Monthly Q – Quarterly Y – Yearly X – On Change (for messages)

M

Send Empty Report Flag

Set if report should be produced even when account has not been active during the relevant period

O


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Delta Report Flag Set if report should only contain data that has changed in relation to the previous report created by the same subscription (or data that has changed during the chosen reporting period)

O

Disabled Indicates that subscription is disabled and will not be sent out O

Valid From If date is specified then the subscription is not valid before the start of specified date

O

Valid To If date is specified then the subscription is not valid after the end of specified date

O

Tab Recipient Addressing Details

Recipient BIC The recipient’s BIC to whom the subscribed reports/messages are delivered By default reports are sent to CSD participant who subscribed for the report

M

Recipient Name ID The ID on the end-investor as a recipient of the report. Mandatory if the selected Service code is “AccOpenNt” or “AnSecBalNt”

O/M

Recipient Email The recipient’s email address to which report is sent. Mandatory if the selected channel is “Email”

O/M

Recipient Address Type

The recipient’s address type to which report is sent. Mandatory if the selected channel is “Post”

O/M

CSD participants can choose to subscribe or query reports in either complete or delta versions.

Complete version includes all securities positions in a securities account at the moment of creation of the report. For example, Statement of Holdings complete version includes securities positions, with a quantity other than zero that have been subject to settlement on the current business day.

Delta version includes information that was changed after the previous report was created. Delta version is also created for the current business day. For example, Statement of Holdings delta version reflects current securities positions in a security account that were either newly created or changed, zero positions are excluded.

Note! Statement of Holdings supports both Complete and Delta version. Statement of Posted Transactions supports only Delta version, meaning that all settled transactions in the period will be reported. Statement of Pending Transactions supports only Complete version. As an exception to the subscriptions the CSD system sends out the following messages regardless whether the recipient has subscribed to it or not:

• Reactions on erroneous inbound messages, for example: o Technical error reporting (MessageReject admi.002); o Status advice messages (sese.024, sese.027, sese.031, seev.034, seev.041) related

with rejection of the instruction; o Query status advice (sese.022);


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o Account management status report (acmt.006) sent due to rejection. • Request-response messaging. This means that a message from the CSD system is sent to

a participant only as a response to a request received from a participant – never initiated by the CSD system itself. For example, the participant can query a report and the CSD system will generate and send the requested report.

3.10.2 Notifications via emails

A CSD Participant can subscribe for an e-mail notifications for the following operations:

Court Order Notifications – CSD Participant can request to receive a notification if a Court Order is inserted to block balance in the securities account that is managed by the CSD Participant. Notification is also sent when the securities balance is released;

Pledge Order Notifications – CSD Participant can request to receive a notification if a Pledge Order is inserted to block balance on the securities account that is managed by CSD Participant. Notification is also sent when the securities balance is released;

Account Block Notifications – CSD Participant can request to receive a notification if Account Blocking Order is inserted to block the securities account that is managed by CSD Participant. Notification is also sent when the securities account block is released;

Shareholder Discloser Notifications – CSD Participant can request to receive notifications that are related to Shareholder Disclosure Request processing, request creation and cancellation, also reminders to provide the list of securities owners.

In order to received such notifications CSD Participants have to create subscription based on the table provided in section 3.10.1 by selecting relevant Service Code, Channel, etc.

3.10.3 End investor account notices subscription (EE SSS)

In accordance with the Estonian Central Register of Securities Act §20 section (4) Estonian CSD (future Nasdaq CSD Estonian Branch) has to send once per calendar year a free of charge Annual Securities Account balance notice to the Holder of a securities account which sets out the balance of the securities registered in the securities account. Notice is sent to Holder based on request that CSD participant registers in the CSD system described below. Such request has to be updated on yearly basis.

Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Reports -> Insert -> Report Subsc Insert.


Service Code Code representing the report or message to which subscription is related Possible values: AnSecBalNt – Annual Account Balance notice (EE SSS) AccOpenNt – Account Opening Notice (EE SSS) SctiesBal – Statement of securities holdings SecTxPstng – Statement of securities transactions

M


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Subscription Reference

Reference provided by the CSD participant O

Account Reference Reference of the securities account reference to which subscription is related

O

Channel Code Distribution channel through which reports/messages will be sent for the subscription Possible values: E – Email P – Post

M

Report Format Format in which report/message will be distributed for the subscription Possible values: TxtNtf – Text Format Notification

M

Frequency Code Schedule of the requested report/message Possible values for AnSecBalNt and AccOpenNt: 1 – Once Possible values for SctiesBal and SecTxPstng: D – Daily W – Weekly M – Monthly Q – Quarterly Y – Yearly

M

Valid From If date is specified then the subscription is not valid before the start of specified date

O

Valid To If date is specified then the subscription is not valid after the end of specified date

O

Tab Recipient Addressing Details

Recipient BIC The recipient’s BIC to whom the subscribed reports/messages are delivered By default reports are sent to CSD participant who subscribed for the report

M

Recipient Name ID The ID on the end-investor as a recipient of the report. Mandatory if the selected Service code is “AnSecBalNt”

O/M

Recipient Email The recipient’s email address to which report is sent. Mandatory if the selected channel is “Email”

O/M

Recipient Address Type

The recipient’s address type to which report is sent. Mandatory if the selected channel is “Post”

O/M

In addition to the Annual Securities Account balance notice, end-investors can also subscribe to receive via email or post Statement of the securities account, either balances or transaction. Such statements are sent to the Holder based on request where they specify frequency and channel that CSD participant registers in the CSD system as described in the table above. Those


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statements are sent by the CSD to Holder’s specified channel and frequency and are priced based on the Pricelist.

Holder of a securities account has right to request Account Opening Notice from the CSD, in accordance with the Estonian Central Register of Securities Act §20 section (1). Such notice is sent by the CSD to the Holder of the securities account via specified channel based on request that CSD participant registers in the CSD system as described in the table above.

3.10.4 Securities account balance statement

Participant is able to extract account balance statement from CSD system GUI. This is operation is accessible through the menu option Holders -> Browse -> Account Browse. Search for relevant account and right click on the account.

This opens a list of actions, choose Balance Rep (Balance Report). A new window opens where given attributes are:

Attribute Description

Account Reference Displays the account number

Record date Insert date as of which balance statement should be generated. If not filled, system generates statement with the current date and time.

Use T2S EOD Mark this if only Target2-Securities End of Day balance should be shown with the date selected. Otherwise time and securities account balance of generation of the statement will be shown.

Zero Balances flag Mark this if historic information should be shown on the balance statement for securities the account holder does not have balance anymore. Otherwise, leave blank.

ISIN code If balance statement is required for one specific security, insert ISIN code. Otherwise leave blank and all securities on the securities account are shown.

After filling in the fields, choose Preview. A new window opens with the balance statement. To print it, choose File -> Print. To save this on the computer, choose File -> Export Document -> choose suitable format (PDF, RTF etc.).

3.10.5 Securities account transactions statement

Participant is able to extract account transactions statement from CSD system GUI. This can be done from Holders -> Browse -> Account Browse. Search for relevant account and right click on the account.

This opens a list of actions, choose Trans Rep (Transactions Report).

Attribute Description

Account Reference Displays the account number

Start date Insert start date as of which transactions on the account should be shown.

End date Insert end date as of which transactions on the account should be shown.


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Show PFOD transactions

If this is marked, all settlement instructions regarding payments from corporate actions are shown on transactions statement. Unmark it if dividend, interest and other payments should not be shown on the statement.

After filling in the fields, choose Preview. A new window opens with the balance statement. To print it, choose File -> Print. To save this on the computer, choose File -> Export Document -> choose suitable format (PDF, RTF etc.).

Operations related to billing

The following reports related to billing are available in the CSD system for participants review and download:

• Report about empty accounts – report about accounts opened in the system without any holdings;

• NOCHARGE securities safekeeping - includes data about securities of companies in the state of liquidation or bankruptcy;

• CBL ISIN safekeeping - report about safekeeping of CBL instruments; • EE ISINs safekeeping - report about safekeeping of Estonian ISINs; • Average portfolio values – report about average values of specific ISIN in the portfolio

during the calendar month; • Settlement operations - report about settlement operations; • LV ISINs safekeeping - report about safekeeping of Latvian ISINs; • LT ISINs safekeeping - report about safekeeping of Lithuanian ISINs.

At the beginning of each calendar month, Nasdaq CSD is performing billing calculations, usually within 4 calendar days. Then calendar month billing reports will be available for review and download.

Previous periods reports can be reviewed and downloaded at any time.

Operations related to Lithuanian Saving Notes

Savings notes are issued by the Government of the Republic of Lithuania as debt securities dedicated to individuals and non-profit businesses. The Nasdaq CSD is the Issuer CSD for savings notes. The Nasdaq CSDs Lithuanian branch is acting as the Issuer Agent of the Lithuanian Ministry of Finance, and is a receiving or delivering settlement party in settlement instructions.

Savings notes are not permitted for public trading, it is allowed only between the CSD participants that have signed agreements with the issuer. Savings notes are not transferred and settled in T2S (i.e. non-T2S eligible instrument) and are registered, maintained, and settled only in the CSD system. Matching of distribution and early redemption settlement instructions is executed in the CSD system. For two settlement instructions to match the mandatory matching fields must be present in both settlement instructions.

When Nasdaq CSD Lithuanian branch, acting as the Issuer Agent, is a receiving or delivering settlement party in the settlement instruction, a partial settlement is not allowed.


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Note! Tolerance matching does not apply to the settlement instructions of savings notes. The CSD participant must calculate correct settlement amount taking into account that the new price of savings notes comes into effect every business day at 15:00.

On ISD the settlement instructions of savings notes are settled in real time if required resources are available in the CSD system. The processing of settlement instructions results in the irrevocable transfers of securities and cash assets between the securities accounts and technical

liquidity mirror accounts.

Settlement of savings notes follows Lithuanian statutory calendar and takes place in the CSD system during the general business hours (as described in section 2.2Settlement day). Savings notes are accounted for and settled in the Lithuanian SSS. Cash leg is settled in the central bank money via T2 cash accounts (as described in section 2.4.1).

At the end of settlement day all matched pending settlement instructions, including savings notes early redemptions, are recycled (as described in section 3.2.9). Note! Matched unsettled settlement instructions of savings notes distribution or early redemption should be cancelled bilaterally.

3.12.1 Distribution of Savings Notes

Savings notes are distributed during periods determined by the issuer in advance. An ISIN code is assigned to every issue of savings notes. During the distribution period, the CSD participant sends the settlement instruction to settle distributed savings notes in the CSD system. Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Settlement -> Insert -> Settlement Instruction


Instruction Type DVP

Securities Movement Receive

Transaction type SUBS

Instrument ISIN code assigned to every issue of savings notes

Quantity Total number of distributed saving notes


Currency EUR

Trade Date The date on which the saving notes were distributed to the investors

Intended Settlement Date The data when the distribution transaction becomes eligible to be submitted to the settlement.

Participant Reference Unique instruction identification assigned by the instructing party.


Participant CSD Code LCDELV22XXX – Nasdaq CSD BIC

Counterparty CSD LCDELV22XXX – Nasdaq CSD BIC


Party BIC Receiving CSD participant


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Party Safekeeping Account Securities account of the Receiving CSD participant


Party BIC CSDLLT22577 – Issuer Agent BIC


At the end of ISD, matched savings notes distribution settlement instructions that have not been settled are cancelled by the CSD.

Savings notes distribution instructions cut-off time is 16:00.

3.12.2 Early redemption of Savings Notes

It is possible for the investor to sell back savings notes before the deadline. The dates of early savings notes redemption and corresponding early redemption request deadlines are indicated in the conditions of every issue. A CSD participant acting on behalf of the investor submits settlement instruction to the CSD for early redemption according to early redemption schedule. Data input form necessary for the submission to the CSD is completed based on the table below. This is opened through menu option Settlement -> Insert -> Settlement Instruction


Instruction Type DVP

Securities Movement Deliver

Transaction type REDM

Instrument ISIN code assigned to every issue of savings notes

Quantity Total number of early redeemed saving notes


Currency EUR

Trade Date 22 business days before the settlement of early redemption instruction

Intended Settlement Date The date when saving notes will be redeemed early in the CSD system in the amount indicated by the participant

Participant Reference Unique instruction identification assigned by the instructing party


Participant CSD Code LCDELV22XXX – Nasdaq CSD BIC

Counterparty CSD LCDELV22XXX – Nasdaq CSD BIC


Party BIC Delivering CSD participant

Party Safekeeping Account Securities account of the Delivering CSD participant


Party BIC CSDLLT22577 – Issuer Agent BIC



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Early redemption settlement instruction will be pending in the CSD system for the settlement until intended settlement day. Pending savings notes early redemption settlement instruction cannot be cancelled after cut-off time. If a cancellation request for early redemption settlement instruction is received from the CSD participant, the settlement instruction will remain eligible for settlement on the ISD.

Savings notes early redemption cut-off time is at 16:00 on the 22nd business day before the ISD.

Early redemption of savings notes may be carried out on the interest (coupon) payment date. If the investor submits an application to the CSD participant for savings notes’ early redemption on the interest payment date, he will only receive the price of early redemption.

3.12.3 Corporate actions

Issuance of savings notes is done by settling settlement instructions during the distribution period. By the end of distribution period as defined by the issuer, the CSD will announce total amount of distributed savings notes.

Redemption of savings notes and interest (coupon) payment is executed as a corporate action event and follows the standard corporate action settlement process in the CSD system. Maturity of Government savings notes is processed as mandatory reorganizations and interest payments as cash distribution. Interest payment schedule and redemption details of each savings notes issue are indicated in its conditions and are stored in the CSD system.

Operations related to Shareholders Disclosure

Operational processing of shareholder disclosure including the information flow throughout the chain of the relevant parties as well as key dates and their sequence is described in the document Nasdaq CSD Shareholder Disclosure Processing.

Operations related to Latvian Initial Register

CSD remains to be the holder and the administrator of the Initial Register. Initial Register is a Latvian-specific register where end investors are keeping their shares either from (1) privatization process in Latvia or (2) new company entrance to the public securities market.

3.14.1 De-registration

De-registration is a term used to describe a securities transfer from a person’s account in Initial Register to a person’s securities account opened with the participant.

De-registration is executed by CSD participant inserting a regular settlement instruction via designated GUI screen (Settlement -> LV IR Deregister Ins) or sese.023 message in the CSD system. A settlement instruction intended for de-registration has to meet a certain set of mandatory values in order for the CSD to be able to recognize that the particular settlement instruction is intended for de-registration.

The set of mandatory attribute values are as follows (only subset of all settlement instruction attributes are listed – the remaining ones have to be filled according to the regular settlement instruction rules):

http://www.nasdaqbaltic.com/files/baltic/csdsystem/Disclosure%20processing%20in%20NCSD-2017-04.pdf


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Optionally, it is possible to indicate also the Participant reference, and names of the both parties, as well as the Party 2 Safekeeping Account of the receiving party and opt-out indicator.

If a CSD receives a settlement instruction that corresponds to the above listed fields, it will create a counter-settlement instruction that will match the participant’s instruction. In case a settlement instruction does not contain all the mandatory attributes listed above or the attributes contain incorrect information, it will not be considered as a settlement instruction intended for de-registration. Nasdaq CSD will not respond with a matching settlement instruction, and the settlement will not be executed.

In order to ease the filling of instructions intended for de-registration, the CSD has prepared a separate GUI window with only limited set of fields. Submitting a de-registration using the specific GUI window would result in creating a regular settlement instruction with pre-filled values. The GUI screen can be found under Settlement section.

3.14.2 Number of securities to be de-registered

Since de-registration is executed using regular settlement instructions, the contents of it has to correspond to ISO20022 settlement instruction structure. The mandatory settlement instruction attributes require the Participants to indicate also the number of financial instruments to be de-registered (unlike the market practice before September 18, 2017 where the Participants did not have to indicate number of securities to be transferred).

Consequently, the participants have to know the exact number of securities to be de-registered for the person. Since usually this information is not available to the participant, the CSD provides a specific window in the CSD system where the participants will be able to search for clients’ balances in the Initial Register (Holders -> Browse -> LV IR Balance Query).

Settlement instruction attributes Mandatory values

Instruction type

Securities Movement Type Receive

Payment Type Free of payment

Transaction type OWNE (External Account transfer) or other

Financial instrument

ISIN ISIN code of the financial instrument to be de-registered

Quantity The quantity of securities to be de-registered

Participant Side

Party 1 BIC BIC11 of the CSD participant

Party 1 Safekeeping Account Receiving securities account with the CSD

Counterparty Side (IR Registry)

Party 1 BIC LCDELV22XXX

Party 1 Safekeeping Account Personal ID or registration number in Initial Register


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In order to search for the balances, the participants will have to indicate two criteria in the search query:

• Personal ID or registration number of the person in Initial Register; • Participant search reference (individually chosen reference for each search).

As a result, the participants will receive information about the securities and their quantity in the person’s account in Initial Register. To ease the de-registration process, the participants are able to use a short-cut by clicking the right mouse button to open a partially pre-filled de-registration instruction window (LV IR Deregister Ins).

Note! Since the data in Initial Register is protected by the Latvian Personal Data Protection Law, the participants have to have a written consent from the securities owner (or legal representative) for performing a search for their data in Initial Register. The CSD logs all the search requests made by the participants, and the participants should be able to declare the written consent of the participant’s client to search for its’ data in Initial Register upon request. Querying of persons’ holdings in Initial Register without written consent from the securities owner (or legal representative) is prohibited. It is a CSD participant’s responsibility to ensure that the Initial Register balance queries and de-registration instructions are correct and according to the agreements with their clients.

In case a person needs to receive only a part of securities (e.g., in case of inheritance), the participant should indicate corresponding number of securities. The CSD will no longer require all-or-nothing securities de-registration from the Initial Register.

3.14.3 Cash management

Accrued dividends and rights to money payouts will occur once a week for all de-registrations that have happened during the previous week. The participants will also receive reports about cash distribution of each investor directly in the CSD system. There will be 2 reports available – report displaying an aggregated cash payouts per ISIN and corporate action (Custom -> Browse -> LV IR Payouts Aggr), and a detailed report for each investor and each accrued cash amount (Custom -> Browse -> LV IR Payouts Detailed). Both reports can be generated for a time period desired by the participant. The cash payouts will be presented in the reports as soon as the CSD pays out the accrued cash. Accrued cash for each investor is represented in LV IR Balance Query by a virtual instrument with ISIN code LVIRC. This virtual cash instrument should not be used in de-registration instructions created by the CSD participants.

Since it will be possible to de-register a fraction of person’s securities in Initial Register (in case of inheritance), the accrued cash will be paid out according to the proportion of the de-registered securities to the total number of particular securities in Initial Register.

For example, if a person has 100 shares of ISIN X and accrued cash of 100 EUR, and she de-registers 50 shares, the CSD will transfer 50 EUR of accrued cash to the participant. Transferrable cash amount will be calculated for each dividend payout separately, and the total sum will be transferred to the CSD participant’s Target 2 cash account. Round-down rule will be applied in case there are fractions of eurocents to be transferred to the participant.


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3.14.4 Transfers to Initial Register

In case there has been a faulty de-registration and the participants need to send securities back to Initial Register, they should submit a regular settlement instruction via GUI screen Settlement -> Insert -> Settlement Instruction or sese.023 message with the following fields filled:

After receipt of such settlement instruction, the CSD as the counter-party will instruct with a matching settlement instruction, and the securities will be transferred to the Initial Register.

3.14.5 Insolvent company register

As in the market practice before September 18, 2017, the participants will be able to send allowed set of securities to the insolvent company register. To do it, the participants have to submit a settlement instruction with the same fields filled as for transfers to Initial Register. The CSD will recognize that the particular settlement instruction is intended to transfer instruments to the insolvent company register. After receipt of such settlement instruction, the CSD as the counter-party will instruct with a matching settlement instruction, and the securities will be transferred to the insolvent company register.

Notifications regarding Insolvency and Operational Default Events

CSD participants have to notify CSD of their Insolvency and Operational Default Events as soon as possible by sending an e-mail to: [email protected]

According to the Rules of Nasdaq CSD default of a participant means any Insolvency Event or Operational Default that may occur due to change in participant’s legal status, technical interruption or restrictions on participant’s activity established against it, participant is not able to perform its obligations in connection with its participation in the securities settlement system(s) operated by the CSD.

Settlement instruction attributes Mandatory values

Instruction type

Securities Movement Type Deliver

Payment Type Free of payment

Transaction type OWNE (External Account transfer) or other

Financial instrument

ISIN ISIN code of the financial instrument

Quantity The quantity of securities to be transferred

Participant Side

Party 1 BIC BIC11 of the CSD participant

Party 1 Safekeeping Account Delivering securities account with CSD

Counterparty Side

Party 1 BIC LCDELV22XXX

Party 1 Safekeeping Account Personal ID or registration number

Party 1 name Name and surname or company name of the client in Initial Register


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Managing the default of a Participant’s is regulated by „PROCEDURE PUT IN PLACE BY NASDAQ CSD TO MANAGE THE DEFAULT OF A PARTICIPANT“.


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4 ANNEX 1 – Holidays calendar

Baltic Holidays

National holidays CSD/T2S holidays

EE LV LT DvP FoP

January 1 X X X X X

February 16 X

February 24 X

March 11 X

Good Friday X X X X

Easter Monday X X X X

May 1 X X X X X

May 4 X

June 23 X X

June 24 X X X

July 6 X

August 15 X

August 20 X

November 1 X

November 18 X

December 24 X X X

December 25 X X X X X

December 26 X X X X X

December 31 X


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5 ANNEX 2 – Currency calendars

EUR currency non-settlement dates

Holidays Date

New Year’s Day January 1

Good Friday

Easter Monday

Labor Day May 1

Christmas Day December 25

Boxing Day December 26

USD currency non-settlement dates

Holidays Date

New Year’s Day (observed) January 1

Martin Luther King Jr. Day Third Monday in January

Presidents’ Day Third Monday in February

Good Friday

Memorial Day Last Monday in May

Independence Day July 4

Labor Day First Monday in September

Thanksgiving Day 4th Thursday in November

Christmas Day December 25


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6 ANNEX 3 – Cash transfer instruction to settle LT savings notes

Cash agent has to submit the following cash transfer instruction via T2 to settle distribution of savings notes settlement instruction.

Technical liquidity mirror account that is credited in the CSD system has to be identified from cash credit notification message received by the CSD from T2. Depending on the message type, technical liquidity mirror account is mapped as follows:

CASH TRANSFER USING MT202

CASH TRANSFER USING MT103

Field Name Description

Recipient BIC CSDLLT22577 – BIC of Nasdaq CSD Lithuanian branch

:20: Transaction Reference Number This field specifies the reference assigned by the Sender to unambiguously identify the message

:21: Related Reference This field contains a reference to the related transaction

:32A: Value Date, Currency code, Amount This field specifies the value date, the currency and the settlement amount Value date – intended settlement date of the settlement instruction Amount – settlement amount to be settle on the intended settlement date of pending savings notes distribution instructions

:52A: Ordering institution

:58A: Beneficiary Institution that specifies credited cash agent’s CSA in the CSD system For example: :58A:/LT369000102000001199 (CSA identification in IBAN format or another format) CBVILT2XXXX (beneficiary, a creditor who receives cash to CSA)

Field Name Description

Recipient BIC CSDLLT22577 – BIC of Nasdaq CSD Lithuanian branch

:20: Sender’s Reference This field specifies the reference assigned by the Sender to unambiguously identify the message

:32A: Value Date, Currency code, Amount This field specifies the value date, the currency and the settlement amount Value date – intended settlement date of the settlement instruction


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Amount – settlement amount to be settle on the intended settlement date of pending savings notes distribution instructions

:59A: Beneficiary Customer information that specifies credited cash agent’s CSA in the CSD system For example: :59A:/LT369000102000001199 (CSA identification in IBAN format or another format) CBVILT2XXXX (beneficiary, a creditor who receives cash to CSA)


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7 ANNEX 4 – Cash transfer instruction to settle T2S eligible Baltic securities in non-T2S currency

Cash agent has to submit cash transfer instruction via Commercial Bank to settle settlement instruction with T2S eligible Baltic securities in non-T2S currency, namely USD.

Technical liquidity mirror account that is credited in the CSD system has to be identified from cash credit notification message received by the CSD from the Commercial Bank. Therefore participants are asked to indicate technical liquidity mirror account opened in the CSD system in the Related Reference field (field 21 in MT202).


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8 ANNEX 5 – Settlement instructions related to the CBL

Following settlement instructions has to be submitted to the CSD system in order to settle in CBL accounting and settlement system.


Instruction Type Specifies how the transaction is to be settled. 1) Option “DvP” if the movement of the securities is done against cash. 2) Option “FoP” if the movement of the securities is done without cash movement.

M

Securities Movement Type

Specifies if the movement on a securities account results from a deliver or a receive instruction. 1) Option “Deliver” if the account operator entering the data is the account operator of the delivering (securities selling side) securities account. 2) Option “Receive” if the account operator entering the data is the account operator of the receiving (securities buying side) securities account.

M

Transaction Type An attribute characterizing the circumstances of the transaction is entered to the data input field. 1) Option “TRAD” if the instruction is related to settlement of a trade.

M

ISIN Code The ISIN of the security which is the object of the securities transfer is entered in the data input field.

M

Quantity Total quantity of securities to be settled which is the object of the transfer is entered in the data input field: 1) Quantity expressed as a number of securities if securities to be settled are accounted in units. 2) Quantity expressed as an amount representing the face amount if securities to be settled are accounted in face amount.

M

Settlement Amount The total value of the transaction is entered to the “Amount” data input field. Mandatory if payment type is against payment.

O/M

Currency The currency of the transaction is entered in the “Currency” data input field. Mandatory if payment type is against payment.

O/M

Trade Date The data input field specifies the date on which the trade was executed. This date cannot be a date in future.

M


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The data input field specifies the date when the transaction becomes eligible to be submitted to the settlement, i.e. date at which the securities are to be delivered or received.

M

Participant Reference Unique instruction identification assigned by the instructing party, is treated as the Account Owner Reference in T2S. Maximum length is 16 symbols and specific symbols are prohibited. Also reference is case sensitive.

M


Participant CSD Code The data input field specifies the CSD where settlement party is a participant. LCDELV22XXX – Nasdaq CSD BIC

A

Counterparty CSD The data input field specifies the place of settlement of financial instruments. 1) Option “CEDELULLXXX” if financial instruments are delivered from an account opened within CBL accounting and settlement system 2) Option “MGTCBEBEXXX” if financial instruments are delivered from an account opened within Euroclear accounting and settlement system If place of settlement is any other CSD, respective CSD BIC must be selected from the provided list.

M



M

Party BIC The data input field specifies the settlement party in the instruction.

M


The following is entered to the data input field: 1) By the delivering account operator – to be debited securities account number in the CSD. 2) By the receiving account operator – to be credited securities account number in the CSD.

M



M

Party BIC The data input field specifies the settlement counterparty in the instruction. 1) Option “CEDELULLXXX” if financial instruments are delivered from an account opened within CBL accounting and settlement system

M


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2) Option “MGTCBEBEXXX” if financial instruments are delivered from an account opened within Euroclear accounting and settlement system If financial instruments are delivered from an account opened in any other CSD, respective BIC must be selected from the provided list.

Party Sequence (2) If ‘2’ is entered in the data input field it specifies settlement counterparty that, in a settlement chain interacts with the Party 1.

M

Party Name The data input field that specifies the client of the settlement counterparty. Participants has to specify counterparty account in the external CSD, e.g. account number 46225 or name JSMAY

M


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9 ANNEX 6 – List of messages and reports

Service Code Description Message ID

Subscribe

General

- MessageReject admi.002 N

Securities settlement

- SecuritiesSettlementTransactionInstruction sese.023 N

TxStsAdvc SecuritiesSettlementTransactionStatusAdvice sese.024 Y

TxConf SecuritiesSettlementTransactionConfirmation sese.025 Y

- SecuritiesTransactionCancellationRequest sese.020 N

TxCxlReqSt SecuritiesTransactionCancellationRequestStatusAdvice sese.027 Y

TxAllgmtNt SecuritiesSettlementTransactionAllegementNotification sese.028 Y

AllgmtRmvl SecuritiesSettlementAllegementRemovalAdvice sese.029 Y

- SecuritiesSettlementConditionsModificationRequest sese.030 N

CondModSts SecuritiesSettlementConditionModificationStatusAdvice sese.031 Y

TxGnrtnNtf SecuritiesSettlementTransactionGenerationNotification sese.032 Y

MsgCxlAdvc SecuritiesMessageCancellationAdvice semt.020 Y

Account management

AccountOpeningInstruction acmt.001 N

AccountDetailsConfirmation acmt.002 N

AccountModificationInstruction acmt.003 N

GetAccountDetails acmt.004 N

AccountManagementStatusReport acmt.006 N

Reconciliation

SctiesBal SecuritiesBalanceCustodyReport semt.002 Y

SecTxPstng SecuritiesTransactionPostingReport semt.017 Y

SecTxPdg SecuritiesTransactionPendingReport semt.018 Y

- SecuritiesStatementQuery semt.021 N

- SecuritiesTransactionStatusQuery sese.021 N

- SecuritiesStatusStatementQueryStatusAdvice sese.022 N

Cash Management (T2S)

- GetAccount camt.003 N

- ReturnAccount camt.004 N

- GetTransaction camt.005 N

- ReturnTransaction camt.006 N

Shareholders Disclosure messages

PShDsclReq Shareholder Disclosure Request Y

PShDsclsr Shareholder Disclosure Y

PShDsclAdv Shareholder Disclosure Status Advice Y

Account restrictions

- ProprietaryAccountRestrictionsStatusAdvice ncar.003 N


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Service Code Description Message ID

Subscribe

- ProprietaryAccountRestrictionsData ncar.002 N

- ProprietaryAccountRestrictionsQuery ncar.001 N

Reference data query

- ProprietarySecuritiesReferenceDataQuery ncrd.001 N

- ProprietarySecuritiesReferenceData ncrd.002 N

- ProprietarySecuritiesReferenceDataQueryStatusAdvice ncrd.003 N

Trade capture

- ProprietaryTradeCaptureTransactionInstructionConfirmation nctc.001 N

EE end-investor account notices

- GetAcctNoticeRequests ncan.001 N

- AcctNoticeRequestConfirmation ncan.002 N

- AddAcctNoticeRequest ncan.003 N

- CancelAcctNoticeRequest ncan.004 N

- AcctNoticeRequestStatusReport ncan.005 N

EE market specific statements

AnSecBalNt Annual Account Balance notice (EE SSS) - Y

AccOpenNt Account Opening Notice (EE SSS) - Y

PLEDGENT Pledge Notifications (e-mail) - Y

Corporate Action related messages

CA_DETL Not bulked without reminders - Y

CA_DETL_R Not bulked with reminders - Y

CA_GENR Bulked without reminders - Y

CA_GENR_R Bulked with reminders - Y

CAINSTR CA Instruction Status messages seev.034/ MT567

Y

MEET_DETL Meeting messages Account level Y

MEET_GENR Meeting messages Participant level Y

Documents

NASDAQ CSD OPERATING MANUAL · 2020-02-14 · OPERATING MANUAL v.1.20.February, 2020 3 v. 1.14 March 20,2019 Contract number insert during registration similar pledges Pledge type