NASDAQ CSD OPERATING MANUALOPERATING MANUAL v.1.23.October, 2020 9 2 Securities settlement market practices Instruments issued and registered in the CSD system are collectively …

NASDAQ CSD OPERATING MANUAL

1. Applicable to Estonian, Latvian and Lithuanian SSS

2. v 1.23

3. October, 2020

OPERATING MANUAL v.1.23.October, 2020

2

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,

Changes in section 3.1.1 Securities account opening related to the

13/02/2020


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Business Development

identifiers of the account holders


Head of Operations

Added report of Recycled instructions

05/05-2020


Sr Securities Specialist, CSD Operations

Settlement instruction, portfolio transfer and de-registration from IR input. Added beneficial ownership indicator

2020-08-06


Lead Project/Program Manager, Business Development

Section 3.13 updated with Nasdaq CSD Service description of Shareholder disclosure process in accordance with SRD II

2020-08-06


Sr Securities Specialist, CSD Operations

Section 3.2.9 removed matched instruction recycled for unlimited time and added recycling period.

2020-10-05

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 .................................................. 12

2.4.1 Central bank money settlement ............................................................................. 12

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

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


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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....................................................................... 38

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

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

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

3.3.5 Portfolio transfer via FOP instructions ................................................................... 41

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

Operations related to open ended investment fund units ............................................ 44

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

3.4.2 Redemption of open-ended investment fund units ............................................... 46

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 .................. 48

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


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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

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


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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

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 instructions 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.

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.


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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 markets1 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 markets2, 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).

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

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

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


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Transfer cash for DVP buy settlement instructions cash leg

By 13:00 on the settlement day

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 FATCA3, 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.

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.

3 FATCA -Foreign Account Tax Compliance Act


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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 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


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(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 Presence4

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

4 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 Account5 – 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

5 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 Account6

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 investor7. 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

6 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.

7 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 registration8 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) 2017/5909.

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

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

9 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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Ownership Change An optional indicator that indicates that this instruction represents a change in ownership

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)

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 counterparty in the instruction.

M


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

O

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 Parties10

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

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


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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

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“).


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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 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.

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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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.

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


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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 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”.


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

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.


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

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


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instructions are not linked to any other settlement instruction by a link type “Before”, “After” “With” or by a pool reference.

Settlement instructions are settled partially during designated partial settlement windows; partial settlement is active in T2S within the following time periods11 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 Party12 – LCDELV22XXX.

After receiving DVP instruction13 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).

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

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

13 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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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.

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

NASDAQ CSD OPERATING MANUALOPERATING MANUAL v.1.23.October, 2020 9 2 Securities settlement market practices Instruments issued and registered in the CSD system are collectively …

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