T2S Volumetric Assumptions
T2S Advisory Group Meeting
Frankfurt, 18/19 November 2013
T2S Programme Office
European Central Bank
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T2S volumetric assumptions
1
Objectives and background
2
Peak volume factor and volume growth
3
Transactional processing
Volumetric analysis
Objectives and Background

Volumetric analysis for the sizing of the technical infrastructure for T2S
•
•
•
•

Analysis requires input from CSDs, Central Banks and Directly Connected
Parties on their intended usage of T2S to derive a model
•



Assess peak volume factor
Estimate workload for peak end-of-day (EOD) and start-of-day (SOD) period
Define a peak daytime processing hour
Determine values for various variables affecting processing and workload
Continuous process over the previous 18 months with several workshops
Latest workshop held on 4 November to present and review additional
assumptions for the sizing of T2S, including EOD/SOD period
T2S Processing Volume Analysis to be updated in 2013 to provide a
baseline for the sizing of T2S
AG members are invited to (i) assess if the statements (in red) in this
presentation represent reasonable assumptions in view of the sizing of the
T2S platform; and (ii) provide feedback on pending issues
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T2S volumetric assumptions
1
Objectives and background
2
Peak volume factor and volume growth
3
Transactional processing
Peak volume factors
Background
 T2S must be able to process
• a frequent expected variation of the average daily settlement
instruction volume; and
• an infrequent exceptional variation of the average daily settlement
instruction volume.
 The T2S User Requirements and the General Technical Design
V2.2 require T2S to process a peak of 4.15 times the average
settlement volume
 The original assumptions for this peak
• CSDs in direct holding markets would operate in T2S with all endinvestor accounts, resulting in a doubling of volumes through
corporate actions and income events in large securities issues
• Simultaneous peaks in multiple markets, including the UK market
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Peak volume factors
Terms, definitions and assumptions
 Standard peak volume factor
• Defines the number by which the daily average settlement instruction
volume is multiplied in order to determine the standard volume
baseline that T2S needs to process
• The assumption is that T2S must be able to process 2.5 times the daily
average settlement instruction volume
 Exceptional peak volume factor
• Defines the number by which the daily average volume is multiplied in
order to determine the infrequent exceptional volume that T2S needs
to process
• The assumption is that T2S must be able to process over 2.5 up to
4.15 times the average daily volume on an exceptional basis
• The maximum occurrences of an exceptional peak is four [4] times a
year, probably at the start or end of a quarter
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T2S volume assumptions
Growth rates
Year
Growth
Rate
2013
0.03125%
0.00%
0.03125%
2014
0.03125%
0.00%
0.03125%
2015
0.03125%
7.72%
7.75125%
2016
0.03125%
0.00%
0.03125%
2017
3.75000%
0.00%
3.75000%
2018
3.75000%
0.00%
3.75000%
2019
3.75000%
0.00%
3.75000%
2020
3.75000%
12.00%
15.75000%
2021
3.75000%
0.00%
3.75000%
2022
3.75000%
0.00%
3.75000%
2023
3.75000%
0.00%
3.75000%
2024
3.75000%
0.00%
3.75000%
Additional Total Growth
volume
Rate

The results of the
informal survey of the AG
in June 2013 have been
used to estimate the
growth rates
 Additional volume
•
•
New ISINs (eurobonds,
funds…)
New currencies1
1DKK
included in baseline and not considered as additional
volume
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T2S volumetric assumptions
1
Objectives and background
2
Peak volume factor and volume growth
3
Transactional processing
T2S volume assumptions
Distribution of settlement instructions
Distribution of settlement instructions
Settlement Instructions
%
Distribution
100%
DVP w/o corporate actions instructions as percentage of total settlement
instructions
78.9%
FOP w/o corporate actions as percentage of total settlement instructions
16.6%
Payment free of delivery (PFOD) for income events as percentage of total
settlement instructions
2.1%
DVP and FOP corporate actions instructions as percentage of total
settlement instructions
2.4%
 Distribution from the CSD Volume Survey in which some CSDs included settlement
instructions for corporate actions and income events in DVP and FOP total
 An average of 4.5% of Settlement instructions for corporate actions and income
events derived from CSDs that provided segregated figures.
– 10% of total daily settlement instructions as peak (pending validation)
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T2S volume assumptions
2017 settlement instruction volumes
2017 settlement instructions
Settlement Instructions
Average
daily
Standard Exceptional
Peak
Peak
1,100,215
2,750,537
4,565,892
Delivery-versus-payment w/o corporate actions
instructions as percentage of total settlement
instructions
908,973
2,272,433
3,772,239
Free-of-payment w/o corporate actions as percentage
of total settlement instructions
191,242
478,104
793,652
51,843
129,606
215,147
Payment free of delivery (PFOD) for income events as
percentage of total settlement instructions
24,193
60,483
100,402
Corporate actions instructions as percentage of total
settlement instructions - DVP and FOP
27,649
69,123
114,745
1,152,057
2,880,144
4,781,038
Delivery-versus-payment with corporate action FOPs
933,167
2,332,916
3,872,641
Free-of-payment
191,242
478,104
793,652
27,649
69,123
114,745
Settlement Instructions for corporate actions and
income events
Total Settlement Instructions
Payment free of delivery
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Instruction life cycle communication
Estimation model
 Instruction life cycle communication profile
-
Documents the T2S inbound and outbound responses for instructions
that T2S receives
 Presents assumptions that underlie the estimation model
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for the types and number of instructions that directly connected
actors, including Directly Connected Parties (DCPs) will send to T2S
for the types and number of responses that T2S will provide
uses the instruction volumes from the CSD Volume Survey
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Instruction life cycle communication profile
Inbound instructions
Distribution profile for T2S instructions
Percentage
Settlement instructions, of which are

Matched
60%
Unmatched
40%
The share of pre-matched settlement instructions is assumed to be 60%




Settlement volume weighted average of pre-matched transactions is 54%, based on the
feedback of euro area CSDs in the CSD volume survey
The introduction of further CCPs, potentially resulting in the move of at least some
OTC trading volume to CCPs; and
Some CSDs will perform local matching and send pre-matched settlement instructions
to T2S in particular at the beginning of T2S operations
Distribution file-based vs. message-based submission


Entities, submitting pre-matched instructions, instruct in batches at regularly scheduled
intervals and will continue to do so in T2S
Most directly connected actors (DCPs) will forward unmatched instructions
immediately to T2S during the day
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Instruction life cycle communication profile
Inbound instructions
Distribution profile for T2S instructions
Hold/Release of Settlement Instruction
including COSD
Percentage
30%
 Hold and/or release instructions, including COSD, will be submitted for
30% of the settlement instructions.
 Assumption is that participants will optimise processing:
 that they likely will send released instructions for their proprietary accounts;
and
 that the majority will send released instructions for their customer accounts
and hold before the settlement day if the customer does not have sufficient
deliverable holdings to settle.
 Distribution file-based vs. message-based submission

CSD participants will hold or release most instructions before the start of the
new settlement day as part of a batch run in their securities back-office
system. T2S will receive these instructions mainly as a files.
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Instruction life cycle communication profile
Inbound instructions
Distribution profile for T2S instructions
Amendment of settlement instruction
Percentage Messagebased
0.5%
100%
Filebased
0%
 The submission of amendments to settlement instructions will not exceed
0.5%
 All amendments of settlement instructions will be messages, based on the
consideration that an actor requires an immediate change to the
instruction to ensure the update before settlement
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Instruction life cycle communication profile
Inbound instructions
Distribution profile for T2S instructions
Cancellation of settlement instruction
Percentage Messagebased
1.5%
90%
Filebased
10%
 T2S will receive cancellation instructions for a maximum 1.5% of the total
number of settlement instructions
 Distribution file-based vs. message-based submission
 T2S actor will identify the need to cancel a settlement instruction during
daytime business hours and send an immediate cancellation request to T2S
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T2S volume assumptions
Profile for the submission of instructions
Instruction type
Percentage1
Settlement instructions, of which are
Matched
60%
Unmatched
40%
Hold/Release of Settlement Instruction including COSD
30%
Amendment of settlement instruction
0.5%
Cancellation of settlement instruction
1.5%
1As
percentage of total settlement instructions
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Instruction life cycle communication profile
Outbound notifications
Distribution profile for T2S instruction life cycle
% of inbound
instruction
Notification for Acceptance of Settlement Instruction
50%
Notification for Match Confirmation of Settlement Instruction
100%
Notification for Confirmation of Settlement or Fail
120%
Notification for Acceptance of Amendment of Settlement Instruction
50%
Notification for Execution of Amendment of Settlement Instruction
100%
Notification for Acceptance of Hold/Release of Settlement Instruction
including COSD
50%
Notification for Execution of Hold/Release of Settlement Instruction
including COSD
100%
Notification for Acceptance of Cancellation of Settlement Instruction
50%
Notification for Execution of Cancellation of Settlement Instruction
100%
Notification for Cash Posting
100%
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Instruction life cycle communication profile
Outbound notification copies for DCP instructions
Distribution profile for T2S instruction life cycle
% of DCP inbound
instructions
Notification for Acceptance of Settlement Instruction
100%
Notification for Match Confirmation of Settlement Instruction
100%
Notification for Confirmation of Settlement or Fail
120%
Notification for Acceptance of Amendment of Settlement Instruction
100%
Notification for Execution of Amendment of Settlement Instruction
100%
Notification for Acceptance of Hold/Release of Settlement Instruction
including COSD
100%
Notification for Execution of Hold/Release of Settlement Instruction
including COSD
100%
Notification for Acceptance of Cancellation of Settlement Instruction
100%
Notification for Execution of Cancellation of Settlement Instruction
100%
Notification for Cash Posting
0%
• The current assumption is that DCP volume is 50% of overall T2S volumes
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Instruction life cycle communication profile
Message vs. file-based business items
Description
Estimated average per settlement instruction
As
Messages
4
In Files/ Total business
Reports
items
4
8
 Business item defines a settlement instruction life cycle related business event
 Business items can be received or sent as single messages or bundled in files and
report
• Average per settlement instruction =
(business items received in files + business items sent in files +
business items received as message + business items sent as message) /
number of settlement instructions
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T2S Schedule
Current phases and indicative timings
Indicative
Timings (CET)
Phase
Description
End-of-day (EOD) and startof-day (SOD) periods
represent potentially the
peak processing period; in
any event a critical
processing period
18:45 – 19:30
Start of Day
Change of business date
19:30 - ~ 3:00
Night-time
Settlement
2 night-time settlement cycles and end-of-night reporting
~ 3:00 – 5:00
Maintenance
window
5:00 – 18:00
Daytime
Settlement
Continuous settlement with partial settlement periods &
real-time settlement closure period
18:00 – 18:45
End of Day
Close of business day
System maintenance activities
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T2S Schedule
EOD workload assumptions



On a daily basis as part of their EOD, CSDs will perform full
reconciliations of all types of pending and settled instructions
On a daily basis as part of their EOD, payment banks will require a full
Statement of Account for each dedicated cash account
On a daily basis as part of their EOD, most CSDs will perform delta
reconciliations for securities positions
•


Most CSDs will undertake full reconciliations outside of the EOD and SOD periods
using the query facility
Directly Connected Parties (DCPs) will subscribe to reporting in T2S and
not through CSDs, thereby increasing reporting volumes by 50%
Pending issues
•
•
•
•
•
Percentage of positions affected on average during the settlement day to estimate
reporting volume for delta reconciliations
Reporting for pending instructions as a factor of daily volume
Number of payment banks intending to offer client collateralisation
Expected number of securities eligible for client collateralisation with payment banks
Scheduling of valuation price feeds
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Peak daytime hour
Parameters



Defining a peak hour during the daytime period requires further market input
Information available from CSDs from questionnaires concerning as-is, but
limited information as to expectation after adaptation to T2S
Pending clarification
•
•
•

Percentage of settlement instructions that CSDs and DCPs will send during the daytime
concentrated in the peak daytime hour
Percentage of hold/release instructions that CSDs and DCPs will send during the daytime
concentrated in the peak daytime hour
Expected usage of U2A and A2A
Definition of the peak daytime hour will include
•
•
•
•
•
•
•
Receipt of settlement instructions
Receipt of hold/release instructions
Matching operations
Real-time settlement operations
Maximum number of securities reference data updates
Maximum number of application-to-application and user-to-application requests
Maximum number of intraday liquidity transfers
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Thank you for your attention
www.t2s.eu
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