Real Time Settlement System

• In the local systems of INTERBOLSA, through the Data Transfer System (STD) by the ICPs (Indirectly Connected Parties), and in certain cases by DCPs;
• By the DCPs (Directly Connected Parties), directly in the T2S platform;
• By SWIFT ISO 15022 messages.

• Delivery versus Payment – DVP;
• Free of Payment – FOP;
• Delivery with Payment – DWP;
• Payment Free of Delivery – PFoD.

The matching of operations occurs on the TARGET2-Securities (T2S) platform:

• Mandatory matching fields, are those that must be included in the two settlement instructions registered in the system in order to allow the matching to occur;
• Additional matching fields are those fields that have to match if they are filled in, in at least one of the instructions;
• Optional matching fields, are those fields that may match with a filed with no value, but when provided in both instructions, the values have to match;
• Matching fields and matching tolerances: two settlement instructions match if the difference between the settlement amount indicated by the seller and the buyer is lower than the tolerance amount. In this case the instructions will settle using the settlement amount specified by the seller:

*Chinese yuan renminbi offshore (CNH), but for technical reasons it is used CNY

Settlement of transactions occurs on TARGET2-Securities (T2S):

• Settlement is processed in accordance with the rules established by INTERBOLSA as well as the operating rules of the T2S platform;
• The settlement process includes a night time settlement period and a daytime settlement period in T2S –Timetable.

Before its settlement or cancellation, the Participant can amend the following fields:

• Partial settlement indicator;
• Link between different settlement instructions;
• Settlement priority indicator (is not possible for partially settled instructions).

• The hold functionality can be used at the moment of registration of the instruction or afterwards.
• The total release functionality can be used at any time, and in this case the instruction will be immediately submitted to settlement, unless the intended settlement date (ISD) is on future date.
• The partial release functionality can only be used from the SoD (Start of Day) on intended settlement date (ISD), at 18:45 CET, and the instruction will try to settle for the released quantity in the next partial settlement window.
  
  This functionality is only available for delivery of securities (DVP, DFP e DWP) and is possible for settlement instructions:
  • Matched and not cancelled;
  • Pending with Party ‘Hold’;
  • That allows partial settlement.
• The partial release process only have the lifecycle on a single business day. In case the partially released quantity has not been completely settled by the end of the corresponding settlement cut-off time the process is automatically cancelled by T2S, i.e., the settlement instruction is set back on party hold for the original quantity.

The settlement instructions can be cancelled:

• Unilaterally, by the Participant who has registered the instruction, if the matching did not yet occur;
• By mutual agreement, after matching, at any time before the settlement is processed.

A settlement instruction is automatically cancelled if the instruction remains unmatched after 20 business days after: the intended settlement date, or the date of the last amendment of the instruction, whichever is the most recent date.

“Warning” sent to the counterpart of the instruction, to inform that there is a instruction registered in the system waiting for the corresponding instruction of the counterparty for its confirmation.

The instructions can be sent with different levels of priority, from the highest to the lowest:

• Level 3 – high priority;
• Level 4 – normal priority.

• Information (INFO) – for information purposes only, with no impact on the settlement processing;
• Before (BEFO) – which means that a settlement instruction or settlement restriction settles before or, at least, at the same time as the linked settlement instruction or settlement restriction;
• After (AFTE) – in this case the settlement instruction or settlement restriction, settles after or, at least, at the same time as the linked settlement instruction or settlement restriction;
• All-or-none (WITH) – with this link, a settlement instruction or settlement restriction settles at the same time as the linked settlement instruction or settlement restriction. This can also be achieved by creating a Pool of Linked instructions;
• A set of instructions specifying the pool reference of each instruction (linked type WITH or not informed).

Partial settlement procedures apply to all eligible settlement instructions, when full settlement is not possible due to a lack of securities in the following periods:

• Night-time settlement period: in the last settement cycle;
• Day-time settlement period: during the partial settlement windows defined for this purpose – Timetable.

“Automatic mechanism to supply intraday credit, secured with eligible collateral, named auto-collateralisation.”

Types of auto-collateralisation:

• Central Bank collateralisation;
• Client collateralisation.

Securities can be authorized for auto-collateralisation:

• auto-collateralisation on flow and/or
• auto-collateralisation on stock.

• Settlement instructions are sent directly or indirectly to T2S by the CCP at the end of the trade date (TD) to settle on the second business day after the trade date (ISD = TD + 2);
• Instructions are sent with settlement priority 2 (Top Priority), with partial settlement indicator “PARQ” (partial settlement allowed – threshold in quantity);
• The instructions not settled during the night time settlement period are submitted to new settlement attempts in the daytime settlement period in T2S and try to settle until their effective settlement or cancellation by the CCP;
• INTERBOLSA creates and sends to T2S the Market Claims and Transformations instructions in accordance with the standards of Corporate Actions on Flows (Market Claims, Transformations and Buyer Protection).

• Until the previous business day of the settlement date, the CCP sends the settlement instructions directly to the T2S platform, to be settled during the night time settlement period;
• The instructions are sent with settlement priority 2 (Top Priority) and with the partial settlement indicator PARQ (partial settlement allowed – threshold in quantity);
• Market claims/transformations are detected and generated by INTERBOLSA;
• The instructions not settled during the night time settlement period are submitted to new settlement attempts in the daytime settlement period in T2S, and on the following business days, until being settled, or cancelled by the Participants.

To the settlement instructions on securities that are identified as non-eligible to be processed by LCH (non-clearable operations), the following procedures shall apply :

• EURONEXT LISBON identifies all operations executed on the markets and systems managed by it on non-eligible securities to be processed by the CCP and sends to the counterparties of the operations the necessary information to carry out the settlement;
• The parties, according to the information provided by EURONEXT LISBON introduce the settlement instructions in the Real Time Settlement System, in order to be processed by the T2S platform;
• As non-clearable are considered the operations executed in the markets and systems of EURONEXT LISBON regarding securities denominated in a currency other than euro, whose settlement is not supported by the T2S platform, as well as debt instruments having a pool factor.

Public and Private Offerings such as, Takeover Bid (OPA), Public Offering for Subscription (OPS) or Public Offering (OPV).

• By Euronext Lisbon in case the operation is carried out in a special exchange session;
• By the Participant that represents the Issuer in case the operation is not carried out in a special exchange session.

Euronext Lisbon or the Participant that represents the Issuer sends to INTERBOLSA, until the business day preceding the day appointed for the settlement of the operation, information regarding the physical and financial settlement of the carried out operations.



INTERBOLSA sends the instructions to T2S, in order to settle during the Night Time Settlement cycle:

• With Priority 1 (Reserved Priority);
• “Opt-out” Indicator (without market claims / transformations);
• Partial Settlement indicator “NPAR” (no partial settlement).

• Settlement is bilateral, that is, gross settlement;
• Unsettled operations in the Night-time cycle will attempt to settle in the Day-time settlement.