Swift Messages in Ssss

SWIFT MESSAGES FORMAT IN SCRIPLESS SECURITIES SETTELEMENT SYSTEM

The messages in DEPO/X typically adhere to SWIFT ISO 15022 standards.

Interaction with RTGSThe following messages will be used to interaction between the DEPO/X and RTGS.MT103 and other messages from SWIFT 1 group can also be used for settlement.

Name of message SWIFT message type Direction

Cash leg transaction MT202, MT103 To RTGS

Approval rejection MT296/ERROR, MT196/ERROR From RTGS

Settlement delay notification MT296/WAIT, MT196/WAIT From RTGS

Settlement notification MT296, MT196 From RTGS

Cancellation notification MT296/CANC, MT196/CANC From RTGS

AUCTIONS (Primary market operations)Auction activationSequential number of message SWIFT message type Name of message

1 MT500 Instrument Registration

2 MT502 Auction announcement

3 MT509 Auction start

Standard submission of bidParticipants (e.g., dealer) send bids to the Auction module. If the validation fails, the participant receives «Error notification»). If the validation is successful, the bid is registered in DEPO/X, and the participant who sent the bid receives «Bid Accept confirmation».

Sequential number of message SWIFT message type Name of message

1 MT502 Instrument Registration

2 MT509 Error notification

3 MT509 Bid Accept confirmation

Cancellation of bidAfter successful registration of a bid, it is possible to cancel it. Bid cancellation will be allowed before closing date & time. Participant (e.g. dealer) sends «Request for cancellation» to the Auction module.

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If the validation fails, the participant receives «Error notification». If the validation is successful, the bid is cancelled in DEPO/X, and the participant who sent the request receives «Cancellation Request confirmation», «Bid cancellation notification».


1 MT502 Request for cancellation

2 MT509 Error notification

3 MT509 Cancellation Request confirmation

4 MT509 Bid cancellation notification

Settlement of the Auction resultsThe payments for bought Instruments will be performed via RTGS. The cash leg transactions are generated automatically by the command of Auction manager at the time when auction results are applied (Settlement date/time of Auction).

Sequential number of message SWIFT message type Name of message1 MT548 Transaction pending notification

2 MT548 Transaction pending notification

3 MT202 Cash leg transaction

4 MT296/WAIT Settlement delay notification

7 MT545 Transaction settlement confirmation


9 MT296 Settlement notification

10 MT548 Transaction cancellation notification


12 MT296/CANC Cancellation notification

ILF operations

Participant-initiated ILF operation (ILF Request by Securities)

Seller of securities: Commercial banks.

Buyer of securities: CB

Rendering of the temporary financial help (within the limits of the same day). Securities eligible for ILF should be specified. Operation is initiated by the participant.

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Sequential number of message SWIFT message type Name of message1 MT548 Transaction pending notification

2 MT548 Transaction pending notification3 MT548 Transaction pending notification4 MT202 Cash leg transaction7 MT296/WAIT Settlement delay notification8 MT547 Transaction settlement confirmation9 MT545 Transaction settlement confirmation

10 MT296 Settlement notification11 MT548 Transaction cancellation notification12 MT548 Transaction cancellation notification13 MT296/CANC Cancellation notification

Securities eligible for ILF Request by CashEach Participant’s sub-account has a special ILF sub-balance to hold securities eligible for ILF. Participants are requested to move securities to those sub-balances in advance during a day or on previous days before any ILF operation becomes possible. DEPO/X may use the securities on ILF sub-balance for processing the ILF Request by Cash.


1MT524 Securities reservation for ILF

operations

2 MT548 Collateral rejection

3 MT509 Collateral information ACK

Participant-initiated ILF operation (ILF Request by Cash, option 1)

Seller of securities: Commercial bank.

Buyer of securities: CB.

Rendering of the temporary financial help (within the limits of the same day). Securities eligible for ILF should be specified. Operation is initiated by the participant.

Sequential number of message SWIFT message type Name of message1 MT986 ILF Request by Cash




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CB-initiated ILF operation (ILF Request by Cash, option 1)

Seller of securities: Commercial bank


Rendering of the temporary financial help (within the limits of the same day). Securities eligible for ILF should be specified. Operation is initiated by CB, usually to force the settlement of auction results.Participant should specify which securities are eligible for the operation.

Sequential number of message SWIFT message type Name of message1 MT986 ILF Request by Cash2 MT548 Transaction pending notification3 MT548 Transaction pending notification4 MT202 Cash leg transaction7 MT296/WAIT Settlement delay notification8 MT547 Transaction settlement confirmation9 MT545 Transaction settlement confirmation


ILF request by cash (option2)

Borrower of cash: Commercial bank

Lender of Cash: CB

Securities to be used as collateral for ILF to be specified. No pledging or delivering of instruments is performed. Operation is initiated by participant. Any securities transaction will be rejected by the

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system if its settlement reduces the ILF limit at a level lower than the ILF granted earlier on the same day.

Sequential number of message SWIFT message type Name of message1 MT595 ILF Request by Cash2 MT596 Request cancellation notification3 MT202 Cash leg transaction4 MT296/WAIT Settlement delay notification7 MT296/SETL Transaction cancellation notification8 MT547 Transaction settlement confirmation9 MT545 Transaction settlement confirmation


Automated maturity ILF / Buy-back operation (option 1)

Seller of securities: CB

Buyer of securities: Commercial bank

Return of the temporary financial help. The operation is automatically initiated by DEPO/X: maturity operation in relation to the Participant-initiated ILF operation), the Participant-initiatedILF operation (ILF Request by Cash, option 1) and the CB-initiated ILF operation (ILF Requestby Cash, option 1).

Sequential number of message SWIFT message type Name of message1 MT548 Transaction pending notification2 MT548 Transaction pending notification3 MT202 Cash leg transaction4 MT296/WAIT Settlement delay notification7 MT545 Transaction settlement confirmation8 MT547 Transaction settlement confirmation9 MT296 Settlement notification

10 MT548 Transaction status notification11 MT548 Transaction status notification12 MT296/CANC Cancellation notification

Automated maturity ILF operation (option 2)

Seller of securities: CB.

Buyer of securities: Commercial bank.

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Return of the temporary financial help. Operation is initiated automatically. Maturity operation in relation to “ILF request by cash (option2)”.

Sequential number of message SWIFT message type Name of message1 MT202 Cash leg transaction2 MT296/WAIT Settlement delay notification3 MT296/SETL Settlement notification4 MT545 Transaction settlement confirmation5 MT547 Transaction settlement confirmation6 MT296/CANC Cancellation notification7 MT548 Transaction status notification8 MT548 Transaction status notification

Injection REPO operations

Participant-initiated REPO operation



Injection of liquidity to economy. Securities stay blocked on the account of owner.

Sequential number of message SWIFT message type Name of message1 MT543 Request for REPO2 MT548 Transaction pending notification3 MT548 Transaction pending notification4 MT202 Cash leg transaction7 MT296/WAIT Settlement delay notification8 MT547 Transaction settlement confirmation9 MT545 Transaction settlement confirmation


Automated maturity REPO / Buy-Back operation


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The repurchase of securities by Commercial bank. Operation is initiated automatically. Maturity operation in relation to “Participant-initiated REPO operation”.

Sequential number of message SWIFT message type Name of message1 MT548 Transaction pending notification2 MT548 Transaction pending notification3 MT202 Cash leg transaction4 MT296/WAIT Settlement delay notification5 MT547 Transaction settlement confirmation6 MT545 Transaction settlement confirmation7 MT296 Settlement notification8 MT548 Transaction cancellation notification9 MT548 Transaction cancellation notification


Mop-up REPO operations

CB-initiated mop-up REPO operation


Buyer of securities: Commercial bank (Primary Dealer).

Auction will be used to initiate REPO operation for the purpose of mopping up of excess liquidity in the economy. CB will announce either the amount or the interest rate, so banks can bid. Pro-ratio may be applied. The operation is automatically initiated by request of the Auction manager.


1 MT502 Auction announcement

2 MT509 Auction start

3 MT502 Bid

4 MT513 or MT509 Bid Confirmation or Bid Rejection

5 - Provisional reports





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Automated maturity mop-up REPO operation



The repurchase of securities by Commercial bank. Operation is initiated automatically.Maturity operation in relation to “CB-initiated mop-up REPO operation”.











10 MT548 Transaction status notification



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Interbank REPO (Horizontal REPO)

Participant-initiated Interbank REPO operation



A Commercial bank pledges securities against amount of cash to another Commercial bank. Securities stay blocked on the account of the owner.


1 MT543 Order “Sell”

2 MT541 Order “Buy”













Automated maturity of the Interbank REPO / buy-back operation



Return of the borrowed cash amount and releasing of blocked securities under Interbank (Horizontal) REPO. Operation is initiated automatically.Maturity operation in relation to “Participant-initiated Interbank REPO operation”.



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Manual repurchase - maturity Interbank REPO / buy-back operation



Return of the borrowed cash amount and releasing of blocked securities under Interbank (Horizontal) REPO. Operation is initiated by involved Participants manually. Maturity operation in relation to “Participant-initiated Interbank REPO operation”.


1 MT543 Request for Buy-Back operation

3 MT541 Request for Buy-Back operation











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CB-initiated buy-back operation



Return of the borrowed cash amount and releasing of blocked securities under Interbank (Horizontal) REPO. Operation is initiated by CB manually. Maturity operation in relation to “Participant-initiated Interbank REPO operation”.

Sequential number of message SWIFT message type Name of message1 MT543 Request for buy-back operation











Overnight REPO operations

Automated Conversion of ILF (option 1)/REPO operation to O/N REPO/ Extension of O/N REPO operation to another O/N REPO operation



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DvF operation: No Cash-leg involved. Only change in the REPO / ILF terms. Continuation of Automated maturity ILF / Buy-back operation (option 1)”or “Automated maturity REPO / Buy-Back operation”, or “Automated Conversion of ILF (option 1)/REPO operation to O/N REPO/Extension of O/N REPO operation to another O/N REPO operation”.






5 MT202 Penalty transfer

Automated Conversion of ILF (option 2) operation to O/N repo operationSeller of securities: Commercial bank


DvF operation: No Cash-leg involved. Only initiation of repo operation. Continuation of”Automated maturity ILF operation (option 2)”.







Participant-initiated Conversion of ILF/REPO operation to O/N REPO operation/ Extension of O/N REPO operation to another O/N REPO


Buyer of securities: CBDvF operation: the Securities transaction is initiated by the participant and approved by the CB. No Cash involved. Only change in the REPO / ILF terms.


1 MT542 Request to conversion/extension

2 MT548 Approval request

3 MT595 Approval reply

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4 MT596/ERROR Approval rejection

5 MT596/ERROR Approval rejection






Automated maturity of the O/N REPO operation

Seller of securities: CB


Return of the temporary financial help. Maturity operation in relation to “Automated Conversionof ILF (option 1)/REPO operation to O/N REPO/ Extension of O/N REPO operation to anotherO/N REPO operation and Participant-initiated Conversion of ILF/REPO operation to O/N REPOoperation.












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(Re)Discounting of instruments before maturity date



Sale of securities to the CB. Securities are carried over to buyer. Prevailing (re)discount rate is applied to seller. This is when the CB buys securities from an investor and no other transaction takes place on these securities.


1 MT543 Request for discount operation











Maturity of Instruments

Seller of securities: Commercial banks


The maturity of securities. The operation is initiated automatically. Maturity operation in relation to placement.








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11 - Summary of the net debit and credits

Message types (ISO 15022)

• MT 500, 501, 502, 508, 509, 513, 519, 524, 535, 536, 537,

• 540, 541,542, 543, 544, 545, 546, 547,

• 548, 549, 568, 578, 581, 586, 592, 595, 596, 598, 599

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Swift Messages in Ssss

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