T2S: Introduction of a recycling period for matched trades – Update


Note: This announcement, originally published on 20 March 2020, was updated in order to give notice of further functional details provided by T2S regarding the implementation of a modified recycling period and to inform about CBF’s implementation approach. No revision marks are displayed in the sections “Implementation approach” and “Next steps”.

The Clearstream Banking AG, Frankfurt1 informs customers about the introduction of a 60 business day recycling period for matched instructions in the TARGET2-Securities (T2S) platform effective

5 October 2020


With T2S CR691 “Recycling period of 60 business days for matched instructions”, T2S introduces a recycling period in order to reduce the number of matched but not settled instructions on the settlement platform. The new recycling period applies to all pending instructions in T2S, including those which CBF currently does not cancel automatically (for example stock exchange trades (LION instructions)). These instructions may occur, if one or both parties set the instruction on hold or if the underlying transaction of a pending compensation instruction (CLAI) has been cancelled by the customer and the counterparty. Already today, CBF offers an automatic cancellation of compensations for transactions in the German market (domestic or intra-CSD settlement), but this cancellation is not possible for cross-border transactions.

Starting 5 October 2020, T2S will cancel all matched instructions after a 60-day recycling period at the end of day (EOD, T2S Event „EORP“= End of Day Recycling and Purging). This event starts at 18:00. During this processing, T2S will automatically cancel these instructions reporting error message „MMCS001 Matched Settlement Instructions pending and not revoked at the end of the recycling period are cancelled“.

The 60 business day count starts2:

  • On the Intended Settlement Day (ISD), if the matching was achieved; or
  • On the matching day independently of the Intended Settlement Day (ISD) which can also be in the past; or
  • On the day the hold or release status of both matched instructions was modified or a partial settlement was executed by T2S. Both processes reset the T2S day count and the period restarts.

If, for example, an instruction with ISD 28 August 2020 is alleged on 1 September 2020 and matched the same day, the count of the 60 days begins on 1 September 2020. If further on, T2S confirms successfully a hold or release of the deliver and the receive instruction, the day count is set to zero, beginning with the point in time when the first of the status changes has been confirmed. Status changes set by CBF or T2S for settlement purposes (CSD hold status, CSD validation hold status, CoSD hold status) reset the counter as well.

If the matched instructions do not settle at the end of the recycling period, they will be cancelled during the end of day processing of the same day. If during the 60 days recycling period an instruction is set on hold or released by a customer and its counterparty or the transaction is partially settled by T2S, the day count is reset likewise

The rule that T2S cancels unmatched instructions open for more than 20 days remains unchanged. 

Implementation approach

T2S introduces the new recycling period by the adaption of a parameter in the settlement system. CBF offers more differentiated services. Each service has its own settlement process. For some services an automated cancellation is currently not possible or not requested by the customers.

CASCADE OTC instructions (instruction type AA01 / AA02)

The newly established T2S rule regarding the modification of the recycling period is applied to all instructions entered by the clients. It is valid for all matched instructions, no matter if it is a domestic or a cross-border OTC instruction. At the time that CBF receives from T2S the cancellation with the code “MMCS001 Matched Settlement Instructions pending and not revoked at the end of the recycling period are cancelled“, CBF will remove the instructions from the CASCADE instruction management database and report the deletion with the same details as above using an MT548 (Settlement Status and Processing Advice). The cancellation is recorded in CASCADE in the instruction history. 

CASCADE LION instructions (non-cleared stock exchange trades, instruction type 10)

In the future, CBF will continue to respect the characteristics of the settlement of stock exchange trades. According to the stock market regulations, non-cleared stock exchange trades must remain in the CBF instruction management system, even if they have been cancelled in T2S. This means that with the transmission of the cancellation „MMCS001 Matched Settlement Instructions pending and not revoked at the end of the recycling period are cancelled“, CBF will mark the deliver and the receive instruction as cancelled, but their final cancellation needs to be confirmed in LION by the customer and its counterparty. As requested by the Stock Exchanges, the instructions are displayed in the settlement reporting for stock exchange trades and remain in the system until the bilateral cancellation has been executed.

Instructions cancelled by T2S and marked for final cancellation in LION are shown in the CBF Settlement Reporting MT537 (“SE Statement of pending Transactions”) with status code IPRC//CAND in field :25D: and reason code CAND//NARR in field :24B: providing in the reason narrative :70D::REAS///LS/ the T2S cancellation code:

      :16R: STAT                                                                
      :25D: :IPRC//CAND                                                         
      :16R: REAS                                                                
      :24B: :CAND//NARR                                                         
      :70D: :REAS///LS/<T2S cancellation code>

The instructions marked for cancellation by CBF can only be cancelled by the customers. Other maintenance procedures, such as a status change, are not possible. If the settlement of a stock exchange trade shall be achieved after the end of the recycling period, the customer and its counterparty are kindly requested to set up corresponding OTC instructions with instruction type AA01 / AA02 (delivery and receipt). CBF recommends using a mutually agreed reference (“COMM ID”) in the new instructions. So, the risk of a possible cross matching is reduced. 

T2S settlement reporting

T2S defines for settlement purposes settlement instructions and settlement restrictions. There is no differentiation between OTC and Stock Exchange instructions. The T2S recycling period will be applicable for settlement instructions and settlement restrictions. 

Customers acting in DCP mode will receive the cancellation messages (sese.024) with code <Canc>, reason code “CANS” and error code „MMCS001 Matched Settlement Instructions pending and not revoked at the end of the recycling period are cancelled“, based on their settlement reporting subscription. 

As Stock Exchange instructions will remain in a pending cancellation mode in CBF, customers acting in DCP mode need to consider that cancellations for Stock Exchange instructions provided by T2S should not be executed in their system. Thus, a proper reconciliation of pending instructions between the CBF and T2S platform is enabled. Stock Exchange instructions created by CBF can be identified with the technical sender BIC “DAKVDEFFLIO”. CBF recommends creating a specific configuration at T2S. Hereby, the message flow for system wise cancellations can be suppressed. 

Next steps

Based on these modifications by T2S, CBF has already amended the General Terms and Conditions (GTCs). The new version has been sent to customers and published on the Clearstream website. They will become effective 14 October 2020.

Already today CBF is asking customers to check their processes regarding the automatic cancellation of matched instructions initiated by T2S.

Furthermore, customers should consider agreeing with their counterparties on a bilateral cancellation before 5 October 2020 or amending the settlement parameters of the instruction in due time.


In case of questions, please contact your Relationship Officer. Particular questions related to the introduction of the recycling period will be routed to the experts of the T2S Settlement Functionality team.


1. This Announcement is published by Clearstream Banking AG (CBF), registered office at Mergenthalerallee 61, 65760 Eschborn, Germany, registered with the Commercial Register of the District Court in Frankfurt am Main, Germany, under number HRB 7500.
2. Definition of T2S: The Recycling Period is considered as reached when D2 (current business day) – D1 (latest date between the ISD and the business day of the latest status change in the instruction) equals the number of business days defined by T2S.