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DTC Settlement

10/5/06. DTC Settlement Renewal. 2. New Features. MulticurrencyTrade LinkageBulk PledgePartial deliveriesISO 15022Real-time 24x6Holiday Processing. 10/5/06. DTC Settlement Renewal. 3. Multicurrency. Real Time GrossNew RTGS money account credited for deliveries, debited for receivesReceives pend if RTGS insufficientMonies stay in account until requested, or end of dayMonies can be moved to EODN to alleviate collateral problemsPossible pre-funding RTGS account via RTGS valued pledge.

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DTC Settlement

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    1. 10/5/06 DTC Settlement Renewal 1 DTC Settlement New Features

    2. 10/5/06 DTC Settlement Renewal 2 New Features Multicurrency Trade Linkage Bulk Pledge Partial deliveries ISO 15022 Real-time 24x6 Holiday Processing

    3. 10/5/06 DTC Settlement Renewal 3 Multicurrency Real Time Gross New RTGS money account credited for deliveries, debited for receives Receives pend if RTGS insufficient Monies stay in account until requested, or end of day Monies can be moved to EODN to alleviate collateral problems Possible pre-funding RTGS account via RTGS valued pledge

    4. 10/5/06 DTC Settlement Renewal 4 Multicurrency End of Day Net Settlement Multiple “cycles” corresponding to settlement locations; e.g: Euros in Frankfurt vs. Paris Each location supported by own collateral Collateral released after each settlement cycle Excess collateral supporting one location can be automatically moved to support collateral shortfall in another location Debit caps: Individual participant-set debit caps per location DTC-defined cap per currency (our liquidity in that currency) Combined cap across all locations (1.8 billion max) Issuers can reserve a piece of MMI debit cap to enhance “targeted MP” process (Maturities pending for debit cap can be targeted for retry when issuances for the same Issuer enter the system. Currently, this process is hampered by paper issued at a discount - 49.5 million dollars of Issuance will not a pending maturity for 50 million - this account would be used to suppliment the 49.5 million dollar issuance, thereby improving the targetting process.)Issuers can reserve a piece of MMI debit cap to enhance “targeted MP” process (Maturities pending for debit cap can be targeted for retry when issuances for the same Issuer enter the system. Currently, this process is hampered by paper issued at a discount - 49.5 million dollars of Issuance will not a pending maturity for 50 million - this account would be used to suppliment the 49.5 million dollar issuance, thereby improving the targetting process.)

    5. 10/5/06 DTC Settlement Renewal 5 Trade Linkage Make these deliveries from these receives Profile or instruction based Uses sub-accounting to “corral” receives Unused sub-account position released to free after designated event/cut-off

    6. 10/5/06 DTC Settlement Renewal 6 Bulk Pledge Bilateral collateral selection profile Both sides approve collateral Either side can request substitution Automatic substitution for pending deliveries EOD valuation drives release of excess or request for additional collateral based on bilateral settings Free or valued

    7. 10/5/06 DTC Settlement Renewal 7 Partial Deliveries Receiver and Deliverer must agree Profile or instruction based Minimum receive amount Prevent odd lots Money prorated, no breakage Partial receives non-reclaimable

    8. 10/5/06 DTC Settlement Renewal 8 ISO 15022 All messages will be SWIFT-compliant Connection must be proprietary MQ, (no SwiftNet) Input: DO & PO January 2007 COL, MSEG, SEG, and all other settlement-related transactions by 4Q 2007 IMS commands currently available; RAD approvals & cancels to be added in 2Q ‘07 Output: Output messages for Participant-submitted DOs and POs currently available Receiver notifications for DOs and POs and by “topic” subscription 2Q 2007 All other output messages available by 4Q 2007 AUTHORIZATIONS, EXEMPTIONS, COLOR RELEASE, PROMOTIONS, PEND HOLDS, PEND CANCELS, PAUSE Output messages currently Include CNS output and IPO activityAUTHORIZATIONS, EXEMPTIONS, COLOR RELEASE, PROMOTIONS, PEND HOLDS, PEND CANCELS, PAUSE Output messages currently Include CNS output and IPO activity

    9. 10/5/06 DTC Settlement Renewal 9 Real-time 24x6 Currently Night cycle output available at 1 a.m. Real-time input available ~ 3 a.m. In November 2006 Night cycle output available ~ 9 p.m (PTS/PBS; MRO is ISO only) In 3Q 2007 DOs and POs can be submitted 24x6; either processed immediately or queued for future night cycle processing

    10. 10/5/06 DTC Settlement Renewal 10 Holiday Processing Current: Night cycle (CNS, ACATS, NDOs, ID & CNS Loans) processed on evening prior to holiday Proposed: Holiday is a business day Abbreviated night cycle on evening prior to holiday Full night cycle on evening of holiday for next regular business day

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