DTC%20Settlement

1
DTC Settlement

• New Features

2
New Features

• Multicurrency
• Trade Linkage
• Bulk Pledge
• Partial deliveries
• ISO 15022
• Real-time 24x6
• Holiday Processing

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
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)

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
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
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
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

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
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