DTC Settlement New Features 10506 DTC Settlement Renewal

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

New Features • • Multicurrency Trade Linkage Bulk Pledge Partial deliveries ISO 15022 Real-time 24 x 6 Holiday Processing 10/5/06 DTC Settlement Renewal 2

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 10/5/06 DTC Settlement Renewal 3

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) 10/5/06 DTC Settlement Renewal 4

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 10/5/06 DTC Settlement Renewal 5

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 10/5/06 DTC Settlement Renewal 6

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 10/5/06 DTC Settlement Renewal 7

ISO 15022 • All messages will be SWIFT-compliant • Connection must be proprietary MQ, (no Swift. Net) • Input: – DO & PO January 2007 – COL, MSEG, and all other settlement-related transactions by 4 Q 2007 – IMS commands currently available; RAD approvals & cancels to be added in 2 Q ‘ 07 • Output: – Output messages for Participant-submitted DOs and POs currently available – Receiver notifications for DOs and POs and by “topic” subscription 2 Q 2007 – All other output messages available by 4 Q 2007 10/5/06 DTC Settlement Renewal 8

Real-time 24 x 6 • 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 3 Q 2007 – DOs and POs can be submitted 24 x 6; either processed immediately or queued for future night cycle processing 10/5/06 DTC Settlement Renewal 9

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 10/5/06 DTC Settlement Renewal 10