10/5/06DTC Settlement Renewal1 DTC Settlement New Features

10/5/06DTC Settlement Renewal2 New Features Multicurrency Trade Linkage Bulk Pledge Partial deliveries ISO Real-time 24x6 Holiday Processing

10/5/06DTC Settlement Renewal3 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

10/5/06DTC Settlement Renewal4 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)

10/5/06DTC Settlement Renewal5 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

10/5/06DTC Settlement Renewal6 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

10/5/06DTC Settlement Renewal7 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

10/5/06DTC Settlement Renewal8 ISO 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

10/5/06DTC Settlement Renewal9 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

10/5/06DTC Settlement Renewal10 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