Disclaimer The following presentation was prepared by the ALD by xml31992

VIEWS: 5 PAGES: 20

									Disclaimer:
The following presentation was prepared by the ALD Taskforce and presented to the
SEC. It does not represent the views of the SEC, and should not be treated as an official
document.
        Agency Lending Disclosure Initiative
        Status Update and Open Issues Proposals



           August 5, 2005
           Version 1.6




1 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
     Contents

            Progress update
                     Taskforce participation
                     Credit pre-qualification work stream
                     Daily files work stream
                     Testing
                     Summary of challenges
            Open issues and proposed resolutions
                     Open date
                     Reconciliation
                     Daily files
            Next steps
            Annexes
                     Open date issue
                     Daily loan data file layout
                     Daily non-cash collateral data file layout


2 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
      Progress Update
      Taskforce Participation

           Significantly increased level of involvement from firms in past 3 months
           Continued weekly working group meetings and bi-weekly all-Taskforce
           calls; average number of participants in an all-Taskforce call: 93

                                                                         April 2005   August 2005   Membership
                                                                                                    increased by
            Taskforce members                                              240           345        over 100 in 3
            Number of firms                                                 50            73           months
            Number of meetings since May                                    90           128
            2004
            Capital Group members*                                          88           139
            Credit Group members*                                           99           122
            Infrastructure Group members*                                   117          148
            Legal Group members*                                            78           115
            Testing Group members*                                          29           150
     *Working group numbers include duplicate participants

3 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
       Progress Update
       Credit Pre-qualification Work Stream



        Finalized incremental add/delete, borrower’s response and master
        (principal reconciliation) file layouts
                Added local legal ID fields for foreign entities
                Redefined the principals’ address fields - one of incorporation and one for principal
                place of business (needed for credit approvals and AML)
                Added fields resolved certain CIP/AML requirements for brokers

        PMO developed and is housing an industry-wide master repository of
        legal entity and DTCC IDs for use by Taskforce members in file
        transmission

        DTCC finalized ‘pseudo tax ID’ tool to be used to assign an ID for
        foreign/domestic principals with no valid IRS identification number

        Initiated firm and vendor testing of incremental add/delete files


4 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Progress Update
        Testing


           Began testing of incremental add/delete files, reached over 45%
           testing rate for Taskforce participants

           Taskforce and PMO assisted over 30 firms in resolving testing and
           connectivity issues
                   Continue to provide testing support during phased-in implementation
                   Respond to extensive individual attention required
                   PMO and Taskforce serve as conduit of contact information between
                   counterparties

           3 firms were in “live” mode for the transmission of the incremental file
           before the target date of August 1st

           High reliance on ALD web portal for:
                   Testing updates
                   File layout updates
                   DTCC and legal entity information
                   Meeting updates
5 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
       Progress Update
       Daily Files Work Stream


           Revised daily file record layout
                   Developed proposed non-cash collateral process (see proposal on slide 11)
                   Further defined loan detail record layout for marks-to-market, and contract
                   amount/value information

           Conducted three surveys with RMA members and one with
           Broker/Dealers to assist in the re-development of the daily files

           Conducted a “blind test” for the validity of the new daily files with
           capital and infrastructure experts
                   4 Broker/Dealers and 3 Agent Lenders participated in the review from both
                   business and technical perspectives
                   The 8 scenarios developed included all possible combinations of collateral that
                   may be used (e.g. only cash, cash and LOC, LOC and tri-party, securities and
                   LOC, etc.)

           Held extensive discussions with SIA Capital Committee and ALD
           Credit and Capital Working Group members to solidify proposed
           layouts


6 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
       Progress Update
       Summary of Challenges

       While great progress has been made, a number of challenges
       have also been identified:


          Contractual issues with vendors – both Broker/Dealers and Agent
          Lenders
          Vendors’ systems readiness
          Synchronization of processes between the two vendors and DTCC
          Firms’ internal systems readiness
          Firms’ concern with the amount of credit and AML work related to
          credit re-qualification of principal lenders
          Finalization of the daily file
          Developing a standard Annex I (Identification of Principals) to Master
          Securities Lending Agreement (MSLA)
          Continued education for firms coming late to the process



7 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Open Issues and Proposed Resolutions


           The following three issues were identified as requiring further
           clarification and regulators’ approval:

    1. ‘Open date’ field at the principal loan level of the daily file
    2. Daily reconciliation process
    3. Daily files for loans collateralized with non-cash collateral




8 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Open Issues and Proposed Resolutions:
        Issue 1 - ‘Open Date’ field in principal level section of daily file

           Issue: Taskforce members were concerned with what this date reflects - whether it
           is the original date the loan was opened or the date when the latest action, such as a
           return, mark or reallocation, took place. A detailed issue description previously
           provided is also attached in Annex I.


           Proposed Resolution: Upon re-examination, the Taskforce sees no benefit of
           having this field and proposes to take it out from the repeating (principal lender
           allocation) section, as it does not have an affect on the ability to properly calculate
           the capital charge. Pending regulators’ approval, the field has been removed from
           the repeating section of the daily loan file. An open date field still remains in the
           detailed (street-side) section of the daily loan file; this field reflects the settlement
           date of the loan for either cash or shares, whichever comes first. (For more details
           see the daily file layout in Annex II)




9 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Open Issues and Proposed Resolutions:
        Issue 2 - Daily Reconciliation Process

          Issue: Broker/Dealers seek confirmation that the proposed reconciliation
          process related to the Agency Lending Disclosure Initiative, as outlined
          below, meets current Broker/Dealer books and records requirements.

          Proposed Resolution: The ALD Taskforce, in consultation with the SIA
          Capital Committee, proposes the following reconciliation guidelines:

   1.     Each borrower and agent bank should continue existing practices with respect to comparing open
          contracts at the booked contract (i.e. street-side) level. Across the industry, securities borrowed/loaned
          transactions are compared/reconciled or validated through a number of practices, including:

                   Depository/depot reconciliations and exception reporting
                   Bank / cash reconciliations and exception reporting
                   Daily open position to sub ledger reconciliations
                   Open deal processing and management that would identify discrepancies, including the mark-to-
                   market process, rate changes, and returns
                   Securities lending billing processes (generating bills, comparing estimated receivables/payables
                   versus 'claimed' receivables/payables in total and potentially down to deal level depending on
                   situation).




10 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Open Issues and Proposed Resolutions:
        Issue 2 - Daily Reconciliation Process cont’d

           In addition, in certain markets, contract comparison is done periodically, generally daily, as an
           additional control and means by which specific elements of open borrow/loan contracts are
           compared (e.g., security identifier, quantity, amount of cash collateral posted, rebate/fee. etc.), to
           help facilitate the accurate accrual of payables and receivables and their timely settlement
           through the monthly billing process.

           Contract comparison is the general market practice in the US for loans of equities and corporate
           bonds, while it is not generally employed with respect to loans of US Treasury securities. A
           number of factors contribute to this difference in practice, including differences in billing practices
           between the two sets of securities (e.g. rebates on Treasury loans collateralized with cash are
           generally paid upon return on the securities, not on a monthly basis as with equities / corporate
           bond loans); and both historical and current differences in systems that are used to support these
           businesses (i.e., vendor systems for equities and corporate bond lending developed contract
           comparison functionality). It should also be noted that market practices in connection with
           borrows of Treasuries are consistent with those of the repurchase/reverse repurchase market.

    2. All such street side differences should be monitored and, when applicable, appropriate capital
         charges should be taken.

    3. Agent lenders are responsible for reconciling details by principal of each contract to the totals of
        each contract. To the extent that discrepancies exist, agent lenders should make the appropriate
        corrections and should take steps to notify borrowers of these corrections.

    4. Securities borrowed by a broker dealer are subject to the verification process prescribed in SEC
        Rule 17a-13.



11 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
       Open Issues and Proposed Resolutions:
       Issue 3 - Daily Files
           Issue: After further review of the daily loan file with respect to loans collateralized with non-cash
           collateral, it was revealed that the proposed pro-rata allocation of non-cash collateral to loans first, and
           then to principals, did not accurately reflect the true exposure. This results from restrictions placed by
           principals on the types of non-cash collateral they will accept and individual differences among Agent
           Lenders in handling non-cash collateral. Therefore, it was apparent that the Taskforce needed to revise
           the loan file and develop a standard for Agents to report the non-cash collateral allocation.

           Proposed Resolution: The Taskforce concluded that the originally proposed daily loan data file was not
           adequate to accommodate non-cash collateral. Therefore, a separate file has been created specifically
           for non-cash collateral, which will be used by Agent Lenders to report the allocations of specific non-cash
           collateral to each principal. This file would be sent daily in addition to the loan detail file. This approach
           will permit Broker/Dealers to perform robust credit exposure calculations and Basle style regulatory
           capital charges at a principal level.

           The file structure and data elements were developed after extensive surveys with Agent Lenders and
           Broker/Dealers. Furthermore, creating a separate file for non-cash collateral necessitated changes in the
           loan data file, which would no longer contain information on non-cash collateral (only an indication if the
           loan is collateralized with non-cash).

           The proposed files have been tested through a blind test with Broker/Dealers. The files were populated
           with test data from three Agent Lenders and distributed to Broker/Dealers to interpret. The exercise was
           meant to test the adequacy of the files both from a regulatory capital perspective as well as from a
           technical perspective. The blind test led to further refinement of the data elements.

           For detailed descriptions of the file elements of both files see Annexes II and III.

           A survey of RMA members revealed that transmission of these files from Agent Lenders to
           Broker/Dealers will take place by 3:00 am daily.
12 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Next Steps

           Receive feedback from regulators on proposed solutions to open
           issues
           Continue to support testing for credit pre-qualification
           Complete re-qualification period
                    Need to assess October 31, 2005 target completion date based on SEC
                    feedback to SIA AML Committee regarding AML requirements
           Finalize specifications for daily files
           Understand the impact of recent changes to the daily files and the
           timing of their delivery on vendors’ and firms’ systems development
           efforts
                    Undertaking bottoms-up project schedule review to determine final
                    completion date
           Initiate testing for daily files
           Continue educating participants

13 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
        Annexes

    I. Open date full issue description
    II. Daily loan file
    III. Daily non-cash file




14 - 08/05/2005 Agency Lending Disclosure Taskforce. Regulators’ Update
                                             Annex I
Agency Lender Loan Positions
Issue of Open Date at Principal Lender Loan Level

An issue has arisen regarding the carrying of the start date at the principal lender level on each
loan. In order to understand the issue it is important to first understand how Agency Lenders
typically maintain loan level data for its clients. In many cases the agency lenders carry the
clients’ positions and the loans at a fund level. A fund level can mean different things to different
lenders but in general it is at the Investment Manager level within a client’s legal entity.
Therefore, for each legal entity an agency lender will have loans and loan positions for at least
one fund but in many cases numerous funds. The thought was that when presenting the loan data
to the Borrowers for the Agency Lender Disclosure Project that the agency lenders would be able
to consolidate the fund levels up to the legal entity level thus dramatically reducing the number of
records that would need to be sent to the Borrowers.

While reviewing the current file layouts, an issue arose related to the approach described above.
It was noticed that in the repeating section of the daily detail loan record there was a field called
“Open Date”. It was assumed that this date represented the start date of the entire loan but there
were some who felt that this was the start date for this specific legal entity to have begun
participating in the loan. The issue that arises is that from an agency lender’s perspective they are
continually reallocating funds in and out of loans based on sell activity. In some instances the
same fund can get allocated into a loan everyday for subsequent days. This could be the case for
one fund and would be compounded if this particular legal entity has multiple funds that could be
reallocated into the same loan. If it is determined that the agency lenders need to present the data
based on the start date of a legal entity, meaning the same legal entity on a given loan being
presented multiple times, it could require more extensive work on the part of some of the agency
lenders as well as reviewing the existing sizing requirements.

The following examples reflect the issues that could arise with trying to track the Start Dates:

Loan opened on 12/21 for 100,000 shares as follows:

        Fund             Legal Entity     Start Date       Quantity
        1234             AAAA             12/21/04                 25,000
        4567             AAAA             12/21/04                 30,000
        6789             BBBB             12/21/04                 30,000
        7890             CCCC             12/21/04                 15,000

This loan would be sent to the Borrowers as follows:

        Legal Entity     Start Date       Quantity
        AAAA             12/21/04                 55,000
        BBBB             12/21/04                 30,000
        CCCC             12/21/04                 15,000

On Day 2 of the loan a piece of the loan is allocated out of Fund 6789 and into Fund 1234
resulting in the following:

        Fund             Legal Entity     Start Date       Quantity
        1234             AAAA             12/21/04                 25,000
        4567              AAAA             12/21/04                  30,000
        6789              BBBB             12/21/04                  20,000
        7890              CCCC             12/21/04                  15,000
        1234              AAAA             12/22/04                  10,000

Based on the approach proposed in the document the loan would be sent to the Borrowers as
follows:

        Legal Entity      Start Date       Quantity
        AAAA              12/21/04                 65,000
        BBBB              12/21/04                 20,000
        CCCC              12/21/04                 15,000

If it is required to show a different start date that a fund or part of a fund began participating in a
loan the following would represent how the loan would be sent to the Borrowers:

        Legal Entity      Start Date       Quantity
        AAAA              12/21/04                 55,000
        BBBB              12/21/04                 20,000
        CCCC              12/21/04                 15,000
        AAAA              12/22/04                 10,000

Another issue that would need to be addressed is if a legal entity gets reallocated out of loan but
then gets reallocated back into that loan at a later date. It would need to be determined what the
start date of that legal entity would be. It could either be the original date or the current date.

When a new legal entity get reallocated into a loan the start date for that legal entity would be the
actual start date of the reallocation not the start date of the entire loan as follows:

        Day 1 (12/21/04)
        Legal Entity   Start Date          Quantity
        AAAA           12/21/04                    20,000
        BBBB           12/21/04                    30,000

        Day 2 (12/22/04)
        AAAA           12/21/04                     10,000
        BBBB           12/21/04                     30,000
        CCCC           12/22/04                     10,000

As can be seen on the above example on Day 1 there were two Legal Entity’s that had
participated in the loan but on Day 2 a partial reallocation was done for Legal Entity AAAA to
Legal Entity CCCC.

In reviewing the file layout it is felt by the Infrastructure Group that by taking a snapshot of a
transaction from the previous day and comparing it to the current date that it would be apparent if
shares were added or returned for a specific legal entity. Based on the fact that the Borrowers
would be able to recreate the movements in and out for a specific legal entity on a given loan it is
recommended that the Agency Lenders present the data at the Principal lenders legal entity level
with the start date being the same start date of the entire loan.
                                                                             Annex II
                                                                      Daily Loan Data File
                                                                              as of 8/4/05
         Header Record
                                                     Data          Data
           Field Name         Required Data Type                                   Field Definition                                         Description
                                                    Format        Length
                                                               See DTCC Header in Smart Track User Guide


     Street Side Record
                                                     Data          Data
           Field Name         Required Data Type                                  Field Definitions                                         Description
                                                    Format        Length
                                                                                                              The file contains two record types, ‘1’ and ‘2’. Here ‘1’ indicates the
                                                                                                              ‘detail’ section of the file (street side loan record). Type ‘2’ (see
Record Type                      M      Number        9(1)           1                       1                below) indicates the principal lender underlying allocation record.
                                                                                                              Type ‘2’ is imbedded in type ‘1’. Each Type ‘1’ has to be followed
                                                                                                              by a type ‘2’.
                                                                                                              A unique identifier used by lenders to identify the street side loan.
Trade ID                         M       String      A(20)          20       Trade Identification Number      Each repeating record for a loan will have to be associated with the
                                                                                                              same trade ID as the one in the detail section

                                                                                                              The date refers to the settlement date of the loan, it can be either
Open Date                        M      Number        9(8)           8               YYYYMMDD
                                                                                                              the cash or shares settlement date, whichever comes first
                                                                                                              DTCC participant ID or DTCC non-participant ID for the sending
Sending Firm ID                  M       String       A(8)           8           DTCC Participant ID
                                                                                                              firm (agent lender).

                                                                                                              DTCC participant ID for broker dealer; when broker has more than
                                                                                                              one participant ID, the one matching the type of security borrowed
                                                                                                              should be used (e.g. fixed income, equity, etc). If no secondary
Receiving Firm ID                O       String       A(8)           8           DTCC Participant ID          DTCC ID is available for borrower, could use FEDW or INTL here
                                                                                                              to indicate the type of security borrowed. This field will not be used
                                                                                                              for file transmission purposes; the borrower’s DTCC ID for that
                                                                                                              purpose goes in the header record.
                                                                                                              Indicates the type of collateral for which the loan is against: only
                                                                                                              cash 'C', mixed 'M', only with non-cash 'N', or cash pool 'P'. A type
                                                                                                              ‘N’ ‘M’ or ‘P’ will indicate to the receiver that there is an additional
                                                                                                              non-cash collateral detail file that should be received as well. A
                                                                               C=Cash, N=Non-Cash,
Collateral Type                  M       String       A(1)           1                                        type ‘C’ indicates that the loan was entirely collateralized with cash,
                                                                               M=Mixed, P=Cash Pool
                                                                                                              and all the collateral information is included in the loan detail file.
                                                                                                              A type 'M' signifies a cash loan, which also has at least one non-
                                                                                                              cash portion. 'M' will NOT be used to indicate a mix of several non-
                                                                                                              cash types.
                                                                                                              Asset identification number for borrowed security, e.g. CUSIP,
Asset ID                         M       Sting       A(12)          12       Asset identification number
                                                                                                              ISIN, Sedol, etc.
                                                                           C - CUSIP, I - ISIN, Q - QUICK, This would denote the ID that is being utilized i.e. CUSIP/CINS,
Asset Identifier Code            M       String       A(1)           1
                                                                                    S - SEDOL              ISIN, Quick, SEDOL
                                                                            Value; 18 integers, 5 decimals, Identifies the quantity of shares borrowed. Actual shares for
Shares                           M      Number     9(18)V9(5)       23
                                                                                implied decimal point       equities or original face for bonds.
                                                                                                           Mandatory field. Value of entire contract, represents the cash
                                                                            Value; 17 integers 2 decimals, collateral received by lender for loaned securities. If collateral type
Cash Contract Amount             M      Number     9(17)V9(2)       19
                                                                                implied decimal point      field is 'N' or 'P' then = 0; if collateral type is equal to 'M' or 'C', then
                                                                                                           it should be greater than 0.
                                                                                     ISO Code                 Denotes Currency of Cash Collateral. Three digit ISO code to be
Currency Code                    M       String       A(3)           3
                                                                                   See Appendix A             used for this field provided in Appendix A to the file.

                                                                            Value; 17 integers 2 decimals, Represents the market value of securities on loan as calculated by
Market Value                     O      Number     9(17)V9(2)       19
                                                                                implied decimal point      the lender.
                                                                                                              The date for which the market value data applies (e.g., if the price
                                                                                                              used to calculate market value is the closing price from July 8,
Market Value Date               M/O     Number        9(8)           8               YYYYMMDD
                                                                                                              2005, the field would display that date). The date field will be
                                                                                                              mandatory if the ‘Market Value’ field is populated.
                                                                                                              Status of securities (settled or pending). Pending indicates that
Securities Status                M       String       A(1)           1         S = Settled, P = Pending
                                                                                                              securities were not sent by Lender.
                                                                                                              Status of collateral (settled or pending). Pending -- collateral not
Collateral Status                M       String       A(1)           1         S = Settled, P = Pending
                                                                                                              received by Lender.
                                                                            Value; 3 integers, 5 decimals,
Rebate/Premium Rate              O      Number     S9(3)V9(5)        8       implied decimal point, field  Rebate or Premium Rate for the loan for the reporting date
                                                                                  should be signed
                                                                            Value; 3 integers, 5 decimals,
Net dividend to Lender Rate      O      Number     9(3)V9(5)         8                                     Net dividend rate due the lender
                                                                                implied decimal point.
                                                                                                              Indicates the number of repeating records included with the trade
Repeating Records                M      Number        9(3)           3             value; 3 integers
                                                                                                              (# of principals among which the loan is distributed).




           8/5/2005                                                          Detail, Repeatng                                                                            1 of 2
                                                                                                                   The principal lender allocation record of each daily loan data file
                                                                                                                   represents the details for all underlying principals among which the
Principal Lender Allocation Record
                                                                                                                   loan is distributed. Each detail section will be followed by a
                                                                                                                   repeating section.
                                                         Data          Data
         Field Name            Required Data Type                                      Field Definitions                                         Description
                                                        Format        Length
                                                                                                                 This field should always have a record type ‘2’ to indicate that it is
Record Type                        M       Number         9(1)           1                      2
                                                                                                                 a Principal Lender Underlying Allocation Record.
                                                                                                                 Unique ID that the Sending Firm uses to identify the Loan; Note:
Loan Trade ID                      M         String      A(20)           20       Trade Identification Number This Loan Trade ID must be the same as the street side Trade ID
                                                                                                                 in the corresponding Record Type 1 Record.
                                                                                                                 This field is required if the Allocation Trade ID is not the same as
Allocation Trade ID               O/M        String      A(20)           20     Allocation Identification Number the Loan Trade ID. In some instances lenders may have a different
                                                                                                                 allocation ID from the Loan Trade Id.
                                                                                                             Unique identifier for the principal lender. Could be an IRS issued
Principal Lender ID                M         String       A(9)           9       Tax ID or DTCC generated ID tax ID or a DTCC issued pseudo tax ID (for foreign principals or
                                                                                                             certain domestic funds, which do not have a valid IRS ID).
                                                                                 Value; 18 integers, 5 decimals, Identifies the quantity of shares borrowed. Actual shares for
Shares                             M        Number     9(18)V9(5)        23
                                                                                     implied decimal point       equities or original face for bonds.
                                                                                                                Indicates the portion of cash collateral associated with each
                                                                                 Value; 17 integers 2 decimals, principal. The method of allocation will be determined by each
Cash Collateral Amount             M        Number     9(17)V9(2)        19
                                                                                     implied decimal point      lender. If collateral type field is 'N' or 'P' then = 0; if collateral type
                                                                                                                is equal to 'M' or 'C', then it should greater than 0.
                                                                                                                   Denotes the types of activity(ies) that have taken place on the loan
                                                                                                                   for the reporting date. There are three types of activity;
                                                                                  A = Reallocation (1st byte),
                                                                                                                   Reallocation (A), Mark (M), or Return (R). One, two, or all three
Activity Types                     O         String       A(3)           3           M = Mark (2nd byte),
                                                                                                                   could happen simultaneously. The assumption for return is that it
                                                                                     R = Return (3rd byte)
                                                                                                                   can be treated the same way as a mark when determining next day
                                                                                                                   cures.
                                                                                                                 Represents the value of marks that were actually sent to the
                                                                                                                 borrower and not simply the amount that the lender’s system
                                                                                                                 calculates as the mark. The vast majority of the time these will be
                                                                                 Value; 17 integers, 2 decimals,
                                                                                                                 the same, but there are times when marks are disputed and the
Mark to Markets                    M        Number     9(17)V9(2)        19        implied decimal point; field
                                                                                                                 final mark is different than the amount originally calculated, thus
                                                                                        should be signed
                                                                                                                 the actual one sent to the borrower will be represented. Value is
                                                                                                                 always shown from Lender's perspective. Positive value indicates
                                                                                                                 money sent from Borrower to Lender.

Filler                             M         String      A(56)           56                  spaces                Filler to pad record type two out to same length as record type one
            Trailer
                                                         Data          Data
         Field Name            Required Data Type                                       Field Definition                                         Description
                                                        Format        Length

                                                                    See DTCC Trailer in Smart Track User Guide


General Notes:
1. Repeating Record Type 2 sections must immediately follow the corresponding Record Type 1 that they are associated with
2. Alpha fields should be left justified; Numeric fields should be right justified and zero padded
3. All optional numeric fields should have a '0' fill.




          8/5/2005                                                                Detail, Repeatng                                                                            2 of 2
                                                                          Annex III
                                                                Daily Non-cash Collateral File
                                                                                as of 8/4/05
               Header Record
                                                                 Data
                Field Name         Required     Data Type                  Data Length         Field Definition                           Description
                                                                Format
                                                           See DTCC Header in next tab or Smart Track user guide


                   Detail
                                                                 Data
                Field Name         Required     Data Type                  Data Length         Field Definition                           Description
                                                                Format
                                                                                         NCOL = Non-cash          Indicates the record type for this file, NCOL =
      Record Type                      M          String         A(4)           4
                                                                                         collateral detail recordsNon Cash Collateral
                                                                                                                  Unique identifier for the principal lender. Could
                                                                                                                  be an IRS issued tax ID or a DTCC issued
                                                                                         Tax ID or DTCC generated
      Principal Lender ID              M          String         A(9)           9                                 pseudo tax ID (for foreign principals or certain
                                                                                                     ID
                                                                                                                  domestic funds, which do not have a valid IRS
                                                                                                                  ID).
                                                                                                                      Indicates the collateral type in this record. Only
      Collateral Type                  M          String         A(1)           1                  S, L, T, P         one option can be used: S = Security, L = Letter
                                                                                                                      of Credit, T = Tri-Party, or P = Cash Pool.
                                                 For Securities Collateral Pledged the following fields are Mandatory
                                                                                                                Security Identifier; Mandatory if Collateral Type =
      Security ID                     M/O         String       A(12)         12           Security Identifier
                                                                                                                S
                                                                                                                I = Isin, S = SEDOL, C = CUSIP/CINS,
      Security ID Type                M/O         String       A(1)           1              I, S, C, Q, V      Q = Quik, V = Valoren. Mandatory if Collateral
                                                                                                                Type = S
                                                                                            Value; 18 integers 5    Number of shares or nominal amount of bonds
      Security Quantity               M/O        Number       9(18)V9(5)       23         decimals, implied decimal pledged as collateral allocated to the Principal
                                                                                                     point          Lender. Mandatory if Collateral Type = S

                                                    For Issued Letter of Credits the following fields are applicable
       (For capital charge calculations, if 90% or more of the loan is collateralized by LOC, then the firm should take 90% of the market value of the securities and
                                                                      take the 1% charge on that value).
                                                                                            Value; 17 integers 2      Value of LOC collateral received for the loaned
      LOC Amount                      M/O        Number       9(17)V9(2)       19         decimals, implied decimal   securities allocated to the Principal Lender.
                                                                                                     point            Mandatory if Collateral Type = L
                                                                                                 ISO Code             Three Digit ISO Code. Mandatory if Collateral
      LOC Currency                    M/O         String         A(3)           3
                                                                                              See Appendix A          Type = L
                                                                                                                      Bank Unique Identifier. Mandatory if Collateral
      LOC Bank ID - BIC               M/O         String         A(20)         20         Bank Identification Code
                                                                                                                      Type = L and LOC Bank ID - DTCC field is blank
                                                                                                                      Mandatory if Collateral Type = L and LOC Bank
      LOC Bank ID - DTCC              M/O         String         A(8)           8              DTCC Identifier
                                                                                                                      ID - BIC field is blank
      LOC Reference Number             O          String         A(16)         16                Reference #          Issuing Bank Letter of Credit Reference number.

                                                       For Tri Party Collateral the following fields are applicable
                                              (Tri-party collateral does not affect the regulatory capital charge calculations).
                                                                                            3 digit percentage, 6   Percentage of the Collateral allocated to the
      Tri-Party Principal %           M\O        Number        9(3)V9(6)        9         decimals, implied decimal Principal Lender. Mandatory if Collateral Type =
                                                                                                     point          T and Tri-Party Amount field is blank

                                                                                            Value; 17 integers 2    Value of Tri-Party collateral received allocated
      Tri-Party Amount                M/O        Number       9(17)V9(2)       19         decimals, implied decimal to the Principal Lender. Mandatory if Collateral
                                                                                                     point          Type = T and Tri-Party Principal % field is blank

                                                                                                                      Three Digit ISO Code. Mandatory if Collateral
                                                                                                 ISO Code
      Tri-Party Currency              M/O         String         A(3)           3                                     Type = T Tri-Party Amount is filled in.
                                                                                               See Appendix A
                                                                                                                      Currency used is agreed on by the 3 parties.
                                                                                                                 Bank Unique Identifier. Mandatory if Collateral
      Tri-Party Bank ID - BIC         M/O         String         A(20)         20                                Type = T and Tri-Party Bank ID - DTCC field is
                                                                                          Bank Identification Code
                                                                                                                 blank.
                                                                                                                 Mandatory if Collateral Type = T and Tri-Party
      Tri-Party Bank ID - DTCC        M/O         String       A(8)          8              DTCC Identifier
                                                                                                                 Bank ID - BIC field is blank
                                                                                                                 Account or sub account reference number
      Tri-Party Account Number        M\O         String      A(32)         32           Account/Reference #     where collateral is located. Mandatory if
                                                                                                                 Collateral Type = T
                                                      For Cash Pool Collateral the following fields are Mandatory
                                                                                         Value; 17 integers 2    Value of cash pool received for the loaned
      Cash Pool Amount                M/O        Number 9(17)V9(2)          19         decimals, implied decimal securities allocated to the Principal Lender.
                                                                                                  point          Mandatory if Collateral Type = P
                                                                                              ISO Code           Three Digit ISO Code. Mandatory if Collateral
      Cash Pool Currency              M/O         String       A(3)          3
                                                                                           See Appendix A        Type = P

      Filler                           M          String         A(55)         55                   spaces            Filler for future use

                  Trailer
                                                                 Data
                Field Name         Required     Data Type                  Data Length         Field Definition                           Description
                                                                Format

                                                           See DTCC Trailer in next tab or Smart Track user guide


8/5/2005                                                                                                                                                                   1 of 1

								
To top