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					        DTCC
         PROCESSING
Unscheduled Close Processing
Table of Contents

  Introduction ................................................................................................. .1


  Unscheduled Closings ................................................................................. .2


      Overview ................................................................................................... .2


      Equities Unscheduled Close ...................................................................... 4


      Fixed Income Unscheduled Close ............................................................. 7




                                                          i
Introduction
DTCC has prepared the following plan to address processing due to an unscheduled closing of the ex-
changes/markets as well as a broader closing affecting settling banks and the Fedwire money transfer
system of the Federal Reserve Bank of New York (FRBNY). In either of these cases, DTCC’s plans will
be consistent for NSCC, FICC and DTC processing.

In the case of an unscheduled closing, as experienced during a national day of mourning (such as for the
death of a former President), NSCC, FICC and DTC will continue to process data for clearance and settle-
ment purposes. This includes accepting transactions from any open exchanges, markets or participants
and the aging and staging of prior transactions for next steps in the settlement cycle. If the unscheduled
closing is limited to exchanges and over-the-counter markets, DTCC will also conduct normal settlement
processing. If an unscheduled closing also affects settling banks and the Fedwire money transfer system,
DTCC will continue certain automated processes, but securities and money scheduled to settle that day
would be rescheduled for the next business day.

During an unscheduled closing, it is DTCC’s intent to minimize disruption to the industry and continue a
“business as usual” processing routine and will seek to conform as closely as practical to normal opera-
tions. Although numerous scenarios can be envisioned, DTCC will adhere to a plan that has minimal
variations and is readily adaptable by the industry.

DTCC is publishing this plan to advise Participants of the approaches it will follow to handle unscheduled
closures and to encourage Participants to assess the impact of these approaches on their own operations.
Participants should examine their internal processing and dependencies and, where necessary, incorporate
procedures that support these approaches.

Questions or comments regarding the topics in this paper may be directed to your Relationship Manager.




                                                    1
Unscheduled Closings
Overview
DTCC will follow the plan described in this paper to support unscheduled closings of the exchanges and
markets and/or the settling banks and Fedwire. DTCC has managed unscheduled closes, including the
terrorist attacks on September 11 and the days for mourning declared on the deaths of former Presidents
Ronald Reagan and Gerald Ford. In these cases, the equities markets closed for trading and correction
processing, yet Money Market Instruments were issued and settled, and Fixed Income products were
traded and settled because the markets and Fedwire remained open and settlement of trades continued on
a daily basis.

In the course of normal business, NSCC, FICC and DTC and participants/marketplaces experience unique
processing scenarios each year. There are two occasions of when the equity markets are open and the
banks and Fedwire are closed, and another occasion when the banks and Fedwire are open and the mar-
kets are all closed. In the case of an unscheduled close, however, the assumption is that there would not
be enough lead-time to designate the “closed” date uniquely, and, therefore, industry processing could be
disrupted if processing schedules were altered at the last minute.

In the event of an unscheduled close of markets or of both markets and Fedwire, NSCC, FICC and DTC
will remain open for certain types of processing. DTCC will process as close to normal as is practical to
minimize impact to the industry and provide consistency and predictability.

Participant Input
Participants and/or marketplaces will not be required to submit empty files to NSCC, FICC and DTC if
some or all exchanges/markets are closed. Since DTCC is running their systems in “business as usual”
mode, firms may continue to submit prior-day corrections and “as of” transactions as part of their Trade
Capture and Reporting processes. DTCC will be prepared to accept input in services that are not market-
related (e.g., insurance services). All input should be submitted within normally scheduled timeframes.

Participant Output
Since firms use the output distributed by DTCC to trigger their internal processes, DTCC will create and
distribute all output as scheduled. This allows firms to roll and age existing data “in synch” with DTCC.
Files related to Trade Reporting may be empty due to the market closings. Since DTCC is processing
data already in the settlement cycle, files containing prior-day activity will contain data reflecting updated
status.




                                                      2
Processing Recap
In the event of an unscheduled close, DTCC will:

• Distribute all intra-day and end-of-day output as scheduled regardless of input.

• Roll each day for aging and settlement purposes.

• Allocate and settle on any day on which exchanges/markets observe an unscheduled close if banks
  and Fedwire are open. DTC will not allocate any positions or process any deliveries if the banks and
  Fedwire are closed. FICC will not settle any obligations through its clearing banks via Fedwire.

• Calculate all settlement obligations and then suspense settlement if the banks are closed. DTC will
  roll these obligations into the next settlement day. FICC’s failed obligations will be rolled into the next
  day’s netting and settlement cycle.

Communication
The DTCC web site, www.dtcc.com, will contain information relating to DTCC processing if markets/
exchanges and settling banks/Fedwire are subject to an unscheduled close. Questions may also be directed
to the DTCC Customer Support Center at (888) 382-2721. DTCC Relationship Managers will be avail-
able to address any processing issues.

Unscheduled Close Processing by Function
The following charts describe by function how DTCC will operate if it were informed on Monday that the
markets and/or Fedwire will be closed on Wednesday. The charts describe how DTCC would operate on
the unscheduled closed day, in this case Wednesday, for both that day’s activity and for prior activity as it
rolls through the clearance and settlement cycles. The chart is categorized into high-level functions.

The first chart covers equities, money market instruments, insurance, customer account transfer (ACATS)
and mutual fund processing. The second chart covers processing of fixed income securities.




                                                      3
                                    Equities Unscheduled Close
Function                 Markets closed                                    Markets closed
                         Banks/Fedwire open                                Banks/Fedwire closed

Equity Trade Capture &   Trade input will be accepted from any market      Processing does not change.
Reporting                or exchange that remains open.

                         Any OTC Comparison, Correspondent Clear-
                         ing or Prime Broker ID (Omgeo) input for
                         trades of Wednesday and for corrections of
                         Tuesday and older will be accepted.

                         All reports and files will be created and dis-
                         tributed as scheduled, including multi-cycle
                         output, even if the files are empty.



Equity Trade             Aging and adjustment processing will be           Processing does not change.
Processing               applied to all new trade data and trade data
                         being processed from prior days. When
                         Issued and New Issue trades are extracted
                         for applicable settlement dates (including
                         Wednesday settlement).

Trade Netting            Consistent with normal processing, trades of      Processing does not change.
(Consolidated Trade      Tuesday will be netted and reported as posi-
Summary)                 tions on the Consolidated Trade Summary on
                         Wednesday. Balance Orders are issued for
                         non-CNS eligible securities on Wednesday.
                         This same processing applies to any “as
                         of” trades of Monday and older received on
                         Tuesday for Wednesday’s settlement.

CNS Processing           Consistent with normal processing, the CNS        CNS will run as described up to the
                         night cycle for Wednesday’s settlement will       point of interfacing with the alloca-
                         run on Tuesday evening. The CNS day cycle         tion processes at DTC. No positions
                         will run as normal, and all exemptions and        will be allocated in CNS on Wednes-
                         priorities will be applied. In the absence of     day. CNS positions carried over from
                         input, standing instructions will be applied as   Tuesday’s settlement will be updated
                         the normal default. All output will be distrib-   with positions resulting from netted
                         uted as scheduled                                 trades of Wednesday for settlement
                                                                           on Thursday.
                         Exceptions:
                                                                           Updated CNS fails will be marked to
                         • Buy-in executions will be pended until          the prior night’s prices and all corpo-
                           the markets reopen and open buy-ins for         rate actions will be applied.
                           execution must be reinitiated.

                         • All corporate actions will be applied.

                         • Updated CNS positions will be marked to
                           the market using the prior night’s closing
                           prices.




                                                        4
                                   Equities Unscheduled Close
Function                Markets closed                                   Markets closed
                        Banks/Fedwire open                               Banks/Fedwire closed

Settlement              All application processing will be included in   Since monies cannot be paid or col-
                        settlement calculations and current pay/col-     lected, DTC will process settlement
                        lect procedures will be exercised.               up to the point of calculating each
                                                                         participant’s settlement obligation
                                                                         for the settlement feeds, e.g., mu-
                                                                         tual fund debits and credits. Mon-
                                                                         ies will then be put in suspense and
                                                                         rolled into the next day’s settlement
                                                                         obligation.

Institutional           Consistent with normal processing, DTC will      Affirmed ID transactions will be ac-
Deliveries (ID)         accept trades from Tradesuite/ Omgeo and         cepted from Omgeo on Wednesday.
                        IMS.                                             Authorizations and exemptions will
                                                                         be accepted from participants for the
                        All output will be distributed as scheduled.     next business day.

Deliver Order (DO)      DO processing will be unchanged.                 No DOs will be processed by DTC.
Processing
                        All output will be distributed as scheduled.     DOs previously entered with today’s
                                                                         settlement date will be processed
                                                                         the following business day.

Corporate Actions       Dividend and reorganization allocation pro-      No corporate actions will be pro-
                        cessing will be unchanged.                       cessed by DTC.
                        All output will be distributed as scheduled.

Physical Deliveries     All Envelope Services are closed. New York       DTCC will not accept envelope deliv-
(Envelope Processing)   Window (NYW) is open.                            eries and charges. NYW is closed.

Customer Account        The ACATS system will run as normal includ-      Feeds to CNS and settlement will
Transfer Processing     ing the aging of prior activity and the inter-   occur as normal and will be held for
                        faces with CNS, Fund/SERV and settlement.        the next business day. This day will
                                                                         not count towards the aging of prior
                        All output will be distributed as scheduled.     activity bill to confirm.

Money Market            The MMI system will run as normal.               No MMI transactions will be pro-
Instruments (MMI)                                                        cessed by DTC.
                        All output will be distributed as scheduled.
                                                                         MMI maturities for Wednesday will
                                                                         be processed on Thursday.

Mutual Funds            Networking, Profile and Fund/SERV will run       Overall settlement figures will be
Processing              as normal even if there are no new orders        rolled into the next business day’s
                        for Wednesday. This includes the confirma-       settlement obligation.
                        tion and aging of prior transactions and the
                        interfaces with ACATS and settlement.

                        All output will be distributed as scheduled.




                                                       5
                                    Equities Unscheduled Close
Function                 Markets closed                                   Markets closed
                         Banks/Fedwire open                               Banks/Fedwire closed

Alternative Investment   AIP will run as normal even if there are no      Overall settlement figures will be
Products                 new orders for Wednesday. This includes          rolled into the next business day’s
(when implemented in     the confirmation and aging of prior transac-     settlement obligation.
Q4 2007)                 tions and the interfaces with settlement.

                         All output will be distributed as scheduled.

Managed Accounts         MAS will run as normal.                          MAS will run as normal.
Service (MAS)
                         All input will be accepted and output will be    All input will be accepted and output
                         distributed as scheduled.                        will be distributed as scheduled.

Insurance Processing     The Insurance systems will run as normal         Overall settlement figures will be
                         including the aging of prior activity and the    rolled into the next business day’s
                         interfaces with settlement.                      settlement obligation.

                         All input will be accepted and processed and
                         all output will be distributed as scheduled.

Canadian Link            The Canadian Dollar link will run as normal      Processing does not change if Cana-
Processing               including current interfaces and the process-    dian Banks remain open.
                         ing of input and output.

IPOs &                   No change to issue review, approval and set      No Settlement.
Underwritings            up.
                                                                          No closing process will be performed
                         No change to issue verification process.         and no issues will be closed

                         Potentially there will be fewer issues set up    No change to issue review, approval
                         for closing; however the closing procedure       and set up.
                         remains unchanged.
                                                                          No change to issue verification
                                                                          process.

Physical Processing      No processing will occur.                        No processing will occur.
Deposits-Withdrawals
(DTC)

Risk                     Normal Risk procedures will apply. This in-      Clearing and Participant Fund obliga-
                         cludes all risk-based margining components       tions will be calculated as normal
                         such as value at risk, mark to market and risk   even though any required deposits
                         special charges.                                 cannot be collected. New require-
                                                                          ments will be calculated for the next
                                                                          business day. This approach is con-
                                                                          sistent with risk procedures in place
                                                                          during “double day” processing.




                                                        6
                             Fixed Income Unscheduled Close
Function               Markets closed                                   Markets closed
                       Banks/Fedwire open                               Banks/Fedwire closed

Trade Processing       Accept any input for trades, cancels and         Processing does not change
(Capture, Matching &   modifications.
Reporting)
                       Trade matching is active.

                       Create and distribute all interactive status
                       messages, reports and files as usual.

Trade Capture –        FICC is open for trade capture.                  No auction locked-in trade files will
Auctions (GSD only)                                                     be received.
                       The Auction locked-in trade files are submit-
                       ted by the Federal Reserve Bank or from a
                       Government Sponsored Agency.

Trade Processing       When Issued and New Issue trades are             Processing does not change
(CMU only)             extracted for applicable settlement dates
                       (including Wednesday settlement).

                        NSCC-eligible fixed income transactions that
                       were previously calculated for Wednesday’s
                       settlement will not be recalculated.

Electronic Pool        EPN is available for message processing.         EPN is available for message pro-
Notification (EPN)                                                      cessing
                       Note: A likely scenario relies on input from
                       SIFMA to determine if any alterations to
                       settlement guidelines are contemplated.

CMU Trade Netting      Consistent with normal processing, trades of     Processing does not change
(Consolidated Trade    Tuesday are netted and reported as posi-
Summary)               tions on the Consolidated Trade Summary.         Automated balance orders and
                       Balance Orders are issued for non-CNS            ACATS will be sent on Tuesday to
                       eligible securities. This same processing        IMS for Thursday’s settlement
                       applies to any “as of” trades of Monday and
                       older received on Tuesday for Wednesday’s
                       settlement.

                       On Tuesday evening, netted positions for
                       trades of the prior Friday will be merged into
                       CNS for settlement on Wednesday.




                                                      7
                              Fixed Income Unscheduled Close
Function                Markets closed                                  Markets closed
                        Banks/Fedwire open                              Banks/Fedwire closed

CMU – CNS               Consistent with normal processing CNS’s         CNS will run as described up to the
Processing              settlement will run on Tuesday evening. The     point of interfacing with the alloca-
                        CNS day cycle will run as normal, and all       tion processes at DTC. No positions
                        exemptions and priorities will be applied. In   will be allocated in CNS on Wednes-
                        the absence of input, standing instructions     day. CNS positions carried over from
                        will be applied as the normal default.          Tuesday’s settlement will be updated
                                                                        with positions resulting from netted
                        Exceptions:                                     trades of Wednesday’s settlement.
                        • Buy-in executions will be pended until        Updated CNS fails will be marked to
                          the markets reopen and open buy-ins for       the prior night’s prices and all corpo-
                          execution must be reinitiated.                rate actions will be applied.
                        • All corporate actions will be applied.

                        • Updated CNS positions will be marked to
                          the market using the prior night’s closing
                          prices.

                        • Prime Broker ID will be accepted from
                          Omgeo.

                        All output will be distributed as scheduled.

Trade Netting           Settlement obligations generated by the         Settlement obligations generated by
(GSD)                   netting function in the evening prior to the    the netting function, in the evening
                        unscheduled close will be distributed as        prior to the unscheduled close, will
                        scheduled.                                      be distributed as scheduled.

                                                                        The GSD settlement obligations
                                                                        generated for settlement on the
                                                                        unscheduled holiday will be reintro-
                                                                        duced to the netting cycle for the
                                                                        following business day.

                                                                        Note: All “failed’ obligations re-enter
                                                                        the GSD netting process There is a
                                                                        concern about the impact the signifi-
                                                                        cant increase in fails would have on
                                                                        participant reconcilement.

CMU Deliver Order       DO processing will be unchanged.                No Deliver Orders will be processed
Processing                                                              by DTC.
                        All output will be distributed as scheduled.

GSD Funds Settlement    Cash settlement will proceed normally since     No Deliver Orders will be processed
• Forward Mark          banks are open for money transfers.             by DTC.
• Coupon Pay
• TAP
• Invoice

MBSD Daily Funds Only   Cash settlement will proceed normally since     Cash settlement will be carried over
Settlement              banks are open for money transfers.             to the next business day.
• SBO differential
• Cash Adj

                                                       8
                                Fixed Income Unscheduled Close
Function                  Markets closed                                   Markets closed
                          Banks/Fedwire open                               Banks/Fedwire closed

Settlement of Receive     Settlement of obligation will proceed            No settlement will occur
and Deliver Obligations   normally because the Fedwire Securities
(GSD Only)                System is available.                             Clearance output and new netting
                                                                           results are available for distribution.

Risk (CMU Only)           Normal Risk procedures will apply. This in-      Clearing and Participant Fund obliga-
                          cludes all risk-based margining components       tions will be calculated as normal
                          such as value at risk, mark to market and risk   even though any required deposits
                          special charges.                                 cannot be collected. New require-
                                                                           ments will be calculated for the next
                                                                           business day. This approach is con-
                                                                           sistent with risk procedures in place
                                                                           during “double day” processing.

Risk                      Normal Risk procedures will apply. This in-      Clearing Fund obligations will be
(MBSD and GSD)            cludes all Risk-based margining components       calculated as normal even though
                          such as value at risk and mark to market         any required deposits cannot be
                                                                           collected. New requirements will be
                                                                           calculated for the next business day.
                                                                           A margin multiplier could be intro-
                                                                           duced to reflect the failure to settle.

FICC CMU Regulatory       Any submissions will be made available via       Any submissions will be made
Interfaces (MSRB and      regulatory interfaces to NASD and MSRB.          available via regulatory interfaces to
NASD TRACE)                                                                NASD and MSRB.

GSD Settlement            Settlement processing is unchanged and will      No cleared obligations to report.
Obligations Reporting     continue as normal.
(Receives and Delivers)                                                    Output distribution will continue as
                                                                           scheduled.

GSD Settlement            Settlement reporting processing is un-           No cleared obligations to report.
Obligations Reporting     changed and will continue as normal.
(Auctions)

Fails to Receive and      Fails are captured and resubmitted for net-      No settlements will occur.
Deliver (GSD Only)        ting.
                                                                           Fails from the previous activity are
                                                                           added to the next netting cycle.

Blind Broker Fails        Any fails of blind broker settlements will be    No settlement to generate broker
                          assumed by FICC                                  fails.

                                                                           Fails from the previous day are
                                                                           added to the next day net cycle.

Repo Substitutions        Substitution requests will be accepted.          Substitutions are not available. There
(GSD only)                                                                 is no mechanism to receive and
                                                                           deliver collateral.




                                                        9
                                Fixed Income Unscheduled Close
  Function                Markets closed                                   Markets closed
                          Banks/Fedwire open                               Banks/Fedwire closed

  Cross Margining         Cross margining data is available. If CME is     Cross margining data is available. If
                          unavailable, FICC will revert to cross margin-   CME is unavailable, revert to cross
                          ing fall back procedure.                         margining fallback procedure.

  MBS Settlement – NOS    NOS entry is available for matching and          NOS entry is available for matching
  Matching                margin adjustments.                              and margin adjustments.

  Clearing Bank – EOD     Clearing Bank settlement is unchanged by         There is no settlement; banks are
  Settlement (GSD only)   market close.                                    closed.

  GCF Settlement          Clearing Bank lock ups and net cash settle-      There is no settlement; banks are
                          ment (only when inter-bank transactions are      closed.
                          eligible) proceed normally.

  Clearing Bank Recon-    Clearing Bank reconciliation is unchanged by     No changes to positions at clear-
  ciliation (GSD only)    market close.                                    ing banks. There are no receives or
                                                                           delivers.




If participants/marketplaces have any comments or questions regarding this plan or if they want any ad-
ditional information or details, please contact your Relationship Manager.




                                                        10

				
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