Fixed Income Clearing Corporation/media/Files/Downloads/Clearing-Services/FI… · • SWIFT User Handbook Version – August, 2004 of the SWIFT Standards Release Guide • Updates

Fixed Income Clearing Corporation Interactive Messaging for GSD - Participant Specifications for Netting Output

Date: 06/30/2006

Version #: 1.1

Distribution: GSD Participants

Fixed Income Clearing Corporation A subsidiary of The Depository Trust & Clearing Corporation.

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Fixed Income Clearing Corporation

INTERACTIVE MESSAGING FOR GSD PARTICIPANT SPECIFICATIONS FOR NETTING OUTPUT (V 1.1)

INTRODUCTION TO THE DOCUMENTATION


Interactive Messaging for GSD Netting Output

This document provides the specifications for Interactive Messaging for FICC’s Government Securities Division (GSD) Netting Output, which represents the next phase of the GSD planned project for Interactive Messaging.

While it is being issued as a separate document, the Interactive Messaging for Netting Specification is intended to be used with previously issued GSD Interactive Messaging Documentation cited below. Because this is not a stand-alone document, readers must refer to the GSD Specifications for Real-Time Comparison Input and Output (Version 2.0) to obtain an understanding of SWIFT Messaging basics, message structure and communications requirements for GSD Interactive Messaging using MQ Series. As previously recommended, these specifications should also be used in conjunction with SWIFT Documentation for a more thorough understanding of SWIFT Messaging.

It should be noted that this document is a technical specification and is not, in any way, intended to communicate legal definitions as to when trades are guaranteed or novated by GSD. Participants should refer to GSD documentation, such as the Overview, for additional information on the timing of events in RTTM for legal purposes.

Related Materials (GSD RTTM Documents)

• Specifications for Real-Time Comparison Input and Output (Version 2.0, September, 2001)

• Batch Header/Trailer Specification (PDQ File) (Comparison)

• SWIFT User Handbook Version – August, 2004 of the SWIFT Standards Release Guide

• Updates to SWIFT User Handbook issued in August, 2004 for release in 2005

• New Service Description issued on June 27, 2005

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Contacts

GSD's contacts for the Interactive Messaging Project are provided below:

Message Specifications Melanie Sterman at (212) 855-7614 Richard Betts at (212) 855-7461

Communications Issues Richard Tuorto at (212) 855-7576 Sam Ben-Haim at (212) 855-1065

Business Issues Joe Brennan at (212) 855-7695 David Cosgrove at (212) 855-7688 Bart Schiavo at (212) 855-7590

Technical Issues Neal Arbon at (813) 470-2600 Greg Gibaldi at (212) 855-7566

Testing Issues Joe Quagliariello at (212) 855-7597 Tom Quaranta at (212) 855-7651

Additional inquiries regarding real-time Comparison, Netting and Clearing Services may be directed to the Fixed Income Client Support Group at (212) 855-7651/7652/7654 or go to www.ficc.com.

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Organization of the Document

1. Introduction

2. Netting Interactive Message Overview

2.1. Message Overview 2.2. SWIFT Message Formatting Structure 2.3. GSD Application Modules 2.4. Message Descriptions

2.4.1. MT509 Message 2.4.2. MT548 Message 2.4.3. MT590 Message 2.4.4. MT950 Message

3. Netting Message Specifications

3.1. MT509 Message 3.1.1. MT509 Netting Status Messages

3.2. MT548 Message 3.2.1. MT548 Clearance Instruction/Clearance Instruction Cancel 3.2.2. MT548 Cleared Obligation Message

3.3. MT590 Message 3.3.1. MT590 Coupon/Maturity Payment/Per Trade Forward Margin

3.4. MT950 Message 3.4.1. MT950 Participant Net Summary 3.4.2. MT950 Security Net Summary

Appendices

A. Netting Message Flows

B. Netting Message Timing Matrix

C. Netting Message Samples (issued under separate cover)

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1. INTRODUCTION

1. INTRODUCTION

As indicated above, this document provides the specifications for Interactive Messaging related to GSD Netting processing, enabling Participants to receive Netting Output on an interactive basis using standardized SWIFT Formats.

Messages developed in this Phase will give Participants the ability to take in Clearance and Funds Settlement as well as other important transaction status information on a Real-time basis.

This phase will also enable Participants to convert all current GSD Proprietary Machine-readable Output to Standardized Interactive Messages, building on the messaging capabilities developed for Comparison. It will also enable new Netting Participants to program for one set of interfaces, eliminating the need to convert from Proprietary Batch to SWIFT Interactive Layouts.

For additional service details, please refer to the New Service Bulletin issued on June 27, 2005 that is available on the Internet at www.ficc.com.

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2. NETTING INTERACTIVE MESSAGE OVERVIEW


2.1. Message Overview

For Comparison Interactive Messaging, GSD primarily utilized ISO 15022 Message Formats to support communication to and from Participants. Message Types currently utilized for Comparison are:

• MT515 - This Confirmation of Purchase or Sale is used by Participants to submit Instructions, Modifications or Cancellations to GSD.

• MT509 - This Status Message is sent by GSD to Participants for each event/status change that takes place on the GSD system regarding a specific trade.

• MT518 - This message is sent to Participants to advise them of:

• Trades (Cancellations or Modifications) that have been submitted against them by another Participant.

• Any changes that have been made to their Trade Records subsequent to submission to GSD.

• Any entries (Instructions, Modifications and Cancellations) that have been made directly to the terminal by the Participant (or GSD), so the Participant can ensure that the same event has been “logged” to their system.

• Trades either created or cancelled on behalf of the Participant as a result of the Locked-in Process.

• MT599 – This message is sent to GSD Participants to notify them of administrative information. The MT599s currently in production cover the following system events:

• Start-of-Day Notification to Participants that the GSD RTTM system is ready to accept submission to the Comparison System for a given business day.

• Cutoff for submission to a given day’s Comparison Process.

• Notification to Participants that GSD has completed generating Comparison Output for a given day. This message is currently sent when GSD completes generation/transmission of all outbound comparison related message output.

For this phase of Interactive Messaging (supporting Netting and Settlement Output), GSD is introducing a number of new messages, and adding, where applicable, qualifiers to already-existing message types:

• MT509 - The MT509 Status Message will also be used by GSD to send notification to Participants for additional status changes on trades related to the Netting Process. The messages to be implemented for Netting Output will be used in addition to those implemented for Comparison, and are NOT intended to replace any status messages previously defined.

• MT548 - The MT548 Settlement Status Message will be used by GSD to notify Participants of the following events:

• Creation of Obligations to be Settled (Instructions to be sent to the bank for Clearance).

• Cancellation of Clearance Instructions (in the event an error in GSD processing has occurred).

• Clearance of an Obligation.


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• MT590 - The MT590 Advice of Charges, Interest and Other Adjustments will be used by GSD to notify Participants of the following events:

• Coupon/Maturity Debit or Credit related to an outstanding Repo Trade or Failed Obligation.

• Per Trade Forward Margin Debit or Credit.

• MT950 - The MT950 Statement Message will be used by GSD to provide the Participant with Funds Settlement and Reconciliation information for the following:

• Participant Net Summary - This message reflects the components of each Participant’s Funds Settlement Obligation.

• Security Net Summary - This message provides a balancing and reconciliation tool for Money Movements and Positions on a per security basis.

• MT599 – No new MT599 Free Format Message will be specified in this document. However, the MT599 Comparison Processing End-Of-Day Message (EODC) will now be sent to Participants once all Interactive Comparison and Netting Output has been completed for the processing day.

2.2. SWIFT Message Formatting Structure

While this document presents specifications using the four SWIFT Message Types discussed above (MT509, MT548, MT590 and MT950), only the MT509 and MT548 utilize ISO15022 Formats. An explanation of ISO15022 Message Structure was provided in the Documentation for Interactive Messaging for real-time Comparison. It should be noted, however, that the other message types being used to support the remainder of GSD Netting Output do not always adhere to the same message structure specifications. Like the MT599, the MT590 and MT950 use the older SWIFT Formats, ISO 7775, that have the following “structural” differences from the other formats used:

• There are no Beginning and End-of-Block Tags (16R and 16S).

• Tags do not always include the optional one-character suffix to specify the format of the field.

• There are no generic fields, qualifiers, issuer codes or repeating subsequences.

• Date fields may be in six, rather than eight-character formats.

While GSD's initial intention was to utilize ISO15022 Messages for all input and output, formats were not always available for GSD's needs. These “older” SWIFT Messages were chosen because, at the time of analysis, they best met our unique data requirements from the body of available messages.

2.3. GSD Application Modules

All messages specified for Interactive Messaging for Comparison were either sent to, or generated by, the GSD Trade Registration and Reconciliation System. The mnemonic representing this system, GSCCTRRS, can be found in the Message Headers, representing either the receiver or the sender, on all inbound and outbound comparison related messages.


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Various GSD applications modules for netting and settlement processing will be reflected in the flow section (Appendix A) of this document. GSCCTRRS, however, will always be the source (sender) of all netting related SWIFT Messages generated for Participants. The modules reflected in the Flows are as follows:

GSD Clearance Instruction Management System (Clearance) - This application module is responsible for capturing and processing settlement information as well as providing all Settlement-related Participant Output. The following messages will be sent:

• MT548 Clearance Instruction

• MT548 Clearance Instruction Cancel

• MT548 Cleared Obligation

GSD Risk and Compliance Management System (Risk) - This application module is responsible for providing Participants with all Risk-related Interactive Reporting, such as information on Guarantees and Netting Eligibility. The following messages will be generated and sent:

• MT509 Trade Bound to Net

• MT509 Trade Comparison Only

• MT509 Buy/Sell Trade in Net

• MT509 Repo Start Leg in Net

• MT509 Repo Close Leg in Net

• MT509 Forward Trade Pended/No Longer in Net-Repo Collateral Matured-No New Collateral Assigned

• MT509 Forward Trade Pended/No Longer in Net-No Collateral Assigned to GC Trade

• MT509 Forward Trade Pended/No Longer in Net-Trade Cancelled

• MT509 Forward Trade Pended/No Longer in Net-GSD Excluded Trade

• MT590 Per Trade Forward Margin

GSD Funds Settlement Management System (Funds) - This application module is responsible for providing Participants with information regarding their Margin, Coupon, Principal Entitlements and Funds Settlement Obligation with GSD. The following messages will be generated and sent:

• MT590 Repo Coupon Payment

• MT590 Fail Coupon Payment

• MT590 Repo Maturity Payment

• MT590 Fail Maturity Payment

• MT950 Participant Net Summary

• MT950 Security Net Summary


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2.4. Message Descriptions

2.4.1. MT509 Message

The MT509 Message is specified as a Trade Status Message, and will continue to be used in this document to convey additional status messages related to the GSD Netting Process. These messages are intended to supplement those MT509 Status Messages specified for real-time Comparison Interactive Messaging. As noted in all FICC messaging documentation, the MT509 Message does not contain full trade details, but rather provides the trade status along with the full set of reference numbers to enable the Participant to identify the trade being reported on (e.g., Participant Reference Number, Secondary Reference Number, Contra-party External Reference Number, Broker Reference Number and the GSD Reference Number (TID), where appropriate).

Nine new MT509 Status Messages will be implemented in conjunction with this document to support Netting Output. Field 25D in the Status (STAT) Block will continue to indicate to the recipient the type of record being sent. Because these MT509 Messages do not contain “Ack” or “Nack” Statuses, many fields are not applicable for the messages in this Netting Output Specification and have therefore been omitted from this document. They still continue to be applicable for Comparison related messages already specified.

The qualifiers representing these new record types, in Field 25D, are shown for each example below. A MT509 Message will be generated for each of the following trade statuses:

• Trade Bound to Net (:25D::IPRC/GSCC/NBTD) - This Status Message will be sent to the submitting party indicating that the trade is anticipated to be net settled by GSD.

• Trade Comparison Only (:25D::IPRC/GSCC/NNCO) - This Status Message will be sent to the submitting party indicating that the trade is Not Netting Eligible.

• Buy/Sell Trade in Net (:25D::IPRC/GSCC/NECT) - This Status Message will be sent to the submitting party indicating that the Buy/Sell Trade has been Net Settled.

• Repo Start Leg in Net (:25D::IPRC/GSCC/NESL) - This Status Message will be sent to the submitting party indicating that the Repo Start Leg has been Net Settled.

• Repo Close Leg in Net (:25D::IPRC/GSCC/NECL) - This Status Message will be sent to the submitting party indicating that the Repo Close Leg has been Net Settled.

• Forward Trade Pended/No Longer in Net-Repo Collateral Matured-No New Collateral Assigned (:25D::IPRC/GSCC/NNNC) - This Status Message states that the underlying Repo Collateral has Matured and no new collateral has been assigned to the trade. The trade is, therefore, no longer included in GSD’s netting process.

• Forward Trade Pended/No Longer in Net-No Collateral Assigned to GC Trade (:25D::IPRC/GSCC/NNGC) - This Status Message states that a previously Compared and Netted Forward Starting General Collateral Repo did not have specific collateral assigned to the trade within the required time frame. Because of this, the trade is no longer included in GSD’s netting process.


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• Forward Trade Pended/No Longer in Net-Trade Cancelled (:25D::IPRC/GSCC/NNTC) - This Status Message is sent when a previously Netted Trade has been Cancelled. This will be sent to the Participant in addition to the related cancellation messages.

• Forward Trade Pended/No Longer in Net - GSD Excluded Trade (:25D::IPRC/GSCC/NNGD) - This Status Message notifies the Participant when GSD has excluded the trade from the netting process.

Please see GSD Specifications for Real-Time Comparison Input and Output (Version 2.0), dated September, 2001 for definitions of the Comparison related MT509 Messages in production.


The MT548 Message is specified as a Settlement Status and Processing Advice/Clearance Instruction. The MT548 Message will be sent to support the following record types:

Clearance Instruction/Clearance Instruction Cancel - The Clearance Instruction Message will be sent by GSD to notify the Participant of those Clearance Instructions that must be sent to the bank to satisfy GSD Obligations.

The Clearance Instruction Cancel Record will be sent to the Participant in the event that a Clearance Instruction has been sent to the Participant in error. The Cancel Record will be an exact duplicate of the original Clearance Instruction with the exception of required fields to indicate the record is a Cancellation. (Fields :23G: CAST in the General (GENL) block, and :25D::IPRC//CAND in the Status (STAT) block denote that the record is a cancel.)

MT548 Clearance Instruction (Cancel) Messages will be generated for each of the following types of settlements:

• “Next Day” (:22F::SETR/GSCC/NETX)

• Fail (:22F::SETR/GSCC/FOBL)

• Held Fail (:22F::SETR/GSCC/HFOB)

• Broker Fail (:22F::SETR/GSCC/BKFL)

• Repo Substitution (:22F::SETR/GSCC/SUBS)

It should be noted that “Next Day” (NETX) will be used to support Next Day, as well as same day, settlement instructions, where applicable.

Cleared Obligation - This message will be sent by GSD to notify the Participant that an Obligation has been cleared.

MT548 Cleared Obligation Messages will be generated for each of the following types of settlements:

• Paired Off (:22F::SETR//PAIR)

• Bought In (:22F::SETR/GSCC/BTIN)

• Held Fail Matured (:22F::SETR/GSCC/HDFM)


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• Matured (:22F::SETR/GSCC/MATR)

• Cleared (:22F::SETR/GSCC/CLRD)

• Netted (:22F::SETR/GSCC/FLRN)


The MT590 Message is specified as an Advice of Charges, Interest and Other Adjustments. This message type is sent to the Participant to advise it of monies, which have been Debited or Credited to the Participant’s Account, based on outstanding Fails, Repo Trades or on Margin applied. All MT590 Messages in this specification contain information on a per trade or per obligation basis.

GSD will use the MT590 Message for two general categories of records, covering a total of five system events:

Coupon/Maturity Debit/Credit for Outstanding Repo or Fail - This message type will be used to notify Participants of Coupon and/or Principal Debits or Credits based on outstanding Failed Obligations or Repo Transactions via four record types:

• Repo Coupon Payment (:71B:/GSCC/DRCR/CPRP/US/…)

• Fail Coupon Payment (:71B:/GSCC/DRCR/CPFL/US/…)

• Repo Maturity Payment (:71B:/GSCC/DRCR/MARP/US/…)

• Fail Maturity Payment (:71B:/GSCC/DRCR/MAFL/US/…)

Per Trade Forward Margin (:71B:/GSCC/DRCR/FMFF/US/) - This message will notify Participants of the Forward Margin and Forward Finance on a per trade basis. These two amounts have been aggregated on the Per Trade Forward Margin MT590 to reflect one Debit or Credit amount.


The MT950 Message is specified as a Statement Message. It will be used by GSD to support the following record types:

• Participant Net Summary

• Security Net Summary

These messages will be used to transmit detailed information to Participants for funds settlement and/or reconciliation purposes. Each of the above record types is basically structured like a Bank Statement reflecting a Beginning Balance, a series of entries, and an Ending Balance. Each entry on the statement is represented by a statement line, which is a concatenation of virtually all pertinent data for that entry. The structure of each MT950 Record Type differs slightly by type of message.

Participant Net Summary

Currently, one MT950 will be generated each day per Participant for the Participant Net Summary, reflecting its Funds Settlement Obligation. At some point, however, it is anticipated that more than one Funds Settlement/Participant Net Summary Record may be generated per Participant for a given day.


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The components that can comprise each Participant’s MT950 Participant Net Summary (reflected as “statement lines/entries”) are as follows:

• Next Day TAP (FTAP) • Forward Mark Allocation Return (FFMR)

• Fail Mark (FFMK) • Collected/Paid (FCPD)

• Coupon Payment (FCPN) • Invoice (FINV)

• Matured Items (FFLM) • Delivery Differential (FDDF)

• Clearance Difference (FCDF) • GCF (FGCF)

• Miscellaneous Adjustments (FMAD) • Margin Interest (FMGN)

• Forward Mark Allocation (FFMA)

Security Net Summary

One Security Net Summary MT950 will be sent by GSD each day for each Security in which a Participant has Activity in netting eligible securities. One MT950 Security Net Summary Record will be generated, per CUSIP, reflecting all the information that is currently provided on two GSD Batch Records:

• Security Net Summary (Record Type 20)

• Forward Position Summary (Record Type 28)

All entries are reflected as either Debits or Credits. Therefore, where position rather than money information is provided on the Report, a Long Position = Credit and a Short Position = Debit.

It should also be noted that the Beginning and Ending Balances are MT950 required mandatory fields. Because SWIFT requires that one statement’s Ending Balance must be the next statement’s Beginning Balance, GSD has decided to force all Beginning and Ending Balances, on this record type, to be zero “0,”. The last two entries on each Security Net Summary (prior to the Ending Balance) are, therefore, Position Offset and Cash Offset Amounts (FPOS and FCAS, respectively), which will force the Ending Balance to calculate to “zero”.

The components of the Security Net Summary (reflected as statement lines/entries) on the MT950 are as follows:

• Next Day Position (FNDP) • Delivery Differential (FDDF)

• Fail Position (FFLP) • Forward Position (FFPS)

• Fail Mark (FFMK) • Forward Amount (FFAM)

• Coupon Payment (FCPN) • Forward Mark (FFWM)

• Matured Items (FFLM) • Forward Mark Allocation (FFMA)

• Next Day TAP (FTAP) • GSD Position Offset (FPOS)

• Clearance Differences (FCDF) • GSD Cash Offset (FCAS)

• Fail Accrued Interest (FFAI)


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3. NETTING MESSAGE SPECIFICATIONS


This section contains the detailed specification for the MT509, MT548, MT590 and MT950 Messages, supporting GSD Netting Output, and is organized into the following subsections:

Section 3.1: MT509 Section 3.1.1 MT509 Netting Status Messages

• Section 3.1.1.a contains the layout and field descriptions for the MT509 Messages supporting Netting Output. The record types included in this section will be generated by GSD to notify Participants of the status of trades with respect to the Netting Process.

• Section 3.1.1.b contains a detailed analysis of those fields that can appear on all MT509 Netting Record Types.

Section 3.2: MT548 Section 3.2.1 MT548 Clearance Instruction/Clearance Instruction Cancel

• Section 3.2.1.a contains the layout and field descriptions for the MT548 Clearance Instruction (Clearance Instruction Cancel). GSD will send this record to Participants to notify them of required Obligations to be Settled (or Cancellation of those Clearance Instructions).

• Section 3.2.1.b contains the MT548 Message Mapping to a GSD Proprietary Format Clearance Instruction (Record Type 18).

Section 3.2.2 MT548 Cleared Obligation Message

• Section 3.2.2.a contains the layout and field descriptions for the MT548 Cleared Obligation Message. GSD will send this record to Participants once the required Obligation has Settled.

• Section 3.2.2.b contains the MT548 Message Mapping to a GSD Proprietary Format Cleared Obligation Record (Record Type 23).

Section 3.3: MT590 Section 3.3.1 MT590 Coupon/Maturity Payment/Per Trade Forward Margin

• Section 3.3.1.a contains the layout and field descriptions for the following MT590 Messages: − Repo Coupon Payment − Fail Coupon Payment − Repo Maturity Payment − Fail Maturity Payment − Per Trade Forward Margin

• Section 3.3.1.b contains the MT590 Message Mapping to the GSD Proprietary Format Repo Coupon Payment (Record Type 38).

• Section 3.3.1.c contains the MT590 Message Mapping to the GSD Proprietary Format Per Trade Forward Margin Record (Record Type 39).


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Section 3.4: MT950 Section 3.4.1 Participant Net Summary

• Section 3.4.1.a contains the layout and field descriptions for the MT950 Participant Net Summary. GSD will send this record at least once daily to indicate to Participants the components of their Funds Settlement Requirement.

• Section 3.4.1.b contains the MT950 Message Mapping to the GSD Proprietary Format Participant Net Summary (Record Type 21).

Section 3.4.2 Security Net Summary

• Section 3.4.2.a contains the layout and field descriptions for the MT950 Security Net Summary. GSD will send one record per Security for each netting eligible Security that a Participant has Activity in. As indicated above in this document, each record will reflect a combination of the data currently provided on two GSD Batch Records (Record Types 20 and 28).

• Section 3.4.2.b contains the MT950 Message Mapping to the GSD Proprietary Formats for the Security Net Summary and Forward Position Summary (Record Types 20 and 28, respectively).


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3.1. MT509 Message

3.1.1. MT509 Netting Status Messages

3.1.1.a. MT509 Message Specification

This section provides the general format and detailed field specifications for the MT509 Message. As in Comparison related messaging, this message type will continue to be used by GSD to notify Participants of the status of trades submitted. As described in the MT509 Overview in this document, the MT509 will be sent by GSD to the Participant for the following Netting related Events:

• Trade Bound to Net

• Trade Comparison Only

• Buy/Sell Trade in Net

• Repo Start Leg in Net

• Repo Close Leg in Net

• Forward Trade Pended/No Longer in Net-Repo Collateral Matured-No New Collateral Assigned

• Forward Trade Pended/No Longer in Net-No Collateral Assigned to GC Trade

• Forward Trade Pended/No Longer in Net-Trade Cancelled

• Forward Trade Pended/No Longer in Net-GSD Excluded Trade

It should be noted that the MT509 specification in this document contains only those fields applicable to netting. The MT509 specifications for comparison may contain fields not reflected in this document.

3.1.1.b. MT509 Field Analysis

This section contains an analysis of the fields that may be found on each MT509 Netting Message. For each applicable record type, a check mark will be found where it is possible for that field to appear on that record. It should be noted, however, that where a check mark appears, the check mark is not intended to indicate that a field is mandatory for a given record type. Where there is no check mark in a given box, that field is not applicable for the record type in question.

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MT509 NETTING STATUS MESSAGES GENERAL FORMAT

M/O

Tag Block/ Qualifier

Subqualifier/ Options

Field Description Data Field Format

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Message Header

Password 12!c Sender 8!c Message Type 3!n/3!n/4!c Receiver 8!c M :16R: GENL Mandatory Block Start

M :20C: :SEME// Sender’s Message Reference 16x M :23G: INST Message Function - Instruct 4!c O :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS M :16R: LINK Repeat Block Start

M :20C: :MAST// Participant External Reference Number

16x

M :16S: LINK End of Block

M :16R: LINK Repeat Block Start

O :20C: :INDX// Secondary Reference Number 16x M :16S: LINK End of Block


O :20C: :LIST// GSD Reference Number (TID) 16x M :16S: LINK End of Block


O :20C: :BASK// Broker Reference Number 16x M :16S: LINK End of Block

M :16R: STAT Repeat Block Start

M :25D: :IPRC/ GSCC/NBTD Trade Bound to Net or 4!c GSCC/NNCO Trade Comparison Only or GSCC/NECT Buy/Sell Trade in Net or GSCC/NESL Repo Start Leg in Net or GSCC/NECL Repo Close Leg in Net or GSCC/NNNC Forward Trade Pended/No

Longer in Net-Repo Collateral Matured-No New Collateral Assigned or

GSCC/NNGC Forward Trade Pended/No Longer in Net-No Collateral Assigned to GC Trade or

GSCC/NNTC Forward Trade Pended/No Longer in Net-Trade Cancelled or

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MT509 NETTING STATUS MESSAGES GENERAL FORMAT

M/O




GSCC/NNGD Forward Trade Pended/No Longer in Net-GSD Excluded the Trade

M :16S: STAT End of Block

M :16S: GENL End of Block


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MT509 NETTING STATUS MESSAGES FIELD SPECIFICATIONS

Block/Tag Notes

Message Header

Each message must contain a Message Header. All header fields are mandatory fixed format with trailing blanks, where required.

Password 12!c Password Fields will be blank filled on all MT509 Messages Sender 8!c GSCCTRRS will always be the sender of the MT509 messages in this

document. Message Type

3!n/3!n/4!c The first three characters indicate to the recipient the message type (509); the second three positions reflect the version of the message interface (currently always 000); the last four characters indicate the issuer code to be used in the message (GSCC).

Receiver 8!c Participant ID

GENL This mandatory block provides General Information regarding the message. It appears only once in a Status Message.

20C Sender's Message Reference • SEME// - This mandatory field contains the Sender’s (GSD) Message Reference Number.

It is used on all messages sent by GSD and will contain a unique number to unambiguously identify each message. (This is a Communications Message Number, not a Trade Number.)

Note: While the SWIFT Message accommodates both upper and lower case alpha-numeric and certain symbols, for GSD purposes, this field will be populated with an upper case alpha-numeric value. It will not contain symbols or hyphens.

e.g., :20C::SEME//GSCCCOMREF1

23G Function of the Message This mandatory field is used on all messages to identify the Function of the Message. It will either be the status of an Instruct or Modify. • INST - This qualifier will be used for Trade Status Messages usually referring to Instructs

or Modifies. All Netting-related MT509’s defined in this document will use this qualifier. e.g., :23G:INST

98C Preparation Date and Time • PREP// - This field will be reflected on all messages to indicate the Date and Time the

message was prepared by GSD. Note: The “C” Format for this (98) tag indicates a Date/Time Format of “YYYYMMDDHHMMSS”.

e.g. :98C::PREP//20050215112515

LINK The LINK Block will be repeated for as many reference qualifiers as need to be included in a Trade Status Message. Each subsequence contains Reference Numbers to identify the trade for which the status is being reported. Each Reference Number will be enclosed within a Start Link Block (:16R:LINK) and End Link Block (:16S:LINK). All LINK repeating subsequences are within the GENL Block.

20C Reference The Reference Numbers that have been provided by Participants must contain upper-case alpha-numeric characters and should not contain symbols. As indicated above, each Reference Number will be enclosed in a LINK Start and End Block. • MAST// - Master Reference Number - This qualifier contains the Participant’s Reference

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MT509 NETTING STATUS MESSAGES FIELD SPECIFICATIONS

Block/Tag Notes

Number for the trade (External Reference Number). The MAST Qualifier will be present on all MT509’s specified in this document.

• INDX// - Secondary Reference Number - This qualifier will contain the Participant’s Secondary Reference Number on Status Messages for Repo Trades, where the number was originally provided by the Participant.

• LIST// - GSD Reference Number - This qualifier will contain the GSD Reference Number (TID - Transaction Identification) for the trade.

• BASK// - Broker Reference Number - This field specifies the Participant’s Broker Reference and will be reflected only where the receiving Participant is a Broker. (This field is required for Broker Submitted Trades.)

Note: While the SWIFT Message accommodates both upper and lower case alpha-numeric and certain symbols, for GSD purposes, this field will be populated with an upper case alpha-numeric value. It will not contain symbols or hyphens except where the Reference Number has been assigned by GSD.

e.g., :20C::MAST//PARTREF1

STATUS The Status Block will appear on every MT509 Message and will notify the Participant of the type of MT509 Record being sent, as well as the Status of the Trade that was submitted to GSD.

25D Status Code The Status Code indicates the record type/type of Status Message being sent by GSD. The following are the various message types, which will be used for Interactive Messaging to support Netting Output. • IPRC/GSCC/NBTD - This qualifier/option is used to indicate to the submitter that GSD is

intending to Net Settle the trade. • IPRC/GSCC/NNCO - This qualifier/option is used to indicate to the submitter that the trade

is NOT Netting Eligible; it is considered by the Clearing Corporation to be Comparison only.

• IPRC/GSCC/NECT - This qualifier/option is used to indicate to the submitter that the Buy/Sell Trade has been Net Settled.

• IPRC/GSCC/NESL - This qualifier/option is used to indicate to the submitter that the Repo Start Leg has been Net Settled.

• IPRC/GSCC/NECL - This qualifier/option is used to indicate to the submitter that the Repo Close Leg has been Net Settled.

• IPRC/GSCC/NNNC - This qualifier/option is used to indicate to the submitter that the trade is no longer Netting eligible because the Repo Collateral has Matured and no new collateral has been assigned.

• IPRC/GSCC/NNGC - This qualifier/option is used to indicate to the submitter that the trade is no longer Netting eligible because no specific collateral has been assigned to a GC Repo Trade.

• IPRC/GSCC/NNTC - This qualifier/option is used to indicate to the submitter that the trade is no longer Netting eligible because it has been Cancelled.

• IPRC/GSCC/NNGD - This qualifier/option is used to indicate to the submitter that GSD has excluded the trade from the netting process.

e.g., :25D::IPRC/GSCC/NECL


19




MT509 NETTING STATUS MESSAGES FIELD ANALYSIS

M/O


Subqualifier Field Description IPRC/ GSCC/ NBTD

IPRC/ GSCC/ NNCO

IPRC/ GSCC/ NECT

IPRC/ GSCC/ NESL

IPRC/ GSCC/ NECL

IPRC/ GSCC/ NNNC

IPRC/ GSCC/ NNGC

IPRC/ GSCC/ NNTC

IPRC/ GSCC/ NNGD

Message Header

Password

Sender

Message Type

Receiver

M :16R: GENL Mandatory Block Start

M :20C: :SEME// Sender’s Message Reference

M :23G: INST Message Function - Instruct

O :98C: :PREP// Preparation Date/Time


M :20C: :MAST// Master Reference Number (Participant External Reference Number)



O :20C: :INDX// Secondary Reference Number



O :20C: :LIST// GSD Reference Number (TID)



O :20C: :BASK// Broker Reference Number


M :16R: STAT Repeat Block Start

M :25D: :IPRC/ GSCC/NBTD Trade Bound to Net or

GSCC/NNCO Trade Comparison Only or

GSCC/NECT Buy/Sell Trade in Net or

3.1.1.b_MT509_Analysis_v1.1.doc (saved 6/30/2006) Section 3.1.1.b - Page 1

20




MT509 NETTING STATUS MESSAGES FIELD ANALYSIS

M/O


Subqualifier Field Description IPRC/ GSCC/ NBTD

IPRC/ GSCC/ NNCO

IPRC/ GSCC/ NECT

IPRC/ GSCC/ NESL

IPRC/ GSCC/ NECL

IPRC/ GSCC/ NNNC

IPRC/ GSCC/ NNGC

IPRC/ GSCC/ NNTC

IPRC/ GSCC/ NNGD

GSCC/NESL Repo Start Leg in Net or

GSCC/NECL Repo Close Leg in Net or

GSCC/NNNC Forward Trade Pended/No Longer in Net-Repo Collateral Matured-No New Collateral Assigned or

GSCC/NNGC Forward Transaction Pended/No Longer in Net-No Collateral Assigned to GC Trade or

GSCC/NNTC Forward Trade Pended/No Longer in Net-Trade Cancelled or

GSCC/NNGD Forward Trade Pended/No Longer in Net-GSD Excluded Trade



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21




3.2. MT548 Message

This section contains the specifications for the MT548 Settlement Status Message supporting the following record types:

• Clearance Instruction - This message is sent to notify the Participant of Obligations/Clearance Instructions, which must be sent to the bank.

• Clearance Instruction Cancel - This message is sent to the Participant when a previously sent Clearance Instruction must be cancelled. The Cancel Record is an exact duplicate of the original Clearance Instruction with the exception of required fields indicating the record is a Cancellation, rather than an Instruction.

• Cleared Obligation - This message is sent to the Participant to indicate that an Obligation has been marked as cleared.

3.2.1. MT548 Clearance Instruction/Clearance Instruction Cancel

The section is structured as follows:

• 3.2.1.a Layout and Field Specifications

• 3.2.1.b Message Mapping to Record Type 18

3.2.2. MT548 Cleared Obligation Message

This section is structured as follows:



Please note that, in addition to comparing GSD Proprietary Records to SWIFT Records, the message mappings indicate where there are differences in data requirements, field sizes and field formats. The mappings are presented using the MT548 Format.


22


INTERACTIVE MESSAGING FOR GSD PARTICIPANT SPECIFICATIONS FOR NETTING OUTPUT (V1.1)


MT548 CLEARANCE INSTRUCTION AND CLEARANCE INSTRUCTION CANCEL GENERAL FORMAT

M/O




Message Header

M Password 12!c M Sender 8!c M Message Type 3!n/3!n/4!c M Receiver 8!c M :16R: GENL Mandatory Block Start

M :20C: :SEME// Sender’s Message Reference 16x M :23G: INST Message Function - Instruct or 4!c CAST Cancel O :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS M :16R: LINK Mandatory Repeat Block Start

M :20C: :POOL// Pool Reference Number (GSD Reference Number of Obligation to be Cleared) (OID)

16x


M :16R: LINK Mandatory Repeat Block Start

M :20C: :PREV// Previous Reference Number (Previous GSD Reference Number of the Obligation to be Cleared) (OID)

16x



O :20C: :RELA// Related Reference Number (Original GSD Obligation Reference Number) (OID)

16x


M :16R: STAT Mandatory Repeat Block Start

M :25D: :IPRC/ GSCC/CITS Status - Instruction to be Sent to Clearing Facility or

4!c

M /CAND Cancellation of a Previously Sent Clearance Instruction

M :16R: REAS Optional Repeat Block Start

M :24B: :CAND/ GSCC/GSER Reason Code 4!c M :16S: REAS End of Block



M :16R: SETTRAN Optional Block Start


23


INTERACTIVE MESSAGING FOR GSD PARTICIPANT SPECIFICATIONS FOR NETTING OUTPUT (V1.1)


MT548 CLEARANCE INSTRUCTION AND CLEARANCE INSTRUCTION CANCEL GENERAL FORMAT

M/O




M :35B: /US/ Identification of Financial Instrument/Security (CUSIP)

4*35x

M :36B: :SETT// FAMT/ Quantity of Financial Instrument/ Security to be Settled

15d

O :19A: :SETT// USD Settlement Amount 15d M :97B: :SAFE/ GSCC/PART/ Safekeeping Account - GSD

Participant ID 35x

M :22F: :SETR/ GSCC/NETX Type of Settlement Transaction -Next Day or

4!c

GSCC/FOBL Type of Settlement Transaction - Fail or

GSCC/HFOB Type of Settlement Transaction - Held Fail or

GSCC/BKFL Type of Settlement Transaction - Broker Fail or

GSCC/SUBS Type of Settlement Transaction - Repo Substitution

M :22H: :REDE// RECE Receive/Deliver Indicator - Receive or

4!c

DELI Deliver M :22H: :PAYM// APMT Payment Indicator - Vs. Payment 4!c M :98A: :SETT// Settlement Date YYYYMMDD M :16R: SETPRTY Optional Repeat Block Start

M :95R: :DEAG/ GSCC/ Party - Delivering Agent (or Seller) or

34x (9!c25x)

:REAG/ GSCC/ Receiving Agent (or Buyer) O :97B: :SAFE/ GSCC/GBID/ Safekeeping Account - Clearing

Instruction Information for GSD 35x (20!x15x)

M :16S: SETPRTY End of Block

M :16R: SETPRTY Optional Repeat Block Start

M :95R: :DEI1/ GSCC/ Party - Delivering Broker Contra-party ID or

34x

:REI1/ GSCC/ Receiving Broker Contra-party ID M :16S: SETPRTY End of Block

M :16S: SETTRAN End of Block


24




MT548 CLEARANCE INSTRUCTION AND CLEARANCE INSTRUCTION CANCEL FIELD SPECIFICATIONS

Block/Tag Notes

Message Header


Password 12!c Password Fields will be blank filled on all MT548 Messages

Sender 8!c GSCCTRRS will always be the sender of the MT548 messages in this document.

Message Type

3!n/3!n/4!c The first three characters indicate to the recipient the message type (548); the second three positions reflect the version of the message interface (currently always 000). The last four characters indicate the issuer code to be used in the message (GSCC).


GENL This mandatory block provides General Information regarding the message. It appears only once in an MT548 Settlement Status Message.


It is used on all messages sent by GSD and will contain a unique number to unambiguously identify each message. (This is a Communications Message Number, not a Trade Number.)

e.g., :20C::SEME//ABCDEFG1

23G Function of the Message This mandatory field identifies the Function of the Message. It will either refer to an Instruction for Participant Clearing Bank Instructions (INST) or to a Cancellation of a previously sent Clearance Instruction (CAST). • INST - This qualifier will be used to inform Participants of GSD Obligations and related

Clearance Instructions. • CAST - This qualifier will be used to inform Participants of Cancelled Clearance

Instructions previously sent by GSD. e.g., :23G:INST



e.g., :98C::PREP//20050215102015

LINK The LINK Block can be repeated for the various reference qualifiers required on a Settlement Status Message. It is intended to provide the required information to identify the Obligation to be Cleared. Each Reference Number will be enclosed within a Start Link Block (:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating subsequence is within the GENL Block. At least one LINK sequence is required on the MT548 Message.

20C Reference This field will be populated with the 11 character OID (Obligation Reference Number) assigned by GSD to each Obligation. As indicated above, each Reference Number must be enclosed in a LINK Start and End block. All three reference qualifiers (Current (POOL), Previous (PREV) and Original (RELA) OID) are


25





Block/Tag Notes

assigned at the time an initial obligation is created. These fields will always be populated on all MT548 Clearance Instruction and Cleared Obligation messages. Clearance Instructions (not resulting from previous days’ fails) will always reflect identical values in the Current, Previous and Original OID fields. Where obligations are failing over several days, the current and previous OIDs reflected on the Clearance Instruction records will change. The Original OID (RELA), however, always remains the same, providing a link back to the original obligation • POOL - This qualifier is used for the GSD Reference Number of the Obligation to be

Cleared (OID). It appears on all Clearance Instructions, and reflects the reference of the current OID. Where an obligation is an original instruction (not related to a previous fail), this number will be identical to the values in the Previous and the Original OIDs on this record.

• PREV - This qualifier is used to reflect the previous GSD Obligation Reference Number (OID). Where an obligation is an original instruction (not related to a previous fail), this number will be identical to the values in the current and the original OIDs on this record. Where an obligation is related to a previous fail, this number will reflect the Obligation ID from the previous day’s Clearance Instruction. It appears on all Clearance Instruction messages.

• RELA - This qualifier is used to provide the Original GSD Obligation Reference Number (OID). It will never change throughout the life of an obligation, even where the obligation may fail over several days. Where an obligation is not related to a previous fail, this number will be identical to the Current and Previous OIDs on this record. It appears on all Clearance Instruction messages.

Note: This field size (16x) is different from the 11 character reference number used on the traditional GSD Proprietary Layout. It should be noted that, on occasion, GSD may “reinstate” an already cleared obligation. In this instance a Participant will receive a new clearance instruction reflecting the same OIDs as the “original” instruction. It should also be noted that the settlement of intraday partials will NOT generate new intraday clearance instructions. As each lot is cleared, new cleared obligation records will be generated which (decrement par and money as well as) reflect new OIDs.

e.g., :20C::POOL//ABCD1234B

STATUS The Status Block will appear on every MT548 Message; it is intended to notify the Participant of the type of MT548 Record being sent.

25D Status Code The Status Code indicates the type of Settlement Status Message being sent by GSD. The following are the various record types, which will be used for Interactive Messaging to support Netting. • IPRC/GSCC/CITS - This qualifier/option is used to indicate that the Participant must send

instructions to the bank for Obligations created by GSD. • IPRC//CAND - This qualifier/option is used to notify the Participant when a previously sent

Settlement Instruction must be Cancelled. e.g., :25D::IPRC/GSCC/CITS


26





Block/Tag Notes

REASON The Reason Block will only appear on MT548 Cancellation Messages. Each Reason Code must be enclosed within a Start Reason (:16R:REAS) and End Reason (:16S:REAS) Block.

24B Reason Code This field is mandatory in the block and will appear on all Cancellation Messages. Each Reason Code must be enclosed within a Start Reason (:16R:REAS) and End Reason (:16S:REAS) Block. At this point only one Reason Code has been defined. The Reason Code will be populated with the following value: • CAND/GSCC/GSER - This qualifier will be reflected on all messages to indicate to the

Participant that the MT548 previously sent was Cancelled due to GSD Action. e.g., :24B::CAND/GSCC/GSER

SETTRAN The Settlement Transaction Detail Block will be reflected on all MT548 messages to identify the details of the Obligation to be Settled.

35B Identification of Financial Instrument/Security The security/collateral involved is identified in the US by specifying the ISO two character Country Code (/US/), followed by the CUSIP. Note: While the SWIFT Layout accommodates a format of 4 * 35x, a 9!c (alpha-numeric) value will

populate the field with the CUSIP. e.g., :35B:/US/912828CM0

36B Quantity of Financial Instrument/Security to be Settled (SETT) • SETT//FAMT/ - This field is mandatory, and for the purposes of GSD, will use the option

"FAMT" indicating Face Amount (Par). The quantity of the Financial Instrument is in SWIFT Standard Format, which is left justified, with commas removed, and a comma used instead of a decimal.

Note: The SWIFT Format can accommodate a value of 15d in this field. This is a change from the 18 character field on the GSD Proprietary Layouts.

e.g., :36B::SETT//FAMT/6000000,

19A Settlement Amount • SETT// - This field is used to specify the Settlement Amount for Obligations created by

GSD. The amount is in SWIFT Standard Format, which is left justified, with commas removed, and a comma used instead of a decimal. The amount is always preceded by the ISO three character Currency Code (“USD” for GSD Trades). Note: The SWIFT Format can accommodate a value of 15d in this field. This is a change from the 18

character field on the GSD Proprietary Layouts. e.g., :19A::SETT//USD5855254,25

97B Safekeeping Account • SAFE/GSCC/PART/ - This field specifies the GSD Participant ID (four character GSD

Participant Identification). e.g., :97B::SAFE/GSCC/PART/9558

22F Settlement Indicator (SETR) This mandatory field indicates the Settlement Status of the Obligation. • SETR/GSCC/NETX - This qualifier/option indicates that the Obligation is for any movement

other than a Fail, Held Fail, or Broker Fail. It will be used to facilitate both Next Day and


27





Block/Tag Notes

Same Day Settlement Instructions. • SETR/GSCC/FOBL - This qualifier/option indicates that the Obligation is based on a Fail. • SETR/GSCC/HFOB - This qualifier/option indicates that the Obligation is a Held Fail

(where GSD cannot make delivery). • SETR/GSCC/BKFL - This qualifier/option indicates that the Obligation is based on a

Broker Fail. • SETR/GSCC/SUBS - This qualifier/option indicates that the Obligation is based on a Repo

Substitution. e.g., :22F::SETR/GSCC/NETX

22H Receive/Deliver Indicator (REDE) This mandatory field indicates whether the instruction is either a Receive or Deliver. • REDE//RECE - This qualifier/option indicates that to satisfy this Obligation, the Participant

must Receive in securities (from GSD). • REDE//DELI - This qualifier/option indicates that, to satisfy the Obligation, the Participant

must Deliver securities (to GSD). e.g., :22H::REDE//RECE

22H Payment Indicator (PAYM) This mandatory Payment Indicator Field indicates whether the Instruction is to be settled Free or Against Payment. • PAYM//APMT - This qualifier/option indicates that this Obligation will be settled versus

Payment. Note: All GSD Settlements are vs. Payment.

e.g., :22H::PAYM//APMT

98A Settlement Date • SETT// - This field is used on all messages to specify the intended Settlement Date of the

Obligation. (The “A” Format for this tag (98) indicates a Date Format of “YYYYMMDD”.) e.g., :98A::SETT//20050215

SETPRTY Settlement Parties is an optional repeatable sequence.

95R Party (Proprietary Code) Two Party Repeating Sequences may appear on a given MT548 Clearance Instruction Message. All Clearance Instructions will contain the Delivering or Receiving Agent Block (DEAG/REAG) reflecting GSD Clearance Instruction Information. Only those Clearance Instructions resulting from broker fails will include a second party block (DEI1/REI1), which will reflect the delivering or receiving broker’s GSD Contra-party ID. This field specifies GSD Bank Clearance Instructions, and will indicate whether GSD is either the Receiving or Delivering Party (the opposite side to that indicated in Tag :22H::REDE). The first nine characters of this field will be populated with GSD’s Clearing Bank ABA. Positions 10-34 will contain the first 25 characters of the Bank’s Fed Address for GSD Settlements (where there are more than 25 characters in the Fed Address, the remaining data will be mapped to positions 21-35 in Tag 97B). • DEAG/GSCC/ - Delivering Agent or Seller - This qualifier/option will be used where GSD

is Delivering securities to the Participant.


28





Block/Tag Notes


• REAG/GSCC/ - Receiving Agent or Buyer - This qualifier/option will be used where GSD is Receiving securities from a Participant.

e.g., :95R::DEAG/GSCC/021000018BK OF NYC/GSCC

A second party sequence will be populated with the GSD Participant ID of the Contra Broker when the type of settlement transaction, field 22F, is “Broker Fail” (SETR/GSCC/BKFL).

• DEI1/GSCC/ – This qualifier/option will be used to identify the Delivering Broker’s Contra-party ID. If the Instruction/Cancel is a Receive, then the Delivering Broker’s Contra-party ID will appear.

• REI1/GSCC/ – This qualifier/option will be used to identify the Receiving Broker’s Contra-party ID. If the Instruction/Cancel is a Deliver, then the Receiving Broker’s Contra-party ID will appear.

e.g., :95R::DEI1/GSCC/8602

97B Safekeeping Account This field provides additional Clearing Instruction information for GSD. • SAFE/GSCC/GBID/ - This field is intended to reflect GSD’s Contra ID at the Clearing

Bank. This ID will populate positions one through 20 of this field. Where required (as indicated in the 95R DEAG/REAG tag section), positions 21 through 35 will contain the remaining 15 characters of the Fed Address.

Note: This information will appear within the Delivering/Receiving Agent (DEAG/REAG) party block, which provides GSD Bank Clearance Instructions.

e.g., :97B::SAFE/GSCC/GBID/9599

29


INTERACTIVE MESSAGING FOR GSD PARTICIPANT SPECIFICATIONS FOR NETTING OUTPUT (VERSION 1.1)


MT548 CLEARANCE INSTRUCTION AND CLEARANCE INSTRUCTION CANCEL MESSAGE MAPPING

SWIFT Record GSD Record Type 18 Fields M/O


Subqualifier/ Option

Field Description Data Format

GSD Field Length Start End Format Comments

Message Header

M Password 12!c GSD will blank fill Password Fields on all outgoing Messages.

M Sender 8!c GSCCTRRS

M Message Type 3!n/3!n/4!c All three fixed-length subfields will be populated.

M Receiver 8!c Participant ID 4 30 33 A/N Participant ID - four characters.


M :20C: :SEME// Sender’s MessageReference

16x Sender's (GSD) Message ReferenceNumber.

M :23G: INST Message Function - Instruct or

4!c This qualifier indicates to Participants that this record reflects those Clearing Instructions to be sent to the bank.

CAST Cancel This qualifier is used by GSD to inform Participants of Cancelled Clearance Instruction Records.

O :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS

Date/Time GSD prepared Message for Participant.


M :20C: :POOL// Pool Reference Number(GSD Reference Number of Obligation to be Cleared) (OID)

16x Transaction ID 11 19 29 A/N GSD Reference Number of Obligation to be Cleared (OID).



M :20C: :PREV// Previous ReferenceNumber (Previous GSD Reference Number of the Obligation to be Cleared) (OID).

16x Transaction ID 11 172 182 A/N Previous GSD Reference Number of Obligation to be Cleared (OID). This field will appear on all clearance instructions.

3.2.1.b_MT548_Mapping_update_v1.1.doc (saved 6/30/2006) Section 3.2.1.b - Page 1

30












O :20C: :RELA// Related ReferenceNumber (Original GSD Obligation Reference Number) (OID)

16x OriginalTransaction ID

11 183 193 A/N GSD Reference Number of the Original Obligation to be Cleared. This appears on all clearance instructions.


M :16R: STAT Mandatory RepeatBlock Start

M :25D: :IPRC/ GSCC/CITS Status - Instruction to be sent to Clearing Facility or

4!c GSD to generate when Instructions must be sent to the bank by the Participant.

/CAND Cancellation of a Previously Sent Clearance Instruction

GSD to generate when previously sent Clearance Instructions must be Cancelled.

M :16R: REAS Optional Repeat Block Start

This block will only be used for MT548 Cancels.

M :24B: :CAND/ GSCC/GSER Reason Code 4!c Cancellation due to GSD Action.

M :16S: REAS End of Block




M :35B: /US/ Identification of Financial Instrument (CUSIP)

4*35x CUSIP 9 41 49 A/N CUSIP is always preceded by the ISO two character Country Code "/US/".

M :36B: :SETT// FAMT/ Quantity of Financial Instrument to be Settled

15d Quantity 18 56 73 A/N Decimal comma mandatory-different field sizes.

O :19A: :SETT// USD Settlement Amount 15d Amount 18 74 91 A/N Amount is always preceded by ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory-different field sizes.


31










M :97B: :SAFE/ GSCC/PART/ Safekeeping Account (GSD Participant ID)

35x Participant ID 4 30 33 A/N Four character GSD Participant ID.

M :22F: :SETR/ GSCC/NETX Type of SettlementTransaction - Next Day or

4!c ClearanceType

1 161 161 A/N Value in GSD Field = N.

GSCC/FOBL Type of SettlementTransaction - Fail or

Value in GSD Field = F.

GSCC/HFOB Type of SettlementTransaction - Held Fail or

Value in GSD Field = H.

GSCC/BKFL Type of SettlementTransaction - Broker Fail or

Value in GSD Field = F (originally reported with F).

GSCC/SUBS Type of SettlementTransaction – Repo Substitution

Value in GSD Field = N (originally reported with N).


4!c TransactionCode

1 40 40 A/N Where Transaction Code = L, use "RECE".

DELI Deliver Where Transaction Code = S, use "DELI".

M :22H: :PAYM// APMT Payment Indicator - Vs. Payment

4!c All Clearance Instructions will be vs. Payment.

M :98A: :SETT// Settlement Date YYYYMMDD SettlementDate

10 162 171 A/N Intended Settlement Date of Obligation.

M :16R: SETPRTY Optional Repeat Block Start

M :95R: :DEAG/ GSCC/ Party - Delivering Agent (or Seller) or

34x see Note in Comments column (9!c25x)

Clearing Bank ABA

9 92 100 A/N Where 22H = RECE populate "DEAG". Note: The first nine characters of this field will be used for the GSD Clearing Bank’s ABA. The last 25 characters will be used for the Fed Address.


32










Fed Address 25 101 125 A/N Note: Should the Fed Address be greater than 25 characters, the remaining 15 characters (of the 40 byte field) will be placed in the last 15 bytes of the Safekeeping Account (97A) Field following the 20 character GSD Contra ID at the bank (see below).

:REAG/ GSCC/ Receiving Agent (or Buyer) 34x see Note in Comments column (9!c25x)

Clearing Bank ABA

9 92 100 A/N Where 22H = DELI populate "REAG". Note: The first nine characters of this field will be used for the GSD Clearing bank’s ABA. The last 25 characters will be used for the Fed Address.

Fed Address 25 101 125 A/N Note: Should the Fed address be greater than 25 characters, the remaining 15 characters (of the 40 byte field) will be placed in the last 15 bytes of the Safekeeping Account (97A) Field following the 20 character GSD Contra ID at the bank (see below).

O :97B: :SAFE/ GSCC/GBID/ Safekeeping Account - Clearing Instruction Information for GSD

35x see Note in Comments column (20!x15x)

GSD’s Contra ID at Participant Bank

20 141 160 A/N GSD’s Participant ID at the Clearing Bank.

Fed Address 15 126 140 A/N Note: Should the Fed Address be greater than 25 characters, the remaining 15 characters (of the 40 byte field) will be placed in the last 15 bytes of the Safekeeping Account (97A) Field following the 20 character GSD Contra ID at the bank.


M :16S: SETPRTY Optional Repeat Block Start

DEI1/ GSCC/ Delivering Broker Contra-party ID or

34x Where 22H = RECE and 22F = BKFL, we will populate DEI1. (No existing GSD field.)


33










REI1/ GSCC/ Receiving Broker Contra-party ID

34x Where 22H = DELI and 22F = BKFL, we will populate REI1. (No existing GSD field.)




34




MT548 CLEARED OBLIGATION MESSAGE GENERAL FORMAT

M/O




Message Header

M Password 12!c M Sender 8!c M Message Type 3!n/3!n/4!c M Receiver 8!c M :16R: GENL Mandatory Block Start

M :20C: :SEME// Sender’s Message Reference 16x M :23G: INST Message Function - Instruct 4!c

O :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS M :16R: LINK Mandatory Repeat Block Start

M :20C: :POOL// Pool Reference Number (GSD Reference Number of the Obligation to be Cleared) (OID)

16x



O :20C: :PREV// Previous Reference Number (Previous GSD Obligation Reference Number) (OID)

16x



O :20C: :RELA// Related Reference Number (Original GSD Obligation Reference Number) (OID)

16x


M :16R: STAT Mandatory Repeat Block Start

M :25D: :SETT/ GSCC/CLOB Status - Cleared Obligation Record

4!c





4*35x

M :36B: :SETT// FAMT/ Quantity of Financial Instrument/ Security Settled

15d

O :19A: :SETT// USD Settlement Amount 15d M :97B: :SAFE/ GSCC/PART/ Safekeeping Account (GSD

Participant ID) 35x


35




MT548 CLEARED OBLIGATION MESSAGE GENERAL FORMAT

M/O




M :22F: :SETR/ /PAIR Type of Settlement Transaction - Paired-Off or

4!c

GSCC/BTIN Type of Settlement Transaction - Bought In or

GSCC/HDFM Type of Settlement Transaction - Held Fail Matured or

GSCC/MATR Type of Settlement Transaction - Matured or

GSCC/CLRD Type of Settlement Transaction - Cleared or

GSCC/FLRN Type of Settlement Transaction - Netted


4!c

DELI Deliver M :22H: :PAYM// APMT Payment Indicator - Vs. Payment 4!c M :98A: :SETT// Settlement Date YYYYMMDD O :70E: :SPRO// GSCC Settlement Instruction Processing

Narrative (10*35x)

/RSTTFAMT Quantity of Financial Instrument Remaining to be Settled

15d

/RSMTUSD Remaining Settlement Amount 15d /DCDFUSD Debit Clearance Difference or 15d /CCDFUSD Credit Clearance Difference /DFMKUSD Debit Fail Mark Due to Netting or 15d /CFMKUSD Credit Fail Mark Due to Netting /OPARFAMT Opening Par 15d /OPSTUSD Opening Settlement Amount 15d M :16S: SETTRAN End of Block


36



ETTING ESSAGE PECIFICATIONS 3. N M S

MT548 CLEARED OBLIGATION MESSAGE FIELD SPECIFICATIONS

Block/Tag Notes

Message Header


Password 12!c Password Fields will be blank filled on all MT548 Messages.

Sender 8!c GSCCTRRS will always be the sender of the MT548 messages in this document.

Message Type


Receiver 8!c Participant ID.

GENL This mandatory block provides General Information regarding the message. It appears only once in an MT548 Settlement Status Message.


It is used on all messages sent by GSD and will contain a unique number to unambiguously identify each message. (This is a Communications Message Number, not a Trade Number).

e.g., :20C::SEME//2005021509005323

23G Function of the Message This mandatory field identifies the Function of the Message. For the purposes of Cleared Obligation Messages, this field will always refer to an Instruct (INST). • INST - This qualifier will be used to indicate to Participants that an Obligation has Cleared

or partially cleared. e.g., :23G:INST



e.g., :98C::PREP//20050215090909

LINK The LINK Block can be repeated for the various reference qualifiers required on a Settlement Status Message. It is intended to provide the required information to identify the Obligation being Cleared. Each Reference Number will be enclosed within a Start Link Block (:16R:LINK) and End Link Block (:16S:LINK). Each LINK repeating subsequence is within the GENL Block. At least one LINK sequence is required on the MT548 Message.

20C Reference This field will be populated with the 11 character OID (Obligation Reference Number) assigned by GSD to each Obligation. As indicated above, each Reference Number must be enclosed in a LINK Start and End block. All three reference qualifiers (Current (POOL), Previous (PREV) and Original (RELA) OID) are assigned at the time an initial obligation is created. These fields will always be populated on all MT548 Clearance Instruction and Cleared Obligation messages. Where an obligation settles in full via one clearance on assigned Settlement Date, the Cleared

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37





Block/Tag Notes

Obligation record will reflect the reference numbers reflected on the prior night’s Clearance Instruction. (If the Clearance Instruction was not generated resulting from a prior fail, the three reference qualifiers will be identical). Where an obligation is partially settled in installments on Settlement Date, the original OID (RELA) will retain the OID from the original instruction, but the Current and Previous OIDs will change, as each new piece is cleared.

• POOL - This qualifier is used for the GSD Reference Number of the Obligation to be Cleared (OID). It appears on all Cleared Obligations, and reflects the Current Obligation ID. It should be noted that a new OID is generated for each partial clearance that takes place.

• PREV - This qualifier is used to provide the Previous GSD Obligation Reference Number (OID). It appears on all Cleared Obligation messages. Where this represents the first ‘installment’ of an intraday partial, this reference qualifier will be equal to that reflected in the Original Obligation ID (RELA) field. Where the message is reflective of the second, or greater, ‘installment’ for an obligation that has partially settled, this reference will be unique.

• RELA - This qualifier is used to provide the Original GSD Obligation Reference Number (OID). It appears on all Cleared Obligations. This reference qualifier will always ‘link back’ to the original obligation, regardless of how many partials have been cleared, or how many days the obligation may be failing.

Note: This field size (16x) is different from the eleven character Reference Number used on the traditional GSD Proprietary Batch Layout. It should be noted that, on occasion, GSD may reinstate an already cleared obligation. In this instance a Participant will receive a new clearance instruction/cleared obligation reflecting the same set of OIDs as the original item.

e.g., :20C::POOL//ABCD1234B

STATUS The Status Block will appear on every MT548 Message. It is intended to notify the Participant of the Type of MT548 Record being sent.

25D Status Code The Status Code indicates the record type/type of Status Message being sent by GSD. The following qualifier is used for Interactive Messaging to support Netting: • SETT/GSCC/CLOB - This qualifier/option indicates this is a Cleared Obligation Record.

e.g., :25D::SETT/GSCC/CLOB

SETTRAN The Settlement Transaction Detail Block will be reflected on all MT548 messages to identify the details of the Obligation Settled.

35B Identification of Financial Instrument/Security The security/collateral involved is identified in the US by specifying the ISO two character Country Code (/US/) followed by the CUSIP. Note: While the SWIFT Layout accommodates a format of 4 * 35x, a 9!c (alpha-numeric) value will

populate the field for the CUSIP. e.g., :35B:/US/912828CM0


38





Block/Tag Notes

36B Quantity of Financial Instrument to be Settled (SETT) • SETT//FAMT/ - This field is mandatory, and for the purposes of GSD, must use the option

"FAMT", indicating Face Amount (Par). It provides the Quantity of the security that was actually Settled. The Quantity of the Financial Instrument is in SWIFT Standard Format, which is left justified, with commas removed, and a comma used instead of a decimal.

Note: The SWIFT Format can accommodate a value of 15d in this field. This is a change from the 18 character field on the GSD Proprietary Layouts.

e.g., :36B::SETT//FAMT/6000000,

19A Settlement Amount • SETT// - This field is used to specify the Amount Cleared for the Obligation, which was

Settled. The Amount is in SWIFT Standard Format, which is left justified, with commas removed, and a comma used instead of a decimal. The Amount is always preceded by a three character ISO Currency Code (USD for GSD Trades). Note: The SWIFT Format can accommodate a value of 15d in this field. This is a change from the 18

character field on the GSD Proprietary Layouts. e.g., :19A::SETT//USD5855254,25

97B Safekeeping Account • SAFE/GSCC/PART/ - This field specifies the GSD Participant ID (four character GSD

Participant Identification). e.g., :97B::SAFE/GSCC/PART/9558

22F Settlement Indicator (SETR) This field is SWIFT Mandatory for the block. • SETR//PAIR - This qualifier/option indicates that the Obligation Settled via PAIR-OFF. • SETR/GSCC/BTIN - This qualifier/option indicates GSD has BOUGHT IN the securities for

the Obligation to be cleared. • SETR/GSCC/HDFM - This qualifier/option indicates that the securities for a HELD FAIL

Obligation have Matured. • SETR/GSCC/MATR - This qualifier/option indicates that the securities for a FAILED

Obligation have Matured. • SETR/GSCC/CLRD - This qualifier/option indicates that the Obligation Pending Settlement

has Cleared. • SETR/GSCC/FLRN - This qualifier/option indicates that the Obligation Pending Settlement

has Netted. e.g., :22F::SETR/GSCC/CLRD

22H Receive/Deliver Indicator (REDE) This mandatory field indicates if the Cleared Obligation was a Participant Receive or Deliver. • REDE//RECE - This qualifier/option indicates that the Cleared Obligation was a Participant

Receive from GSD. • REDE//DELI - This qualifier/option indicates that the Cleared Obligation was a Participant

Deliver to GSD. e.g., :22H::REDE//RECE


39





Block/Tag Notes

22H Payment Indicator (PAYM) This mandatory Payment Indicator Field indicates whether the Obligation Settled Free or Against Payment. All Obligations Cleared by GSD will provide the following qualifier: • PAYM//APMT - This qualifier/option indicates that the Obligation Settled Versus Payment. Note: All GSD settlements are versus payment.

e.g., :22H::PAYM//APMT

98A Settlement Date • SETT// - This field is used on all messages to specify the Date the Obligation Settled. (The

“A” Format for this tag (98) indicates a Date Format of “YYYYMMDD”.) e.g., :98A::SETT//20050215

70E Settlement Instruction Processing Narrative (SPRO) • SPRO//GSCC - This narrative field is included on all Cleared Obligation Messages.

− /RSTTFAMT - This field indicates the Quantity of Financial Instrument Remaining to be settled. This field is populated if the Quantity Cleared on this record is less than the Quantity indicated in the Opening Par Field (OPARFAMT found in this narrative field).

− /RSMTUSD - This field indicates the Settlement Amount Remaining to be settled. This field is populated if the Settlement Amount Cleared on the record is less than the Amount indicated in the opening Settlement Amount field (OPSTUSD found in this narrative field).

− /DCDFUSD - This field indicates that there is a Debit Clearance Difference on the cleared obligation. This field is populated when there is a Debit Clearance Difference Remaining after Settlement (ISO Currency Code preceding amount required, always USD for GSD domestic business).

− /CCDFUSD - This field indicates that there is a Credit Clearance Difference on the cleared obligation. This field is populated when there is a Debit Clearance Difference Remaining after Settlement (ISO Currency Code preceding amount required, always USD for GSD domestic business).

− /DFMKUSD - This field indicates that there is a Debit mark to market on the fail item before it was cleared due to netting. This field is populated when there is a Debit Mark to Market before the item was cleared (ISO Currency Code preceding amount required, always USD for GSD domestic business).

− /CFMKUSD - This field indicates that there is a Credit mark to market on the fail item before it was cleared due to netting. This field is populated when there is a Credit Mark to Market before the item was cleared (ISO Currency Code preceding amount required, always USD for GSD domestic business).

− /OPARFAMT - This field indicates that day’s Opening Par of the Obligation to be settled. In the case of a partial settlement, this field will be decremented by the quantity already settled intraday. This field will be reflected on all Cleared Obligation Messages.


40





Block/Tag Notes

− /OPSTUSD - This field indicates that day’s Opening Settlement Amount of the Obligation to be settled. In the case of a partial settlement, this field will be decremented by the money amount already settled intraday. This field will be reflected on all Cleared Obligation messages.

Note: The SWIFT format can accommodate a value of 15d in this field. This is a change from the 18 character field on the GSD proprietary layouts.

e.g., :70E::SPRO//GSCC/RSTTFAMT1000000,/OPARFAMT7000000,/OPSTUSD6999437,5

/RSMTUSD999919,65


41




MT548 CLEARED OBLIGATION MESSAGE MESSAGE MAPPING






Message Header

M Password 12!c GSD will blank fill Password Field on all outgoing messages.



M Receiver 8!c Participant ID 4 30 33 A/N Participant ID-four characters.


M :20C: :SEME// Sender’s MessageReference

16x Sender's (GSD) Message ReferenceNumber.

M :23G: INST Message Function - Instruct

4!c All Cleared Obligation Messages should refer to “INST”.

O :98C: :PREP// Preparation Date/Time YYYYMMDDHHMMSS

Date/Time GSD prepared Message.


M :20C: :POOL// Pool Reference Number(GSD Reference Number of the Obligation to be Cleared) (OID)

16x Transaction ID 11 19 29 A/N GSD Reference Number of the Obligation to be Cleared (OID).



O :20C: :PREV// Previous ReferenceNumber (Previous GSD Obligation Reference Number) (OID)

16x GSD Previous Reference Number of the Obligation to be Cleared (OID). (No current GSD field.)



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42










O :20C: :RELA// Related ReferenceNumber (Original GSD Obligation Reference Number) (OID)

16x Original TID 11 130 140 A/N Original Obligation Reference Number (OID).


M :16R: STAT Mandatory RepeatBlock Start

M :25D: :SETT/ GSCC/CLOB Status - Cleared Obligation Record

4!c GSD to generate, when an Obligation has been marked as Cleared.





4*35x CUSIP 9 41 49 A/N CUSIP is always preceded by the ISO two character Country Code "/US/".

M :36B: :SETT// FAMT/ Quantity of Financial Instrument to be Settled

15d QuantityCleared

18 56 73 A/N

O :19A: :SETT// USD Settlement Amount 15d Amount Cleared

18 74 91 A/N Amount is always preceded by the ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory - different field sizes.

M :97B: :SAFE/ GSCC/PART/ Safekeeping Account(GSD Participant ID)

35x Participant ID 4 30 33 A/N Four-character GSD Participant ID.

M :22F: :SETR/ /PAIR Type of SettlementTransaction - Pair Off or

4!c ClearanceMethod

1 110 110 A/N Clearance Method = P

GSCC/BTIN Type of SettlementTransaction - Bought In or

Clearance Method = B

GSCC/HDFM Type of SettlementTransaction - Held Fail Matured or

Clearance Method = H

GSCC/MATR Type of SettlementTransaction – Matured or

Clearance Method = M


43










GSCC/CLRD Type of SettlementTransaction - Cleared or

Clearance Method = C

GSCC/FLRN Type of SettlementTransaction – Netted

Clearance Method = F


4!c TransactionCode

1 40 40 A/N Transaction Code = L

DELI Deliver Transaction Code = S

M :22H: :PAYM// APMT Payment Indicator - Vs. Payment

4!c All Cleared Obligations will be vs. Payment.

M :98A: :SETT// Settlement Date YYYYMMDD Mandatory SWIFT field for MT548.

O :70E: :SPRO// GSCC Settlement InstructionProcessing Narrative

(10*35x) Include below fields on all Cleared Obligation Messages.

/RSTTFAMT Quantity of Financial Instrument Remaining to be Settled

15d RemainingClear Quantity

18 92 109 A/N Populate if the obligation is partially Cleared.

/RSMTUSD Remaining SettlementAmount of the trade to be settled

15d Populate if the obligation is partially Cleared. (No current GSD field.) Amount is always preceded by the ISO three character Currency Code “USD” (USD used for all GSD domestic activity). Decimal comma mandatory.)

/DCDFUSD Debit Clearance Difference or

15d Cr/Dr Indicator 1 129 129 A/N Where Clearance Difference on Maturity = Debit, use qualifier "DCDF". Amount is always preceded by the ISO three character Currency Code “USD” (USD used for all GSD domestic activity). Decimal comma mandatory.

Clearance Difference on Maturity

18 111 128 A/N Decimal comma mandatory.


44










/CCDFUSD Credit ClearanceDifference or

Cr/Dr Indicator 1 129 129 A/N Where Clearance Difference on Maturity = Credit, use qualifier "CCDF". Amount is always preceded by the ISO three character Currency Code “USD” (USD used for all GSD domestic activity). Decimal comma mandatory.

Clearance Difference on Maturity


/DFMKUSD Debit Fail Mark due to Netting or

15d

Cr/Dr Indicator 1 177 177 A/N Where Fail Mark = Debit, use qualifier "DFMK". Amount is always preceded by the ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory.

Fail Mark 18 159 176 A/N Decimal comma mandatory.

/CFMKUSD Credit Fail Mark due to Netting

Cr/Dr Indicator 1 177 177 A/N Where Fail Mark = Credit, use qualifier "CFMK". Amount is always preceded by the ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory.

Fail Mark 18 159 176 A/N Decimal comma mandatory.

/OPARFAMT Opening Par 15d Opening Par 18 141 158 A/N Decimal comma mandatory. This field will appear on all cleared obligations.


45










/OPSTUSD Opening SettlementAmount

15d Populate if security partially Cleared. Decimal comma mandatory. This field will appear on all cleared obligations. (No current GSD field.) Amount is always preceded by the ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory.



46




3.3. MT590 Message

This section includes the general format and detailed field specifications for the MT590 Message. The message type will be used for Advice of Charges, Interest and Other Adjustments as described in the MT590 Overview in this document.

This message type supports Coupon/Maturity Payments for Outstanding Failed Obligations and Repo Trades, as well as the debits or credits associated with per trade forward margin. The following messages will be supported:

• Repo Coupon Payment

• Fail Coupon Payment

• Repo Maturity Payment

• Fail Maturity Payment

• Per Trade Forward Margin

3.3.1. MT590 Coupon/Maturity Payment/Per Trade Forward Margin

The section is structured as follows:


• 3.3.1.b Message Mapping to Record Type 38 (Repo Coupon Payment)

• 3.3.1.c Message Mapping to Record Type 39 (Per Trade Forward Margin)

The MT590 is an older SWIFT Message Type, which contains tags with concatenated data fields. In addition, the tags on this message have specific definitions, and contain no qualifiers or sub-qualifiers. Because of this, we have removed from the layout, the columns supporting qualifier/sub-qualifier information, and added columns reflecting the “subfield” components of concatenated tags/fields.



47




MT590 COUPON/MATURITY PAYMENT/PER TRADE FORWARD MARGIN GENERAL FORMAT

M/O

Tag Field Description Data Field Format

Subfield Description

Subfield Format

Message Header

M Password 12!c M Sender 8!c M Message Type 3!n/3!n/4!c M Receiver 8!c Message

M :20: Transaction Reference Number (GSD Reference Number) (TID or OID)

16x

M :21: Related Reference (Participant External Reference Number)

16x

M :25: Account Identification (Participant ID) 35x This tag/field includes the following subfields: Value Date YYMMDD Currency Code 3!a

M :32C: Value Date, Currency Code, Amount Credited or

6!n3!a15d

Amount 15d This tag/field includes the following subfields: Value Date YYMMDD Currency Code 3!a

:32D: Value Date, Currency Code, Amount Debited

6!n3!a15d

Amount 15d M :71B: Details of Charges (6*35x) /GSCC/DRCR/CPRP/US/ or 20x /GSCC/DRCR/CPFL/US/ or /GSCC/DRCR/MARP/US/ or /GSCC/DRCR/MAFL/US/ or /GSCC/DRCR/FMFF/US/ and /SECO 16x


48




MT590 COUPON/MATURITY PAYMENT/PER TRADE FORWARD MARGIN FIELD SPECIFICATIONS

Block/Tag Notes

Password 12!c Password Fields will be blank filled on all MT590 Messages. Sender 8!c GSCCTRRS will always be the sender of the MT590 messages in this




MESSAGE

20 Transaction Reference Number To uniquely identify this message, this mandatory field will be populated with the GSD assigned Reference Number (TID or OID) of the trade or obligation that generated this entry. Where the advice refers to a trade, as in the case of a financing trade, a TID will be reflected. Where the advice refers to an obligation, as in the case of a fail, an OID will be reflected.

e.g., :20:001243-5607

21 Related Reference This mandatory field will be populated with the Participant’s X-Ref Number (External Reference Number) of the trade that has generated this entry. Note: Where an MT590 reflects a debit or credit associated with a fail, GSD will generate a participant X-

ref. e.g., :21:987ABC1

25 Account Identification This tag contains the four character GSD Participant ID.

e.g., :25:9661

32C (32D) Date and Amount This field specifies the Value Date, Currency Code and Amount Credited (or Debited) in this entry. Where the entry is a Credit, the “C” Format will be used for Tag 32 (32C). Where it is a Debit, the “D” format will be used for Tag 32 (32D). The Value Date Subfield provides the Date of the Payment to be made (to or from the Participant). The Currency Code is the ISO three character Currency Code, which always precedes an amount field. For GSD domestic business, this will always contain the value “USD”. The amount subfield is a 15 character decimal field that includes the Amount of the Payment. Note: The SWIFT Format accommodates 15d characters (with decimal). This is a change from the 18

character field on the GSD Proprietary Layouts. e.g., :32C:050215USD10000,

71B Details of Charges This field specifies the type of record being sent which indicates the nature of the cash entry being made to the Participant’s Account. • /GSCC/DRCR/CPRP/US/ - This set of qualifiers is used to indicate that the Debit/Credit

Entry is for a Coupon Payment on an outstanding or maturing Repo Trade. The qualifiers will be followed by the Security Identifier. CUSIP will be used for all domestic business. The CUSIP must be preceded by “/US/”.

• /GSCC/DRCR/CPFL/US/ - This set of qualifiers is used to indicate that the Debit/Credit


49




MT590 COUPON/MATURITY PAYMENT/PER TRADE FORWARD MARGIN FIELD SPECIFICATIONS

Block/Tag Notes

Entry is for a Coupon Payment on an outstanding or maturing Fail. The qualifiers will be followed by the Security Identifier. CUSIP will be used for all domestic business. The CUSIP must be preceded by “/US/”.

• /GSCC/DRCR/MARP/US/ - This set of qualifiers is used to indicate that the Debit/Credit Entry is for a Maturity Principal Payment on an outstanding Repo. The qualifiers will be followed by the Security Identifier. CUSIP will be used for all domestic business. The CUSIP must be preceded by “/US/”.

• /GSCC/DRCR/MAFL/US/ - This set of qualifiers is used to indicate that the Debit/Credit Entry is for a Maturity Principal Payment on an outstanding Fail. The qualifiers will be followed by the Security Identifier. CUSIP will be used for all domestic business. The CUSIP must be preceded by “/US/”.

• /GSCC/DRCR/FMFF/US/ - This qualifier is used to indicate that the entry is for Per Trade Forward Margin. The qualifiers will be followed by the Security Identifier. CUSIP will be used for all domestic business. The CUSIP must be preceded by “/US/”. Note: While the Forward Margin and Forward Finance Amounts are reflected as two separate Debits

or Credits on the GSD Proprietary MRO (Machine Readable Output), they are aggregated and reflected as one Amount (Debit/Credit) in Tag 32 on the MT590 Per Trade Forward Margin Record.

• /SECO - (Secondary External Reference) - This subfield is optional, but will be reflected on Repo related Records where originally provided by the submitting Participant.

e.g., :71B:/GSCC/DRCR/CPRP/US/912828CM0 /SECO987ABC2


50




MT590 REPO COUPON/MATURITY PAYMENT MESSAGE MAPPING






Message Header

M Password 12!c GSD will blank fill Password Field on all outgoing Messages.




age Mess

M :20: Transaction ReferenceNumber (GSD Reference Number) (TID or OID)

16x Transaction ID 11 64 74 A/N GSD Transaction/Obligation Reference Number (TID or OID). TID will be used for repo transaction notices and OID will be used for fail related notices.

M :21: Related Reference(Participant External Reference Number)

16x ExternalReference Number

16 44 59 A/N Participant External ReferenceNumber.

M :25: Account Identification(Participant ID)


M :32C: Value Date, Currency Code, Amount Credited or

6!n3!a15d Credit/Debit 1 93 93 A/N If Credit, use “C” Format.

Date No current GSD field.

PaymentAmount

18 75 92 A/N Amount is always preceded by ISO Currency Code “USD” (“USD” used for all GSD domestic activity). Decimal comma mandatory-different field sizes.

:32D: Value Date, Currency Code, Amount Debited

6!n3!a15d Credit/Debit 1 93 93 A/N If Debit, use “D” Format.


PaymentAmount

18 75 92 A/N Amount is always preceded by ISO three character Currency Code "USD" (USD used for all GSD domestic activity). Decimal comma mandatory-different field sizes.

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51




MT590 REPO COUPON/MATURITY PAYMENT MESSAGE MAPPING






M :71B: Details of Charges (6*35x)

/GSCC/DRCR/CPRP/US/ or

20x CUSIPNumber

9 29 37 A/N Used for Coupon Interest on outstanding Repo (Repo Coupon Payment).

/GSCC/DRCR/CPFL/US/ or

CUSIPNumber

9 29 37 A/N Used for Coupon Interest on outstanding Fail (Fail Coupon Payment).

/GSCC/DRCR/MARP/US/ or

CUSIPNumber

9 29 37 A/N Used for Maturity Principal on outstanding Repo (Repo Maturity Payment).

/GSCC/DRCR/MAFL/US/ and

CUSIPNumber

9 29 37 A/N Used for Maturity Principal on outstanding Fail (Fail Maturity Payment).

/SECO 16x SecondaryExternal Reference Number

16 94 109 A/N Sub-qualifier for Secondary ReferenceNumber will be populated where provided by Participant on Repo Trades.

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52




MT590 PER TRADE FORWARD MARGIN MESSAGE MAPPING






Message Header





Message

M :20: Transaction ReferenceNumber (GSD Reference Number) (TID)

16x Transaction ID 11 39 49 A/N GSD Transaction Reference Number (TID) will be used for trade related notices.

M :21: Related Reference(Participant External Reference Number)

16x ExternalReference Number

16 19 34 A/N Participant External Reference Number.



M :32C: Value Date, Currency Code, Forward Margin and Forward Finance Amount Credited or

6!n3!a15d Credit/Debit 1 111/130

111/ 130

A/N If Sum of Forward Margin (Credit/Debit) and Forward Finance (Credit/Debit) is a Credit, “C” Format will be used. Amount is always preceded by ISO three character Currency Code "USD” (USD used for all GSD domestic activity). Decimal comma mandatory-different field sizes.


ForwardMargin

18 93 110 A/N Map Sum of Forward Margin (Credit/Debit) and Forward Finance (Credit/Debit) to 32C where sum is a Credit value.

ForwardFinance

18 112 129 A/N

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53




MT590 PER TRADE FORWARD MARGIN MESSAGE MAPPING






:32D: Value Date, Currency Code, Forward Margin and Forward Finance Amount Debited

6!n3!a15d Credit/Debit 1 111/130

111/ 130

A/N If Sum of Forward Margin (Credit/Debit) and Forward Finance (Credit/Debit) is a Debit, “D” Format will be used. Amount is always preceded by ISO three character Currency Code "USD” (USD used for all GSD domestic activity). Decimal comma mandatory-different field sizes.


ForwardMargin

18 93 110 A/N Map sum of Forward Margin (Credit/Debit) and Forward Finance (Credit/Debit) to 32D where sum is a Debit value. Decimal comma mandatory-different field sizes.

ForwardFinance

18 112 129 A/N

M :71B: Details of Charges (6*35x)

/GSCC/DRCR/FMFF/US/ and

20x Used for Per Trade Forward Margin/Forward Finance. (No GSD field available for the CUSIP).

/SECO 16x SecondaryExternal Reference Number

16 64 79 A/N Sub-qualifier for Secondary Reference Number will be populated, where provided by Participant on Repo Trades.

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3.4. MT950 Message

The MT950 Statement Message is similar to a Bank Statement, reflecting Beginning Balances, entries or Statement Lines, and resulting Ending Balances. This message will be used to support both the Participant Net Summary and Security Net Summary, by reflecting Beginning and Ending Balances, and all Cash and/or Position Components for Funds Settlement/Reconciliation purposes.

Each Statement Line or entry is reflected on the message as a concatenation of data pertaining to that entry (such as Date, Reference Numbers, Amounts, if the entries are Debits or Credits, etc.). The statement line tag/field will be repeated as many times as necessary in a message to reflect all components of each report applicable to a Participant on a given day.

3.4.1. MT950 Participant Net Summary

This section contains the specification for the Participant Net Summary, which reflects all components of a Participant’s Funds Settlement Obligation with GSD. It will, at this point, be sent to the Participant once per day. The Participant Net Summary Specification is organized into the following sections:



3.4.2. MT950 Security Net Summary

As indicated previously in this document, the MT950 Security Net Summary is an “aggregation” of two records that are currently generated by GSD in batch: Record Types 20 and 28 (Security Net Summary and Forward Position Summary). The Participant will receive one MT950 Security Net Summary Record for each security in which it has Activity for netting eligible securities for a given day. It should also be noted that, because the MT950 is a statement vehicle, the Beginning and Ending balances must tie in. Because of this, GSD is forcing these balance fields to be zeroed out by including offsetting entries/lines on the statement. All Security Net Summary Statements will, therefore, have Beginning and Ending Credit Balances of “0,”.

The Security Net Summary Section is organized as follows:


• 3.4.2.b Message Mapping to Record Types 20 and 28



55




MT950 PARTICIPANT NET SUMMARY GENERAL FORMAT

M/O


Subfield Description Subfield Format

Message Header

M Password 12!c M Sender 8!c M Message Type 3!n/3!n/4!c M Receiver 8!c Message

This tag/field includes the following subfields: Report Type 1!a Sequence Number 3!c Participant Number 4!c

M :20: Transaction Reference Number

16x (1!a3!c4!c1!a)

Source Business 1!a M :25: Account Identification

(Participant ID) 35x

M :28C: Statement Number 5n This tag/field includes the following subfields: Debit/Credit Mark 1!a Date YYMMDD Currency Code 3!a

M :60F: Opening Balance 1!a6!n3!a15d

Amount 15d This tag/field is a repeating sequence within the message, for each entry (transaction type) on the statement, and includes the following subfields: Date YYMMDD Debit/Credit Mark 2a Amount 15d Transaction Type 1!a3!c Account Owner Reference 16x Account’s Servicing Institution Reference

[//16x]

O :61: Statement Line 6!n2a15d1!a3!c 16x[//16x] [34x]

Supplementary Details [34x]

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56




MT950 PARTICIPANT NET SUMMARY GENERAL FORMAT

M/O




This tag/field includes the following subfields: Debit/Credit Mark 1!a Date YYMMDD Currency Code 3!a

M :62F: Closing Balance 1!a6!n3!a15d

Amount 15d

57




MT950 PARTICIPANT NET SUMMARY FIELD SPECIFICATIONS

Block/Tag Notes

Message Header




3!n/3!n/4!c The first three characters indicate to the recipient the message type (950); the second three positions reflect the version of the message interface (currently always 000); the last four characters indicate the issuer code to be used in the message (GSCC).


MESSAGE

20 Transaction Reference Number This field contains GSD’s Sender’s Message Reference for each Participant’s Funds Statement. In order to ensure uniqueness of the Reference Number, and to enable the Participant to identify the report being sent, GSD will generate a Transaction Reference Number for the Participant Net Summary, which is comprised of the following four (concatenated) subfields: • Report Type - The value “P” will indicate that this MT950 Record reflects the Participant

Net Summary Report. • Sequence Number - A three character Sequence Number will be assigned by GSD. • Participant Number - This field will be populated with a four character GSD Participant ID. • Source Business – A one character code will identify the business source of the

information. Currently it will always be “G” representing Government DVP Business (GSD). e.g., :20:PAB19661G

25 Account Identification This tag contains a four character GSD Participant ID.

e.g., :25:9661

28C Statement Number GSD will generate a five character numeric Statement Number for each Participant Summary Report. The five character Statement Number will be used as the basis for the GSD Transaction Reference Numbers found in each line of this statement (Tag 61).

e.g., :28C:12345

60F Opening Balance The Opening Balance Tag/Field is a concatenation of the following subfields: • Debit/Credit Mark (Type of Entry) - This field will reflect either “D” for Debit Balances or

“C” for Credit Balances. • Date - GSD will populate this subfield with the Date the funds must be paid. • Currency Code - A three character ISO Currency Code must precede all amounts. For the

purposes of GSD domestic business “USD” will always be used.

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58





Block/Tag Notes

• Amount - This field will be populated with an 11 character Opening Balance (and a mandatory decimal comma).

e.g., :60F:C050215USD6327563,

61 Statement Line The Statement Line Tag/Field is a repeating field, which contains the details of each component of a Participant’s Funds Settlement Statement. Each line represents an entry for each individual Funds Settlement Component and all pertinent information related to each component. The data is presented as a (concatenated) continuous string of data made up of the following subfields: • Date - This subfield will contain the Date of the entry (the date payment is required). • Debit/Credit Mark (Type of Entry) - This field will contain either a “D” in the case of a

Debit entry or a “C” in the case of a Credit to the Participant’s Funds Settlement Balance. • Amount - This field will contain the Debit/Credit Amount of the specific Funds Settlement

Component identified in the Transaction Type Identification subfield (that follows). • Transaction Type Identification Code - This four character code identifies the Funds

Settlement Component reported in each statement line. The following codes will be used for each component/statement line of the Participant Net Summary Report: − FTAP - Next Day TAP − FFMK - Fail Mark − FCPN - Coupon Payment − FFLM - Matured Items − FCDF - Clearance Difference − FMAD - Miscellaneous Adjustments − FFMA - Forward Mark Allocation − FFMR - Forward Mark Allocation Return − FCPD - Collected/Paid − FINV - Invoice − FDDF - Delivery Differential − FGCF - GCF − FMGN - Margin Interest

Note: Where the Transaction Type Identification Code represents a transaction/entry generated by GSD (the Account Servicing Institution), the first character of the code must be “F”.

• Reference for the Account Owner - This required subfield will always be populated with the value “NONREF”.

• Account’s Servicing Institution Reference - This subfield will be populated with an eight character Reference Number. Positions one through five of this field will contain the Statement Reference Number found in Tag 28C. Positions six through eight will contain a GSD generated Sequence Number to ensure the entry has a unique Reference Number. The data in this subfield is preceded by a double slash “//”.

• Supplementary Details (optional) - This subfield is not applicable on the Participant Net Summary except on the statement line pertaining to Miscellaneous Adjustments


59





Block/Tag Notes

(Transaction Type Indicator Subfield = FMAD). It will potentially contain a thirty byte Miscellaneous Reason. This subfield is always preceded by a Carriage Return Line Feed (CRLF).

Note: It can be assumed that all statement line entries refer to the same currency as that of the Beginning and Ending Balances on this statement. For GSD domestic business “USD” will be the applicable currency. It should also be reiterated that the Supplementary Details Subfield is the only one separated out from the rest by a Carriage Return Line Feed (CRLF). All other subfields in this tag are concatenated.

e.g., :61:050215D1500000,FTAPNONREF//12345AA1

62F Closing Balance The Closing Balance, like the Opening Balance, is a concatenation of the following fields: • Debit/Credit Mark (Type of Entry) - This field will reflect either “D” for Debit Balances or

“C” for Credit Balances. • Date - GSD will populate this subfield with the Date the funds must be paid. • Currency Code - A three character ISO Currency Code must precede all amounts. For the

purposes of GSD domestic business “USD” will always be used. • Amount - This field will be populated with an 11 character “Total Funds Obligation” (and a

mandatory decimal comma). e.g., :62F:C050215USD1123575,


60




MT950 PARTICIPANT NET SUMMARY MESSAGE MAPPING






Message Header




M Receiver 8!c Participant ID 4 19 22 A/N Participant ID (four characters).

Message

M :20: Transaction ReferenceNumber

16x (1!a3!c4!c1!a)

GSD Sender’s Message Reference for Funds Statement-This field should be used by the recipient to determine the type of output from GSD. For the Participant Net Summary, GSD will generate a Transaction Reference Number comprised of the following four fields: Report Type = P (Participant summary) Sequence Number Participant Number Source Business = G for Government DVP Business

Report Type 1!a P = Participant Summary

Sequence Number 3!c Three character sequence number assigned by GSD.

Participant Number 4!c Participant ID 4 19 22 A/N Four character GSD Participant ID.

Source Business 1!a Source Business = G for Government DVP Business.



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61










M :28C: Statement Number 5n GSD to create Statement Number. The five character Statement Number will be used as the basis for the Transaction Reference Numbers for each line of this statement.

M :60F: Opening Balanceincludes the following fields:

1!a6!n3!a15d The Opening Balance Field is a concatenation of the remaining fields in this tag sequence.

D or C Debit/Credit Mark 1!a Cr/Dr Indicator 1 40 40 A/N Credit = “C” and Debit = “D”.

Date YYMMDD GSD Systems to generateProcessing/Statement Date.

USD Currency Code 3!a For US Business the ISO Currency Code = USD.

Amount 15d OpeningBalance


O :61: Statement Line 6!n2a15d1!a3!c16x[//16x]

[34x]

Each statement line (:61:) is a continuous string of data, concatenating all the fields in each repeating sequence. Only the Supplementary Details Subfield, where populated, should always be preceded/separated by a Carriage Return Line Feed (CRLF).


D or C Debit/Credit Mark 2a Cr/Dr Indicator 1 52 52 A/N Credit = "C" and Debit = "D".

Amount 15d Next Day TAP 11 41 51 A/N Decimal comma mandatory.

FTAP Transaction TypeIdentification Code

1!a3!c Next Day Tap = "FTAP". “F” is always used for the first character of the code where institution generates entry.

Account OwnerReference

16x “NONREF” will be used to populate this field.


62










// Account’s ServicingInstitution Reference

[//16x] GSD to generate unique Reference Number for each Funds Settlement Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.

Supplementary Details [34x] NA This subfield is always preceded/separated by a Carriage Return Line Feed (CRLF).


[34x]

Each statement line (:61:) is a continuous string of data, concatenating all the fields in each repeating sequence. Only the Supplementary Details Subfield, where populated, should always be preceded/ separated by a Carriage Return Line Feed (CRLF).


D or C Debit/Credit Mark 2a Cr/Dr Indicator 1 64 64 A/N Credit = “C” and Debit = “D”.

Amount 15d Fail Mark 11 53 63 A/N Decimal comma mandatory.

FFMK Transaction TypeIdentification Code

1!a3!c Fail Mark = "FFMK".




63














[34x]




Amount 15d CouponPayment


FCPN Transaction TypeIdentification Code

1!a3!c Coupon Payment = "FCPN".




64














[34x]




Amount 15d Fails thatMatured


FFLM Transaction TypeIdentification Code

1!a3!c Matured Items = "FFLM".




65














[34x]




Amount 15d ClearanceDifference


FCDF Transaction TypeIdentification Code

1!a3!c Clearance Difference = "FCDF".




66














[34x]




Amount 15d MiscellaneousAdjustments


FMAD Transaction TypeIdentification Code

1!a3!c Miscellaneous Adjustments = "FMAD".




67












Supplementary Details [34x] MiscellaneousReason

30 113 142 A/N Reason for Miscellaneous Adjustment-This subfield is always preceded/separated by a Carriage Return Line Feed (CRLF).


[34x]




Amount 15d Forward MarkAllocation


FFMA Transaction TypeIdentification Code

1!a3!c Forward Mark Allocation = "FFMA".




68











[//16x] GSD to generate unique Reference Number for each Funds Settlement Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a Sequence Number to make the Transaction Reference unique in the statement.



[34x]




Amount 15d Forward MarkAllocation Return


FFMR Transaction TypeIdentification Code

1!a3!c Forward Mark Allocation Return = "FFMR".




69














[34x]




Amount 15d Collected/Paid 11 167 177 A/N

FCPD Transaction TypeIdentification Code

1!a3!c Collected/Paid = "FCPD".




70











[//16x] GSD to generate unique Reference Number for each Funds Settlement Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a Sequence Number to make the Transaction Reference unique in the statement.



[34x]




Amount 15d Invoice 11 179 189 A/N Decimal comma mandatory.

FINV Transaction TypeIdentification Code

1!a3!c Invoice = “FINV”.




71














[34x]




Amount 15d DeliveryDifferential


FDDF Transaction TypeIdentification Code

1!a3!c Delivery Differential = "FDDF".




72














[34x]



D or C Debit/Credit Mark 2a Cr/Dr Indicator Credit = “C” and Debit = “D”.

Amount 15d Decimal comma mandatory.

FGCF Transaction TypeIdentification Code

1!a3!c FGCF (No current GSD field.)




73














[34x]




Amount 15d MarginInterest


FMGN Transaction TypeIdentification Code

1!a3!c Margin Interest = "FMGN".




74













M :62F: Closing Balance (BookedFunds)

1!a6!n3!a15d

D or C Debit/Credit Mark 1!a Cr/Dr Indicator 1 202 202 A/N Credit = "C" and Debit = "C".


USD Currency Code 3!a For US Business, ISO Currency Code = USD.

Amount 15d Total FundsObligation



75




MT950 SECURITY NET SUMMARY GENERAL FORMAT

M/O



Message Header

M Password 12!c M Sender 8!c M Message Type 3!n/3!n/4!c M Receiver 8!c Message Header

This tag/field includes the following subfields: Report Type 1!a Sequence Number 2!c Security ID Type 1!c Security ID 9!c

M :20: Transaction Reference Number

16x (1!a2!c1!c9!c1!a)

Source Business 1!a M :25: Account Identification

(Participant ID) 35x

M :28C: Statement Number 5n This tag/field includes the following subfields: Debit/Credit Mark 1!a Date YYMMDD Currency Code 3!a

M :60F: Opening Balance 1!a6!n3!a15d

Amount 15d This tag/field is a repeating sequence within the message, for each entry (transaction type) on the statement, and includes the following subfields: Date YYMMDD Debit/Credit Mark 2a Amount 15d Transaction Type 1!a3!c Account Owner Reference 16x Account’s Servicing Institution Reference

[//16x]

O :61: Statement Line 6!n2a15d1!a3!c 16x[//16x] [34x]

Supplementary Details [34x]


76




MT950 SECURITY NET SUMMARY GENERAL FORMAT

M/O




Supplementary Details will contain the following subfields in the first repeating sequence Coupon Indicator 1!a Coupon Rate 15d

Settlement Price 3!a15d This tag/field includes the following subfields: Debit/Credit Mark 1!a Date YYMMDD Currency Code 3!a

M :62F: Closing Balance 1!a6!n3!a15d

Amount 15d

77




MT950 SECURITY NET SUMMARY FIELD SPECIFICATIONS

Block/Tag Notes

Message Header






MESSAGE

20 Transaction Reference Number This field contains GSD’s Sender’s Message Reference for each Participant’s Security Net Summary pertaining to activity in a specific security (CUSIP). In order to ensure uniqueness of the Reference Number, and to enable the Participant to identify the report being sent, GSD will generate a Transaction Reference Number for the Security Net Summary which is comprised of the following five (concatenated) subfields: • Report Type - The value “S” will indicate to the Participant that this MT950 Record reflects

the Security Net Summary Report. • Sequence Number - A two character Sequence Number will be assigned by GSD. • Security Identifier Type - A one character Code will be reflected to identify the Type of

Security Identifier provided. At this time, the value “1” will always be used for GSD domestic business, indicating that a CUSIP will follow.

• Security Identifier - This will always be populated with a nine character CUSIP for GSD domestic business.

• Source Business – A one character code will identify the business source of the information. Currently it will always be “G” representing Government DVP Business (GSD).

e.g., :20:S011912828CM0G

25 Account Identification This tag contains a four character GSD Participant ID.

e.g., :25:9661

28C Statement Number GSD will generate a five character numeric Statement Number for each Security Net Summary Report. A Participant will receive a separate MT950 Security Net Summary Report each day for each security in which it has activity. The five character Statement Number will be used as the basis for the GSD Transaction Reference Numbers in each line of this statement (Tag 61).

e.g., :28C:12345

60F Opening Balance It should be noted that there is no applicable Opening Balance for this report, although this is a SWIFT Required Field. Because of this, the Opening (and Closing) Balance will always be populated with a zero (“0,”) Credit Balance.


78





Block/Tag Notes

The Opening Balance Tag/Field is a concatenation of the following subfields: • Debit/Credit Mark (Type of Entry) - This field (for beginning balance) will always be

populated with “C”. • Date - This field will always be populated with the appropriate Date for the beginning of day

positions and cash entries in this report for the security identified in Tag 20. • Currency Code - A three character ISO Currency Code must precede all amounts. For the

purposes of GSD domestic business, “USD” will always be used. • Amount - This field will always be populated with “0,”.

e.g., :60F:C050215USD0,

61 Statement Line The Statement Line Tag/Field is a repeating field, which contains the details of each component of a Participant’s Security Net Summary. Each line represents an entry for each Position and Funds Activity Component for a given security. It should be noted that this statement is a combination of the Security Net Summary (Record Type 20) and the Forward Position Summary Report (Record Type 28) which are currently provided separately in Proprietary MRO (Machine Readable Output). • Date - This subfield will contain the Date of the entry (equal to the date in Tag 60F). • Debit/Credit Mark (Type of Entry) - This subfield will contain either a “D”, in the case of a

Debit entry, or a “C” in the case of a Credit. Please note that entries referring to Positions rather than cash will reflect a “D” in the case of a Participant Short (S) Position, and a “C” where the Participant is Long (L).

• Amount - This field will contain the Debit/Credit Amount of the specific Security Net Summary Component identified in the Transaction Type Identification subfield (that follows):

• Transaction Type Identification Code - This four character code identifies the Funds Settlement Component reported in each statement line. The following codes will be used for each component/statement line of each Security Summary Report (per CUSIP): − FNDP - Next Day Position − FFLP - Fail Position − FFMK - Fail Mark − FCPN - Coupon Payment − FFLM - Matured Items − FTAP - Next Day TAP − FCDF - Clearance Differences − FFAI - Fail Accrued Interest − FDDF - Delivery Differential − FFPS - Forward Position − FFAM - Forward Amount − FFWM - Forward Mark − FFMA - Forward Mark Allocation


79





Block/Tag Notes

Because the statement must balance, each sequential statement must be linked between the Ending Balance of one report to the Beginning Balance of the next. GSD will, therefore, add the following two statement lines that include offsetting Position and Cash Entries that will force the Ending Balance to zero for each security. Please ignore the statement lines including the following two codes. These are not intended as entries to be processed by Participants (they are on the message only to ensure compliance with SWIFT Requirements):

− FPOS - GSD Position Offset − FCAS - GSD Cash Offset

Note: Where the transaction type identification code represents a transaction/entry generated by GSD (the account servicing institution), the first character of the code must be “F”.

• Reference for the Account Owner - This required subfield will always be populated with the value “NONREF”.

• Account’s Servicing Institution Reference - This subfield will be populated with an eight character Reference Number. Positions one through five of this field will contain the Statement Reference Number found in Tag 28C. Positions six through eight will contain a GSD generated Sequence Number to ensure the entry has a unique Reference Number. The data in this subfield is preceded by a double slash “//”.

• Supplementary Details - This subfield will only be populated on records pertaining to non-generic CUSIPs/securities, and will only appear in the first repeating statement line of each Security Net Summary message to reflect the following information: − Coupon Indicator - This subfield indicates if the Coupon is Real “R”, or Assumed “A”. − Coupon Rate - This subfield will indicate the Coupon Rate of the security pertaining to

this Security Summary Report. − Settlement Price - This subfield will indicate the GSD Settlement Price for the given

security. The Price is always prefixed by a three character ISO Currency Code, which, for the purposes of GSD domestic business, will be “USD”.

This subfield is always preceded by a Carriage Return Line Feed (CRLF). Note: Only the first repeating statement line will reflect the Coupon Indicator, Coupon and Settlement

Price. e.g., :61:050215D1000000,FNDPNONREF//12345AA1

R3,5USD99,75

62F Closing Balance It should be noted that there is no applicable Closing Balance for this report, although this is a SWIFT Required Field. Because of this requirement, the Closing Balance will be populated with a “0,” which always will be a Credit Balance. The Closing Balance, like the Opening Balance, is a concatenation of the following fields: • Debit/Credit Mark (Type of Entry) - This field will always be populated with “C”. • Date - This field will always be populated with the appropriate Date for the beginning of day

Positions and cash entries reflected in this report for the security identified in Tag 20. • Currency Code - A three character ISO Currency Code must precede all amounts. For the

purposes of GSD domestic business, “USD” will always be used. • Amount - This field will always be populated with “0,”.

e.g., :62F:C050215USD0,


80




MT950 SECURITY NET SUMMARY MESSAGE MAPPING

SWIFT Record GSD Record Types 20 and 28 Fields M/O



Field Description Data Format GSD Field Length Start End Format Comments

Message Header



M Message Type 3!n/3!n/4!c All three fixed length subfields will be populated.

M Receiver 8!c Participant ID 4 19 22 A/N Participant ID (four characters).

Message

M :20: Transaction ReferenceNumber

16x (1!a2!c1!c9!c1!a)

GSD Sender’s Message Reference Number for Security Summary. This field should be used, by the recipient, to determine the type of output from GSD. For the Security Summary, GSD will generate a Transaction Reference Number comprised of the following five fields, specific to the Security Summary:

• Report Type = S (Security Summary)

• Sequence Number

• Security Identifier Type = "1" (1 = CUSIP)

• Security Identifier

• Source Business = G for Government DVP Business

Report Type 1!a S = Security Summary.

Sequence Number 2!c Two character sequence number assigned by GSD.

Security Identifier Type 1!c CUSIP = “1”.

Security Identifier 9!c CUSIPNumber (Record 20)

9 29 37 A/N For US business, CUSIP will be used.

3.4.2.b_MT950_Mapping_20_28_v1.1.doc (saved 6/30/2006) Section 3.4.2.b - Page 1

81









Source Business 1!a Source Business = G for Government DVP Business.


35x Participant ID 4 (Record 20)

19 22 A/N Four character GSD Participant ID.

M :28C: Statement Number 5n A Participant will receive a separate report for each security in which it has activity. A five character Statement Number will be used as the basis for the Transaction Reference Numbers for each line of this statement.

M :60F: Opening Balanceincludes the following fields:

1!a6!n3!a15d The Opening Balance Field is a concatenation of the remaining fields in this tag sequence. Beginning/Opening Balance must always by “C”, given that the Balance will always be “0,". Decimal comma mandatory.

D or C Debit/Credit Mark 1!a Credit = "C" and Debit = "D". Beginning Balance should always be “0,” For this report, “C” must be used.


USD Currency Code 3!a For US Business the ISO three character Currency Code = USD.

Amount 15d The Opening Balance will always be “0,”.


82










[34x]

Each Statement Line (:61:) is a continuous string of data, concatenating all the subfields in each repeating sequence. Only the Supplementary Details Subfield, where populated, should always be preceded/separated by a Carriage Return Line Feed (CRLF).

Note: Only the first repeating sequence will reflect the Coupon Indicator, Coupon and Settlement Price.


D or C Debit/Credit Mark 2a Long/Short Indicator (Record 20)

1 76 76 A/N Long = Credit = L = “C” Short = Debit = S = “D”

Amount 15d Next DayPosition (Record 20)

18 58 75 A/N Decimal comma mandatory-different field sizes.

FNDP Transaction TypeIdentification Code

1!a3!c Next Day Position = “FNDP”.




[//16x] GSD to generate unique Reference Number for each Security Summary Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.


83









Supplementary Details [34x] The remaining fields listed here (Coupon Indicator, Coupon and Settlement Price) will only be placed in the first repeating sequence. This subfield, where populated, will always be preceded/separated by a Carriage Return Line Feed (CRLF).

Coupon Indicator 1!a CouponIndicator (Record 28)

1 134 134 A/N Assumed = "A"Real = "R"

Coupon Rate 15d Coupon Rate (Record 28)


USD Settlement Price 3!a15d SettlementPrice Type/ Price (Record 20)

14 44 57 A/N Field prefixed with three character ISO Currency Code (USD will always be used for GSD domestic activity). Decimal comma mandatory.


[34x]

Each Statement Line (:61:) is a continuous string of data, concatenating all the fields in each repeating sequence. Only the Supplementary Details Subfield, where populated, should always be preceded/separated by a Carriage Return Line Feed (CRLF).




1 95 95 A/N Long = Credit = L = “C” Short = Debit = S = “D”


84









Amount 15d Fail Position(Record 20)


FFLP Transaction TypeIdentification Code

1!a3!c Fail Position = “FFLP”.





Supplementary Details [34x] NA This subfield, where populated, will always be preceded/separated by a Carriage Return Line Feed (CRLF).


[34x]




D or C Debit/Credit Mark 2a Cr/Dr Indicator (Record 20)

1 114 114 A/N Credit = "C" and Debit = "D".


85









Amount 15d Fail Mark(Record 20)


FFMK Transaction TypeIdentification Code

1!a3!c Fail Mark = “FFMK”.







[34x]







86









Amount 15d CouponPayment (Record 20)


FCPN Transaction TypeIdentification Code

1!a3!c Coupon Payment = "FCPN".




[//16x] GSD to generate unique Reference Number for each Security Summary Component. Reference number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.



[34x]





87











Amount 15d Fails thatMatured (Record 20)


FFLM Transaction TypeIdentification Code

1!a3!c Matured Items = “FFLM”.




[//16x] GSD to generate unique reference number for each Security Summary Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.



[34x]




88












Amount 15d Next Day TAP 18 (Record 20)

153 170 A/N Decimal comma mandatory-different field sizes.

FTAP Transaction TypeIdentification Code

1!a3!c Next Day TAP = “FTAP”.




[//16x] GSD to generate unique reference number for each Security Summary Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.



[34x]




89












Amount 15d ClearanceDifferences (Record 20)


FCDF Transaction TypeIdentification Code

1!a3!c Clearance Differences = “FCDF”.




[//16x] GSD to generate unique Reference Number for each Security Summary Component. Reference Number will be eight characters, with the first five characters coming from the Statement Number in the first sequence (:28C). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.



90










[34x]






Amount 15d Fail AccruedInterest (Record 20)


FFAI Transaction TypeIdentification Code

1!a3!c Fail Accrued Interest = “FFAI”.







91










[34x]






Amount 15d DeliveryDifferential (Record 20)


FDDF Transaction TypeIdentification Code

1!a3!c Delivery Differential = “FDDF”.






92











[34x]





1 66 66 A/N Short = Debit = L = “C” Long = Credit = S = “D”

Amount 15d ForwardPosition (Record 28)


FFPS Transaction TypeIdentification Code

1!a3!c Forward Position = “FFPS”.




93













[34x]






Amount 15d ForwardAmount (Record 28)


FFAM Transaction TypeIdentification Code

1!a3!c Forward Amount = “FFAM”.


94















[34x]






Amount 15d Forward Mark(Record 28)


FFWM Transaction TypeIdentification Code

1!a3!c Forward Mark = “FFWM”.


95















[34x]






Amount 15d Forward MarkAllocation (Record 28)



96









FFMA Transaction TypeIdentification Code

1!a3!c Forward Mark Allocation = “FFMA”.







[34x]



Note: THIS STATEMENT LINE/ENTRY (FPOS) SHOULD BE IGNORED BY THE PARTICIPANT. It is required to offset above Position information to create an Ending Balance of “0,” for this statement. DO NOT USE.


97










D or C Debit/Credit Mark 2a Debit = "D" and Credit = "C". Where sum of FNDP, FFLP, and FFPS is a Debit Amount, a “C” will be placed in this field. Where sum of FNDP, FFLP and FFPS is a Credit Amount, a “D” will be placed in this field.

Amount 15d The sum of FNDP, FFLP and FFPS is placed in this field. Decimal comma mandatory.

FPOS Transaction TypeIdentification Code

1!a3!c GSD Position Offset = “FPOS”.







98










[34x]



Note: THIS STATEMENT LINE/ENTRY (FCAS) SHOULD BE IGNORED BY THE PARTICIPANT. It is required to offset above Position information to create an Ending Balance of “0,” for this statement. DO NOT USE.


D or C Debit/Credit Mark 2a Debit = "D" and Credit = "C". Where sum of FFMK, FCPN, FFLM, FTAP, FCDF, FFAI, FDDF, FFAM, FFWM and FFMA is a Debit Amount, a “C” will be placed in this field. Where sum of FFMK, FCPN, FFLM, FTAP, FCDF, FFAI, FDDF, FFAM, FFWM and FFMA is a Credit Amount, a “D” will be placed in this field.

Amount 15d The sum of FFMK, FCPN, FFLM, FTAP, FCDF, FFAI, FDDF, FFAM, FFWM and FFMA will be placed in this field. Decimal comma mandatory.


99









FCAS Transaction TypeIdentification Code

1!a3!c GSD Money Offset = “FCAS”.




[//16x] GSD to generate unique Reference Number for each Security Summary Component. Reference Number will be eight characters, with the first five characters coming from the statement number in the first sequence (:28C:). The last three characters will be a sequence number to make the Transaction Reference unique in the statement.


M :62F: Closing Balance (Booked Funds)

1!a6!n3!a15d

D or C Debit/Credit Mark 1!a Debit = "D" and Credit = "C". “C” must always be used in this field, given that the Closing Balance will always be zero.


USD Currency Code 3!a For US Business, ISO three character Currency Code = USD.

Amount 15d Closing Balance amount will always be“0,”. Decimal comma mandatory.


100

Appendix A:

Netting Message Flows

101

INTERACTIVE MESSAGING FOR GSD PARTICIPANT SPECIFICATIONS FOR NETTING OUTPUT (V 1.1) Fixed Income

Clearing Corporation APPENDIX A: NETTING MESSAGE FLOWS

APPENDIX A: NETTING MESSAGE FLOWS

This appendix contains the following flows:

N1. Bilateral Trades Compared

N2. Trade Bound to Net

N3. Trade Comparison Only (End Of Processing Life for a "Non-Netting Eligible Trade")

N4. Buy/Sell Trade in Net (Next Day Settling Cash Trade)

N5. Buy/Sell Trade in Net (Forward Settling Cash Trade)

N6. Start Leg in Net (Next Day or Forward Settling Repo Start Leg) *

N7. Close Leg in Net (Overnight Repo Submitted On Start Leg Settlement Date) *

N8. Close Leg in Net (Forward Settling Repo Start Leg) *

N9. Close Leg in Net (Term Repo Submitted On/After Start Leg Settlement Date) *

N10. Forward Trade Pended/No Longer in Net - No Collateral Assigned to GC Trade (GC Collateral Trade Submitted for Forward Settlement) *

N11. Forward Trade Pended/No Longer in Net - Collateral Matured - No New Collateral Assigned (Term Repo Submitted On/After Start Leg Settlement Date) *

N12. Forward Trade Pended/No Longer in Net – Trade Cancelled (Term Repo Submitted On/After Start Leg Settlement Date) *

N13. Clearance Instruction

N14. Cleared Obligation

N15. Failed Obligation Netted

N16. Held Fail

N17. Broker Fail

N18. Partial Settlement (Intra-Day – Two Deliveries)

N19. Partial Settlement (Fail Portion Netted)

N20. Repo Substitution Settlement Instruction (New Collateral Provided at the Time of Initial Substitution) *

N21. Repo Substitution Notification (New Collateral Not Provided at the Time of Initial Substitution) **CHANGED*

App_A_Msg_Flows_Connect_ v1.1.doc (saved 6/30/2006) Appendix A - Page 1

102



N22. Repo Substitution Allocation (New Collateral Provided After Initial Substitution Notification) *

N23. Repo Substitution Settlement Instruction (Collateral Substituted Prior to Forward Settling Start Leg) *

N24. Fail Coupon Payment and Subsequent Clearance

N25. Fail Maturity Payment

N26. Repo Coupon Payment (Term Repo Submitted After Start Leg Settlement Date) *

N27. Repo to Maturity (Forward Settling Repo Start Leg) *

* In all Repo flows Participant A is always either the Repoing Dealer or the Inter-Dealer Broker, and Participant B is the Reversing Dealer.

Note: It should be noted that many of the flows in this document start with the GSD Comparison process. Sometimes depicting both the GSD Comparison and Netting processes may be too much detail to fit on one page. In these cases, we have used “connectors” to represent the Comparison process portion of the flows.


103



GSCCTRRS

(Match)

Participant A Participant B

1.MT515 Trade

3.MT515 Trade

2a.MT509 Trade Accepted


N1. Bilateral Trades Compared

5b.MT509

Trade Compared

5a.MT509

Trade Compared

4b.MT518 Comparison Requested



5c.MT518 Comparison Request

Cancel (due to match)

5d.MT518 Comparison Request

Cancel (due to match)

N10 N27N26N11 N12 N23

Comparison Results


104



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N2. Trade Bound to Net

5b.MT509

Trade Compared

5a.MT509

Trade Compared




GSCCTRRS(Risk)


6a.MT509

Trade Bound to Net

6b.MT509

Trade Bound to Net

Comparison Results

5c.MT518 Comparison Request Cancel

(due to match)

5d.MT518 Comparison Request Cancel

(due to match)


105



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N3. Trade Comparison Only(End of Processing Life for a "Non-Netting Eligible Trade")

5b.MT509

Trade Compared

5a.MT509

Trade Compared




GSCCTRRS(Risk)


6a.MT509

Trade Comparison Only

6b.MT509

Trade Comparison Only

Comparison Results


(due to match)


(due to match)


106



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade


N4. Buy/Sell Trade in Net(Next Day Settling Cash Trade)





5b.MT509

Trade Compared

5a.MT509

Trade Compared

GSCCTRRS(Risk)


6a.MT509

Trade Bound to Net

6b.MT509

Trade Bound to Net

Comparison Results


(due to match)


(due to match)

7a.MT509

Buy/Sell Trade in Net

7b.MT509

Buy/Sell Trade in Net


107



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N5. Buy/Sell Trade in Net(Forward Settling Cash Trade)




GSCCTRRS(Risk)


6a.MT509

Trade Bound to Net

6b.MT509

Trade Bound to Net

*7a.MT590 Per Trade Forward Margin

*7b.MT590 Per Trade Forward Margin

* Message generated nightly while GSD marks the trade to market.

5b.MT509

Trade Compared

5a.MT509

Trade Compared

Comparison Results


(due to match)


(due to match)

8a.MT509 Buy/Sell

Trade in Net

8b.MT509 Buy/Sell

Trade in Net


108



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade


N6. Start Leg in Net(Next Day or Forward Settling Repo Start Leg)






GSCCTRRS(Risk)



8a.MT509 Start Leg in Net

8b.MT509 Start Leg in Net

6a.MT509 Trade Bound to Net

6b.MT509 Trade Bound to Net

5b.MT509

Trade Compared

5a.MT509

Trade Compared

Comparison Results


(due to match)


(due to match)



109



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N7. Close Leg in Net(Overnight Repo Submitted On Start Leg Settlement Date)

5b.MT509

Trade Compared

5a.MT509

Trade Compared




GSCCTRRS(Risk)


6a.MT509

Trade Bound to Net

6b.MT509

Trade Bound to Net

7a.MT509 Close Leg in Net

7b.MT509 Close Leg in Net


(due to match)


(due to match)

Comparison Results


110



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N8. Close Leg in Net(Forward Settling Repo Start Leg)

5b.MT509

Trade Compared

5a.MT509

Trade Compared




GSCCTRRS(Risk)

Comparison Results










(due to match)


(due to match)




111



GSCCTRRS

(Match)


1.MT515 Trade

3.MT515 Trade



N9. Close Leg in Net(Term Repo Submitted On/After Start Leg Settlement Date)

5b.MT509

Trade Compared

5a.MT509

Trade Compared




GSCCTRRS(Risk)

Comparison Results








(due to match)


(due to match)




112



N10. Forward Trade Pended/No Longer in Net - No Collateral Assigned to GC Trade(GC Collateral Trade Submitted for Forward Settlement)

GSCCTRRS(Risk)







** Message generated Night of Start Leg Settlement Date - 1.

N1

Comparison Results

**8a.MT509 Forward Trade

Pended/No Longer in Net -No Collateral Assigned to GC Trade

**8b.MT509 Forward Trade

Pended/No Longer in Net -No Collateral Assigned to GC Trade


113



N11. Forward Trade Pended/No Longer in Net - Collateral Matured - No New Collateral Assigned(Term Repo Submitted On/After Start Leg Settlement Date)

GSCCTRRS(Risk)







** Message generated Night of Collateral Maturity Date - 1.

N1

Comparison Results

**8a.MT509 Forward Trade

Pended/No Longer in Net -Collateral Matured

(No New Collateral Assigned)

**8b.MT509 Forward Trade

Pended/No Longer in Net -Collateral Matured

(No New Collateral Assigned)


114



N12. Forward Trade Pended/No Longer in Net - Trade Cancelled(Term Repo Submitted On/After Start Leg Settlement Date)

GSCCTRRS(Risk)




GSCCTRRS

(Match)

11b.MT518 Cancel Requested

9a.MT509 Cancel Accepted

9b.MT518 Cancel Requested

11a.MT509 Cancel Accepted

8.MT515 Cancel

10.MT515 Cancel

Participant AGSCCTRRS(Risk)

Participant B

13a.MT509 Forward TradePended/No Longer inNet-Trade Cancelled

13b.MT509 Forward TradePended/No Longer inNet-Trade Cancelled

12b.MT509 Trade Cancelled

12a.MT509 Trade Cancelled

Cancel Details




N1

Comparison Results


115



GSCCTRRS

(Match)

Participant A

Trades

N13. Clearance Instruction

Broker C

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)

Participant A Bank Participant B

Trades

Comparison Results

Netting Position Results

1a.MT548 Clearance Instruction

(Next Day)

1b.MT548 Clearance Instruction

(Next Day)

Clearance Instructions

Participant B

Trades

AssumptionA = Deliverer of Securities to GSDB = Receiver of Securities from GSDA's delivery to GSD is bound to B's receive from GSDC = Broker Participant - with no Netting Obligation due to flat position


116



GSCCTRRS

(Match)

Participant A

Trades

N14. Cleared Obligation

Broker C

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)


GSCCTRRS

(Clearance)

Participant B

Trades

1a.MT548 Clearance Instruction (Next Day)

1b.MT548 Clearance Instruction (Next Day)


2b.MT548 Cleared Obligation

(Cleared)

Comparison Results


Clearance Results

Participant A

2a.MT548 Cleared Obligation

(Cleared)


Participant B

Trades


117



GSCCTRRS

(Match)

Participant A

Trades

N15. Failed Obligation Netted

Participant B Broker C

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)


GSCCTRRS

(Clearance)Participant B

Trades



Trades

Comparison Results



Clearance Results

Participant A2a.

MT548 Cleared Obligation(Netted)


(Netted)

GSCCTRRS(Risk)

Failed Obligation



118



GSCCTRRS

(Match)

Participant A

Trades

N16. Held Fail


GSCCTRRS(Risk)

GSCCTRRS

(Clearance)



GSCCTRRS

(Clearance)

Participant B

Trades



Trades

Comparison Results



*2b.MT548 Clearance Instruction

(Held Fail)

* Participant A delivers securities to GSD late in the day. GSD is unable to deliver to Participant B.

Clearance Results

Participant A

*2a.MT548 Cleared Obligation

(Cleared)


119



GSCCTRRS

(Clearance)

Bank

N17. Broker Fail

GSCCTRRS(Risk)

Participant A Participant B2a.

MT548 Cleared Obligation(Netted)


(Netted)

Fails

Failed Obligation


(Broker Fail)


(Broker Fail)


120



GSCCTRRS

(Match)

Participant A

Trades

N18. Partial Settlement (Intra-Day - Two Deliveries)

Participant B

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)


GSCCTRRS

(Clearance)


Trades





(Cleared)


(Cleared)

Comparison Results



(Cleared)


(Cleared)

Clearance Results


121



GSCCTRRS

(Match)

Participant A

Trades

N19. Partial Settlement (Fail Portion Netted)

Participant B

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)


GSCCTRRS

(Clearance)


Trades


(Next Day)


(Next Day)


*2a.MT548 Cleared Obligation

(Cleared)

*2b.MT548 Cleared Obligation

(Cleared)

Comparison Results


**3a.MT548 Cleared Obligation

(Netted)

**3b.MT548 Cleared Obligation

(Netted)

Clearance Results

* Cleared due to partial settlement.** Remaining partial settlement.

GSCCTRRS(Risk)

FailedObligation


122



GSCCTRRS

(Match)


1.Repo Sub Info (not via MT515)

2a.MT518 Repo Substitution Details

2b.MT518 Repo Substitution Details


3a.MT509 Repo Sub Processed

N20. Repo Substitution Settlement Instruction(New Collateral Provided at the Time of Initial Substitution)

3b.MT509 Repo Sub Processed

GSCCTRRS(Risk)

GSCCTRRS

(Clearance)



(Receive Old Collateral)


(Deliver Old Collateral)

Substitution Details


6a.MT548 Cleared Obligation(Received Old Collateral)

6b.MT548 Cleared Obligation(Delivered Old Collateral)

8b.MT548 Cleared Obligation(Received New Collateral)

8a.MT548 Cleared Obligation(Delivered New Collateral)


(Deliver New Collateral)


(Receive New Collateral)

Note: This flow assumes a collateral substitution, not a rate change nor a General Collateral substitution prior to Repo Start.

Bank

ClearanceInstructions

ClearanceResults

4a.MT509 TradeBound to Net

4b.MT509 TradeBound to Net


123



GSCCTRRS

(Match)







N21. Repo Substitution Notification(New Collateral Not Provided at the Time of Initial Substitution)


GSCCTRRS(Risk)

GSCCTRRS

(Clearance)




Bank


Clearance Results


(Receive Old Collateral)


(Deliver Old Collateral)

6a.MT548 Cleared Obligation(Received Old Collateral)

6b.MT548 Cleared Obligation(Delivered Old Collateral)

4a.MT509 Trade Bound

to Net

4b.MT509 Trade Bound

to Net

*CHANGED*


124



N22. Repo Substitution Allocation(New Collateral Provided After Initial Substitution Notification)

GSCCTRRS

(Clearance)


Bank


Clearance Results

6a.MT548 Cleared Obligation(Delivered New Collateral)

6b.MT548 Cleared Obligation(Received New Collateral)


(Receive New Collateral)


(Deliver New Collateral)

GSCCTRRS

(Match)








GSCCTRRS(Risk)



4a.MT509 Trade Bound

to Net

4b.MT509 Trade Bound

to Net


125



N1

N23. Repo Substitution Settlement Instruction(Collateral Substituted Prior to Forward Settling Start Leg)

GSCCTRRS(Risk)


GSCCTRRS

(Match)




GSCCTRRS(Risk)

SubstitutionDetails

Repo Sub Info(not via MT515)

8a.MT518 Repo Sub Details

8b.MT518 Repo Sub Details









Comparison Results






126



N24. Fail Coupon Payment and Subsequent Clearance

AssumptionA = Deliverer of Securities to GSDB = Receiver of Securities from GSDA's delivery to GSD is bound to B's receive from GSD.C = Broker Participant - with no Netting Obligation due to flat position

GSCCTRRS

(Match)

Participant A

Trades


GSCCTRRS(Risk)

GSCCTRRS

(Clearance)Participant A

Bank

Participant B

Trades

Trades

Comparison Results


1a.MT548 Clearance

Instruction(Next Day)


GSCCTRRS

(Clearance)

Participant A

Clearance Results

Participant B

GSCCTRRS

(Funds)

1b.MT548 Clearance

Instruction(Next Day)

2a.MT590 Fail

Coupon Payment

2b.MT590 Fail

Coupon Payment

Pending CashMovements

Participant BParticipant AGSCCTRRS(Risk)

Failed Obligation3b.

MT548 ClearedObligation (Netted)

3a.MT548 Cleared

Obligation (Netted)


127



N25. Fail Maturity Payment

AssumptionA = Deliverer of Securities to GSDB = Receiver of Securities from GSDA’s delivery to GSD is bound to B’s receive from GSD.C = Broker Participant - with no Netting Obligation due to flat position

GSCCTRRS

(Match)

Participant A

Trades


GSCCTRRS(Risk)

Trades

Trades

Comparison Results


GSCCTRRS

(Clearance)


GSCCTRRS

(Funds)1a.

MT590 FailCoupon Payment

1b.MT590 Fail

Coupon Payment


Participant BParticipant A

3b.MT548 Cleared

Obligation (Matured)

3a.MT548 Cleared

Obligation (Matured)

2a.MT590 Fail

Maturity Payment

2b.MT590 Fail

Maturity Payment


128




** Message generated Night of Coupon Date - 1.

N26. Repo Coupon Payment(Term Repo Submitted After Start Leg Settlement Date)

GSCCTRRS(Risk)






GSCCTRRS

(Funds)


Participant A Participant B**8a.

MT590 RepoCoupon Payment

**8b.MT590 Repo

Coupon Payment

N1

Comparison Results


129




** Generated on the night of Maturity/Payable Date -1.

N27. Repo to Maturity(Forward Settling Repo Start Leg)

GSCCTRRS(Risk)






GSCCTRRS

(Funds)




**10b.MT590 Repo Coupon Payment

**10a.MT590 Repo Coupon Payment

**9a.MT590 Repo Maturity Payment

**9b.MT590 Repo Maturity Payment


N1

Comparison Results


130

Appendix B: Netting Message Timing Matrix

131


Clearing Corporation APPENDIX B: NETTING MESSAGE TIMING MATRIX

APPENDIX B: NETTING MESSAGE TIMING MATRIX This appendix contains two views of the timing of when participants should expect to receive netting related messages from GSD. This appendix, using either view, places a timing perspective to the messages detailed in the flows in Appendix A.

• View 1 provides a quick reference, depicting, by message type, when a specific record type is sent to the participant.

• View 2 also denotes the timing the message is sent to the participant. It distinguishes, however, between trade related and obligation related record types. The trade related view further distinguishes between those messages sent for Cash vs. Repo trades; records sent for obligation related events do not make the distinction.

App_B1_Timing_Matrix_ v1.1.doc (saved 6/30/2006) Appendix B - Page 1

132


APPENDIX B: NETTING MESSAGE TIMING MATRIX

MESSAGE TIMING MESSAGE

TYPE

RECORD TYPE/EVENT

Upon Match Start Leg Settlement

Date - 1

After Match through Close Leg Settlement

Date - 2 or Settle Date - 2

Repo Close Leg Settlement

Date - 1 or Settlement

Date - 1

Maturity Date - 1 or Coupon

Payment Date - 1

Settlement Date

Action Date


View 1

MT509 Trade Bound to Net * X

Trade Comparison Only * X

Buy/Sell Trade in Net X

Start Leg in Net X

Close Leg in Net X

FTPNLIN – Collateral Matured No New Collateral Assigned

X

FTPNLIN – No Collateral Assigned to GC Trade

X

FTPNLIN – Trade Cancelled

X

FTPNLIN – GSD Excluded Trade

X

MT548 – Clearance Instruction

Next Day – same day and next day (NETX)

X X X

Failed Obligation (FOBL) X

X Held Fail(HFOB)

* These messages are intended to be a one time event. However, if the netting status of a trade changes prior to the trade being included in the net, multiple messages may be sent.


133



MESSAGE TIMING MESSAGE

TYPE

RECORD TYPE/EVENT

Upon Match Start Leg Settlement

Date - 1

After Match through Close Leg Settlement

Date - 2 or Settle Date - 2

Repo Close Leg Settlement

Date - 1 or Settlement

Date - 1

Maturity Date - 1 or Coupon

Payment Date - 1

Settlement Date

Action Date


Broker Fail (BKFL) X

X Repo Sub(SUBS)

Cancel Records (All) X

MT548 – Cleared Obligation

Paired Off (PAIR)

X

Bought In (BTIN)

X

Held Fail Matured (HDFM) X

X Matured(MATR)

X Cleared(CLRD)

X Netted(FLRN)

MT590 Repo Coupon Payment X

Fail Coupon Payment X

Repo Maturity Payment X

Fail Maturity Payment X

Per Trade Forward Margin X

* These messages are intended to be a one time event. However, if the netting status of a trade changes prior to the trade being included in the net, multiple messages may be sent.App_B2_Timing_Matrix_ v1.1.doc (saved 6/30/2006) Appendix B - Page 3

134



Message Type

Record Category Record Type/Event Message Timing – Cash Trades Message Timing – Repo Trades


View 2 – Trade Related Messages

MT509 Netting StatusMessages

Trade Bound to Net*

Upon Match Upon Match

Trade Comparison Only* Upon Match Upon Match

Buy/Sell Trade in Net Night of Settlement Date - 1 N/A

Start Leg in Net N/A Night of Start Leg Settlement Date - 1

Close Leg in Net N/A Night of Close Leg Settlement Date - 1

FTPNLIN- Collateral Matured No New Collateral Assigned

N/A Night of Collateral Maturity Date - 1 (From Match Date + 1)

FTPNLIN- No Collateral Assigned to GC trade

N/A Night of Start Leg Settlement Date - 1 (From Match Date + 1)

FTPNLIN- Trade Cancelled Upon Post Match Cancellation (From Match Date + 1)

Upon Post Match Cancellation (From Match Date + 1)

FTPNLIN- GSD Excluded Trade Upon being Excluded (From Match Date + 1 through night of Settlement Date - 1.)

Upon being Excluded (From Match Date + 1 through night of Close Leg Settlement Date - 1.)

MT590 Per Trade Debit/Credit

Repo Coupon Payment

Advice

N/A Night of Coupon Payment Date - 1

Repo Maturity Payment N/A Night of Collateral Maturity Date - 1

Per Trade Forward Margin Nightly from Match Date through Night of Settlement Date - 2 (Or until night trade Cancelled or Excluded from Net.)

Nightly from Match Date through Night of Close Leg Settlement Date - 2 (Or until night trade Cancelled or Excluded from Net.)

* These messages are intended to be a one time event. However, if the netting status of a trade changes prior to the trade being included in the net, multiple messages may be sent.


135



Message Type

Record Category Record Type/Reason Message Timing- Obligations


View 2 – Obligation Related Messages

MT548 ClearanceInstruction

Next Day (for Next Day and Same Day Settlements)

Night of Settlement Date - 1 (or Settlement Date for Same Day Settlements)

Failed Obligation Night of Settlement Date

Held Fail Night of Settlement Date

Broker Fail Settlement Date

Repo Substitution Substitution Date

MT548 ClearanceInstruction Cancel

Next Day (same and next day) Cancellation Date

Failed Obligation Cancellation Date

Held Fail Cancellation Date

Broker Fail Cancellation Date

Repo Substitution Cancellation Date

MT548 Cleared Obligation Paired Off Settlement Date or Substitution Date

Bought in Settlement Date

Held Fail Matured Night of Collateral Maturity Date - 1

Matured Night of Collateral Maturity Date - 1

Cleared Settlement Date

Netted Night of Settlement Date of the Failed Obligation

MT590 Fail Coupon Payment Night of Coupon Payment Date - 1

Fail Maturity Payment Night of Collateral Maturity Date - 1


136

Appendix C

Netting Message Samples (Issued Under Separate Cover)

137