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DTC monitors the levels of each Participant’s net settlement debits during each Business Day and records the highest net debit. This measure of liquidity is referred to as the Participant’s intraday net debit peak.

 

Required Participants Fund Deposit Calculation


For a Participant, its Required Participants Fund Deposit will include a deposit to the Base Fund and some or all of the following: the (i) Incremental Fund (which together with the Base Fund comprises the Core Fund) and/or (ii) the Liquidity Fund.

The aggregate amount of all Participants’ Required Participants Fund Deposits is $1.15 billion.

 

Core Fund

Each Participant's Required Participants Fund Deposit for the first $450,000,000 (i.e., the total amount of the Core Fund) of the aggregate Participants Fund (for all Participants) is calculated taking account of the following:

The minimum deposit is $7,500 per Participant which, across all Participants (the number of which may vary from time to time) adds up to an aggregate threshold amount of cash in the Participants Fund (i.e., the Base Fund). The difference, if any, between the total amount of the Base Fund and the total amount of the Core Fund, $450,000,000 (i.e., the Incremental Fund) is then allocated among all Participants that are required to deposit more than the minimum of $7,500. The amount assessed above the minimum deposit of $7,500 is based on each Participant’s average (the “PF Average”) of its six largest intraday net debit peaks over a rolling 60 business day period and the ratio of each Participant’s PF Average to the PF Averages of other Participants.

In order to determine the amount a Participant must deposit to the Incremental Fund, DTC makes the following calculations.

First, DTC determines the PF Average of each Participant as the rolling average, over 60 Business Days, of the Participant’s six highest intraday net debit peaks.

Second, DTC arrays these PF Averages from highest to lowest and “ranks” them accordingly. As a result, each Participant will have a “PF Average Rank”, an absolute number that is the Participant’s numerical ranking in this array.

Each Participant’s PF Average is compared to the next lowest ranked PF Average and DTC calculates the difference between the amounts of the two PF Averages as the “Ranked Amount Difference”.

Separately, a “Factor” is calculated by dividing the total amount of the Incremental Fund, by the PF Average of the Participant with the highest PF Average Rank minus the amount of the Base Fund.

Finally, the amount that a Participant shall Deposit to the Incremental Fund (“Required Incremental Fund Deposit”) is calculated as the sum of each Participant’s Ranked Amount Difference divided by the Participant’s PF Average Rank, and multiplied by the Factor, for all Participants with a PF Average Rank that is less than or equal to the PF Average Rank of the Participant.

Note: Pursuant to the calculation set forth above, based on the PF Average for each Participant, the calculation ratably allocates the Incremental Fund to calculate the required cash deposit of each Participant. Participants with the highest PF Averages will, accordingly, be required to make the largest required deposits and Participants with the lowest PF Averages will be required to make smaller deposits or even, potentially, no amount above the $7,500 minimum.

 

Liquidity Fund

The remaining $700,000,000 aggregate amount of Required Participants Fund Deposits (i.e., the Liquidity Fund) is allocated proportionately among the Affiliated Families whose aggregate Net Debit Caps exceed $2.15 billion, up to a maximum Aggregate Affiliated Family Net Debit Cap of $2.85 billion. The calculation to determine a Participant’s portion of the Liquidity Fund is a two-step process, using algorithms described below, to: (i) calculate an Affiliated Family’s portion of the Liquidity Fund, and (ii) determine each Participant’s portion of their Affiliated Family’s allocation.



Step One:

Algorithm used to calculate the Affiliated Family’s portion of the $700,000,000.

  1. Only those Affiliated Families whose Aggregate Affiliated Family Net Debit Cap exceeds $2,150,000,000 will be allocated a portion of the Liquidity Fund.
    1. The greater the Aggregate Affiliated Family Net Debit Cap, the larger allocation the Affiliated Family will receive.  The first step of the calculation is to determine the amount by which the Aggregate Affiliated Family Net Debit Cap exceeds $2,150,000,000.  This is called the “Overage”.
    2. To calculate the allocation percentage for an Affiliated Family of Participants, the program will perform the following:

      Overage of the Affiliated Family
      ------------------------------------------------------- = X%
      Sum of ALL Affiliated Family Overages



    3. X% of $700,000,000 is the amount of the Affiliated Family allocation.
    4. The sum of the Affiliated Family allocations equals $700,000,000.


Step Two:

An algorithm used to determine the Participants portion of its “Affiliated Family Allocation”

2. Calculation will be based on the Participant’s Net Debit Cap (NDC) in relation to its total Aggregated Affiliated Family NDC.



Participant NDC
------------------------------------ = Y %
Affiliated Family NDC

  1. Y% of the Affiliated Family allocation is the Participant’s portion of the “Affiliated Family allocation”.
  2. This calculation will be done for all Participants within each Affiliated Family that has an Overage.



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