DVP Funds-Only Settlement (FOS)

 For start-of-day, the Funds-Only Settling Banks must submit an acknowledgement or refusal to settle their Net Funds-Only Settlement Figure by the Acknowledgement Cutoff Time. The settlement of the FOS amounts is completed by 10:00 AM.* Refer to the Schedule of Timeframes in the FICC GSD Rulebook for the most up to date timeframes.

FOS Components

The start-of-day FOS amounts for each GSD Netting Member or CCIT Member, as applicable, may consist of the following Funds-Only Settlement components:

• Transaction Adjustment Payment (TAP): the difference between the Settlement Value of a Securities Settlement Obligation (calculated by the System Price) and the Contract Value as indicated on the Netted Summary Report.
  
  
• Delivery Differential Adjustment Payment: the difference between the System Value (calculated by the Fed Avg. price) and the Settlement Value of a Securities Settlement Obligation (calculated by the System Price) as indicated on the Netted Trade Summary Report.
  
  
• Fail Mark Adjustment Payment: the difference between the aggregate of the Settlement Value of failed obligations from the previous business day and the Settlement Value the failed obligations (calculated at current System Price) as indicated on the Mark to Market Report. This is the mark-to-market on the fails.
  
  
• Coupon Adjustment Payment: payments due to or owed by a Netting Member who have a Coupon-Eligible End Leg repo position or a failed obligation in an Eligible Netting Security where the coupon payment falls on or before the settlement date as indicated on the Coupon Paid Report.
  
  
• Redemption Adjustment Payment: similar to the Coupon Adjustment Payments, these are payments due to or owed by a Netting Member who has an End Leg repo position or a failed obligation in an Eligible Netting Security where the maturity date of the security falls on or before the settlement date as indicated on the Coupon Paid Report.
  
  
• Clearance Difference Amount: the difference between the Settlement Value of a Securities Settlement Obligation and the actual settlement money that cleared as indicated on the Clearance Difference Report.
  
  
• Forward Mark Adjustment Payment: for cash trades, it is a debit or credit mark-to-market adjustment payment based on the collateral mark on forward settling buy/sell trades. For Repo Transactions, it is a debit or credit mark-to-market adjustment payment based on the collateral mark and finance mark on already started and forward starting repos. These mark-to-market payments are passed from the date the transaction enters the net until the transaction’s settlement date as indicated on the Forward Mark Report.
  
  
• Forward Mark Adjustment Payment Return: the return of the Forward Mark Adjustment Payment collected or paid during the previous Funds-Only Settlement cycle.
  
  
• Interest Adjustment Payment: the interest calculated on the Forward Mark Adjustment Payment collected or paid during the previous business day's intraday Funds-Only Settlement cycle using the Overnight Investment Rate.
  
  
• Invoice Amount: on the 10th business day of the month, GSD will apply charges based on a) the Netting Member's or CCIT Member's business activity of the prior month, b) fines imposed during any month, and c) adjustments to prior bills as indicated on the Invoice.
  
  
• Miscellaneous Adjustment:  any other cash adjustment payments due to or owed by a GSD Netting Member or CCIT Member.
  
  
• GCF Repo/CCIT Funds Settlement: for those Netting Members or CCIT Members who participate in the GCF Repo® Service and/or the CCIT™ Service, this amount carries over the net Total Pay/Collect figure from the GCF Funds Settlement Report. The GCF Repo/CCIT Funds Settlement Amount may include the net amounts calculated for the following funds-only settlement components: a) GCF Forward Mark Adjustment Payment/Return, b) GCF Interest Adjustment Payment, c) GCF Transaction Adjustment Payment, or d) CCIT Daily Repo Interest, as applicable. 

*All times herein are ET.