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Revisions to the Markitserv Operating Procedures and the Warehouse Trust Operating Procedures – Credit Derivatives

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Revisions to the Markitserv Operating Procedures and the Warehouse Trust Operating Procedures – Credit Derivatives IMPORTANT NOTICE #: MS# 82 ; TIW# 109 Date: February 17, 2011 To: Distribution From: Legal Department Subject: Revisions to the MarkitSERV Operating Procedures and the Warehouse Trust Operating Procedures – Credit Derivatives At the close of business (NY) on Friday, February 25, 2011, MarkitSERV and the Warehouse Trust will implement enhancements to DSMatch and the Trade Information Warehouse for Credit products (see Important Notices MS#81; TIW#108 dated February 16, 2011 for information regarding the enhancements. This notice refers to updates specific to the MarkitSERV and Warehouse Trust Operating Procedures. Capitalized terms used herein and not otherwise defined shall have those meanings referenced in the applicable Operating Procedures. Beginning on February 28, 2011, firms may begin confirming single name CDS on European CMBS and RMBS and Fixed Recovery CDS transactions. The MarkitSERV and Warehouse Trust Operating Procedures have been updated to support these enhancements. See attached blacklines of MarkitSERV Appendix K (Single Reference Entity Credit Default Swap Incorporating the ISDA Physical Settlement Matrix) and Appendix L (Single Reference Entity Credit Default Swap on Mortgage-backed Security and Single Reference Entity Credit Default Swap on Loan) with updated Appendix L Field Parameters. See also attached blackline of the Warehouse Trust Trade Warehouse Appendix. The enhancements referred to above are reflected on the attached documents and are effective upon implementation, unless otherwise noted. By submitting affected transactions to the applicable system, the User agrees to waive any applicable notice requirements relating to the changes. Any questions or comments regarding this Important Notice or MarkitSERV in general should be directed to your account manager, [email protected] or to: Credit Derivatives Product Management Simon Todd +44-203-367-0535 [email protected] MarkitSERV DSMatch Trade Upload - Field Parameters Matching CreditDefaultSwap CMBS ECMBS RMBS ERMBS LCDS ELCDS # Ref Data Field Cell Format Valid Entry ? Applicable Transaction Types CreditDefaultSwapShort CreditDefaultSwapIndex IndexTranche 1 A Comment Text * (i.e. the asterisk character) When an asterisk is present the entire No All Optional Optional Optional Optional Optional Optional Optional Optional Optional line is treated as a comment 2 B Activity Text New, Modify, Cancel, DK Yes All Required Required Required Required Required Required Required Required Required 3 C Transaction Type Text Trade, Backload, PartialTermination, Increase, Amendment, Yes All Required Required Required Required Required Required Required Required Required Assignment, Exit, Exercise 4 D Product Type Text CreditDefaultSwapShort or CreditDefaultSwapIndex or Yes All Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapIndex" Required, must be Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapShort" Required, must be "CreditDefaultSwapShort" CreditDefaultSwapIndexTranche "CreditDefaultSwapIndexTranche" 5 E Originator ID Text A 1-20 Character Participant ID (e.g., 00006101) Yes All Required Required Required Required Required Required Required Required Required 6 F Trade Reference Number Text Up to 40 alphanumeric characters Contains the Originator's Trade No All Required Required Required Required Required Required Required Required Required Reference Number. When Activity is DK, this field contains the Counterparty's Trade Reference Number. 7 G Counterparty ID Text A 1-20 Character Participant ID (e.g., 00006101) Yes All Required Required Required Required Required Required Required Required Required 8 H Trade Date YYYY-MM-DD Any valid date. Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required PartialTermination* 9 I Effective Date YYYY-MM-DD Any valid date. For a Transferee Assignment record, must equal Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required Post Trade Effective Date (which is the Novation Date). PartialTermination*, Exercise 10 J Scheduled Term Date YYYY-MM-DD Any valid date. Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required PartialTermination*, Exercise 11 K First Payment Date YYYY-MM-DD Any valid date. Yes Trade, Backload, Amendment, Assignment* Conditional; required when Fixed Rate is provided, Not Allowed Conditional; Optional when Initial Optional Optional Optional Optional Conditional; required when Fixed Rate is provided, Conditional; required when Fixed Rate is provided, (Remaining Party and Transferor records only) Optional in an Assignment, Not Allowed otherwise Payment Amount is provided, Optional in an Assignment, Not Allowed otherwise Optional in an Assignment, Not Allowed otherwise otherwise Required. Valid Value: Any valid date Valid Value: Any valid date Valid Value: Any valid date Valid Value: Any valid date Valid Value: Any valid date Valid Value: Any valid date Valid Value: The MM-DD portion of the First Payment Valid Value: Any valid date Date must be one of the values "03-20","06-20","09- 20" or "12-20" and must be at least 30 days after the specified Trade Date. 12 L Reference Obligation Text Any valid ISIN or CUSIP (up to 12 characters) Yes Trade, Backload, Amendment, Assignment*, Required Not Allowed Not Allowed Required Required Required Required Conditional; Required when Secured List Applicable Required PartialTermination*, Exercise equals "N", Otherwise Optional The Reference Obligation will be overwritten by DTCC when a valid 9 character Reference Entity Id is supplied. 13 M Reference Entity Name Text REDS Name Text or Alphanumeric Text up to 250 alphanumeric Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required characters PartialTermination*, Exercise The Reference Entity Name will be overwritten by DTCC when a valid 6 or 9 character Reference Entity Id is supplied. 14 N Reference Entity ID Text REDS ID ( 6 or 9 characters) Yes when Trade, Backload, Amendment, Assignment*, Required Required Optional Optional Optional Optional Optional Optional present PartialTermination*, Exercise Will be used to overwrite Reference Entity Name and Reference Obligation if specified. 15 O Master Document Transaction Text Represents the "Master Confirmation Transaction Type" for a Single- Yes Trade, Backload, Amendment, Assignment* Required. Required Required Required Required Required Required Required Required Type Name or Index trade that uses the Master Confirm form of documentation. For the Remaining Party record of an Assignment, see Valid Value: Must be 2003CreditIndex for an Index Master Valid Value: Must be a valid value for Valid Value: must be the value Valid Value: must be the value "EuropeanCMBS" Valid Value: Must be the value "StandardTermsSupplement" Valid Value: Must be the value "EuropeanRMBS" Valid Value: Must be the value Valid Value: Must be the value also New Master Document Transaction Type. Confirm Trade . Otherwise, must be a valid value for an Index an Index Tranche trade. See "Valid "StandardTermsSupplement" "StandardTermsSupplement" "CDSonLeveragedLoans" Represents the "Transaction Type" for a Single-Name trade that trade that uses the Standard Terms Supplement form of Values" tab for valid values for this field uses the Matrix form of documentation. Valid Value: See "Valid Values" tab for valid values for documentation. See "Valid Values" tab for valid values for this this field field Represents the "Standard Terms Supplement Type" that uses the Standard Terms form of documentation. 16 P Master Document Date YYYY-MM-DD Any valid date. Yes when Trade, Backload, Amendment, Assignment* Conditional; required when the Documentation Type field Required for Trade, Amendment, and Assignment. Required for Trade, Amendment, and Required Required Required Required Required Required present is blank. Assignment. Represents the "Master Confirmation Date" for a Single-Name or For the Remaining Party record of an Assignment, see also Index trade that uses the Master Confirm form of documentation. Optional for Trade, Amendment, and Assignment when New Master Document Date. For the Remaining Party record of an the Documentation Type field has a value of Assignment, see also New Master Represents the Matrix Publication Date for a Single-Name trade that CreditDerivativesPhysicalSettlementMatrix. Document Date. uses the Matrix form of documentation. For the Remaining Party record of an Assignment, see Represents the Standard Terms Supplement Publication Date for also New Master Document Date. an Index or Index Tranche trade that uses the Standard Terms form of documentation. Represents the Publication Date of a Standard Terms Supplement for MBS and LCDS 17 Q Fixed Rate Payer (Buyer)/ Text A 1-20 Character Participant ID (e.g., 00006101) Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required Swaption Buyer PartialTermination*, Exercise 18 R Float Rate Payer (Seller)/ Text A 1-20 Character Participant ID (e.g., 00006101) Yes Trade, Backload, Amendment, Assignment*, Required Required Required Required Required Required Required Required Required Swaption Seller PartialTermination*,
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