MarkitSERV DSMatch & DTCC Trade Information Warehouse Q2 2012.

MarkitSERV DSMatch & DTCC Trade

Information Warehouse

Q2 2012

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Agenda

What is DSMatch?– Process

– Eligible Credit Default Swaps

– Workflow

– Reports

What is Trade Information Warehouse? What’s New Getting Started Helpful Information Web GUI Screens

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What is DSMatch?

Real time matching and confirmation– Credit Default Swaps Single Name

– Credit Default Swap Index

– Credit Default Swap Index Tranche

Provides straight through processing– New Trades

– Post Trade Transactions

Integrated with Trade Information Warehouse– Maintenance of up-to-date status of credit derivatives contracts

– Payments/Cashflows

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Process

Connects to most major dealers globally and over 2,200 buy-side firms using mainframe-to-mainframe real time messaging and secured internet access via a browser-based screen

Compares both sides of transactions and provides “best possible” matches and confirmed trade status

Trade affirmation and validation provides ability to review and submit transactions

Automatically updates TIW with current state of trades for accurate processing of payments, events, net settlement and subsequent post trade transactions

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Product Eligibility

DSMatch and the Trade Information Warehouse are fully-integrated for the following credit products

CDS Short (Single Name CDS) Asset Backed Index (ABX)

CDS Index Commercial Mortgage Backed Index (CMBX)

CDS Index Tranche CDS on Residential Mortgage-Backed Securities (RMBS) and LCDX Tranches

CDS on Loans CDS on Commercial Mortgage-Backed Securities (CMBS)

LCDX – new Master Confirmation Transaction type for Index

Non-Eligible– Collateralized Debt Obligations (CDO)– Credit Linked Notes (CLN)

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Workflow

Search for transactions using web interface Input transactions manually or via upload facility View transaction details and status Review transaction history Modify or cancel transactions Validate trade information Perform post trade transactions Retrieve Reports

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Reports

Report Name Content Delivery

Unconfirmed Transactions

All Unconfirmed transactions as of the time report is requested by the participant

On request, real-time

Alleged Transactions

All transactions alleged by counterparties as of the time report is requested by the participant

On request, real-time

Daily Activity All transactions processed on the date specified by the participant

On request, real-time

Daily Reject All transactions that were rejected on the date specified by the participant. Includes records that would be displayed on the GUI on the Search and Transaction History screen

On request, real-time

GUI: Reports Ad-Hoc Reports

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What is Trade Information Warehouse?

A central and secure global infrastructure providing a comprehensive central trade database containing the most up-to-date record of each credit derivatives contract

Fully integrated with DSMatch to automate and standardize post-trade processes

Contract Maintenance– Store and maintain the “official legal record” of credit derivatives contracts

Payment Processing– For “official legal records” maintained in the warehouse (payment

matching/affirmation for contracts with economic records only)– Automated feeds to multi-currency central settlement service

Event Processing– Credit Events– Successor Events

Central Settlement– For all “official legal records” maintained in the warehouse – Automated feeds to central multi-currency settlement service

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Trade Maintenance - “Gold” Records

The Warehouse contains the “golden copy” of the trade– Once fully-registered and assigned a DTCC TRI, becomes an up-to-date trade

record– Represents the primary record of the trade – the “official legal record” - over and

above any records held by the parties to the trade– In the event of a dispute, it is the golden copy which defines the state of the

contract at any point in time Ongoing maintenance of Warehouse positions

– Warehouse records are updated by assignment, termination, increase, and amendment records

– Notional amounts are tracked for all TIW downstream processes All firms must ensure that all records are kept up to date so that accurate

positions are held– Ensure all subsequent post-trade events are submitted to DSMatch for

electronic matching– Periodically reconcile Warehouse positions with internal positions

Besides the legal implications, downstream processes, such as payment calculation and settlement, will be accurate only if Warehouse records are kept “gold” and constantly up-to-date

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What’s New – DSMatch Credit v.10 revision 1

Global Trade Repository (GTR)

One of the key aims of this release is to send trades down to the Global Trade Repository (GTR).*

The GTR is a trade repository with the primary function to provide an information depot to be able to disseminate information to the Regulators, Dealers, Brokers and Market Participants.  The GTR is also a data repository and can support multiple reporting regimes. It can accept messages for Dodd-Frank Reporting, EMIR, or Asian regulations such as HKMA, MAS. The same trade repository can facilitate different regulatory requirements.

* Existing positions have been backloaded into the GTR by DTCC

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What’s New – DSMatch Credit v.10 revision 1

The GTR has three states: 

The GTR status is sent back to DSMatch with a Delivered (acknowledged ‘ack’) or Error (not acknowledged ‘n-ack’) message/status for participants on version 10 of MQ Messaging.

However, (for users not on v.10 messaging) the GTR status can also be viewed in the GUI under the ‘Reporting Summary’ of a confirmed trade details.

Reporting Summary on a confirmed trade 

Trade details provide a Reporting Summary of report information including several defaulted fields.

• Submit: Message has been submitted to the GTR• Acknowledge: Message successfully received by the GTR• Error: Submission failed the GTR validation stages and resulted in an

error

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What’s New – DSMatch Credit v.10 revision 1

GTR ReportingThis release includes approximately 40% of additional reporting fields required for the Dodd Frank go live release expected in July 2012.

GTR Error ReportThe report displays trades returning from the GTR with an ‘Error’ status. It is accessed from the Reports menu / Ad-hoc Reports within DSMatch.

DSMatch imposes similar validations to the GTR as part of the confirmation process. No errors are expected to be received from the GTR in phase 1 since any errors should be identified in DSMatch. For phase 1, please contact MarkitSERV Client Services ([email protected]) to identify any errors if they occur. 

For phase 2, comprehensive error reporting and GTR status filtering/search functionality is scheduled to be provided.

Therefore, for this release, all of these reporting fields are optional. DSMatch auto populates Defaulted Reporting Fields.

Reporting fields can also be uploaded post trade (csv and MQ). Please see the Spreadsheet Upload Template for further information.

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Getting Started – Prerequisites

ISDA Master Agreement

(or other Master

Agreement)

ISDA Settlement

Matrix (single name Credit

Default Swaps)

DTCC MasterMCA- Executed

Bilaterally

Standard Terms

Supplement

Master Confirmation Agrmt. Date Single Name CDS – January 1, 2001 DJ CDX Index – January 1, 2001

Access and Data Submission

Automated FpML Messaging– Via T1 Line using Computer-to-Computer connections– MQ real time messaging

Spreadsheet Upload– Manual upload of csv file using web user interface

Transaction Form– Manual data entry via web user interface

Affirmation – Most common method for firms to process transactions– Firms review trades/transactions submitted by counterparty– Firms validate transaction information– Firms completely approve counterparty submission or submit changes

DSMatch Transaction Types

New Trade– The original entry of the deal into DSMatch

Amendment– A transaction to change the terms of a deal except the parties to the trade (see

Assignment) or to the trade reference numbers Assignment

– One of the parties to an existing derivative contract transfers all/part of its rights and obligations under the contract to a third party, with the approval of all three parties involved

Termination – An agreement to reduce the notional amount or number of options of a trade, usually

involving a payment from one party to the other. Also called a partial unwind Increases

– An agreement to augment the notional amount or number of options of a trade, usually involving a payment from one party to the other. More common for equity derivatives

Exits from DTCC– Removes a confirmed trade from the DTCC system. All parties must agree to exit the

transaction. Used when a trade needs to be processed outside of the DTCC system

DSMatch Transaction Status Descriptions

Confirmed– Pertains to a trade/event record that has been fully-matched and deemed legally

confirmed Unconfirmed

– Pertains to a trade/event record you submitted that has not been fully-matched or affirmed by the counterparty

Alleged– Pertains to a trade/event records alleged by a counterparty for which you have no

matching record Cancelled

– An unconfirmed transaction that has been cancelled by the originating party Pending

– Any post-trade transaction whereby the underlying trade is still “Unconfirmed” in status

Rejected– A transaction that cannot be validated according to the format or business rules

DK– Not strictly a ‘status’, this indicates that an alleged counterparty does not recognize

the transaction

Web GUI Screens and Reports

DEMO

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GUI Dashboard

GUI Dashboard

Appears when you first log into DSMatch from the Deriv/SERV portal Products segregated with current day transaction statistics and chart Statistics number links provide list of corresponding transactions within

the product– E.g., Credit Unconfirmed number will bring you to the Credit Search page with

the current day’s unconfirmed transactions

‘Go to Search’ button links to landing page of each product Use Admin link to remove/reinstate products from Dashboard

– May also arrange the order of the products in the dashboard

– May also use Admin link to change password

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GUI Dashboard

The Dashboard will segregate all the product entitlements for a digital certificate, and provide summary statistics for the current day’s transactions within the products.

Click onto Go to Search to go to the corresponding product’s Search landing page.

Click onto number of specified transactions and go to search page with corresponding transactions within the product.

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General Search

General Search navigation to inquire on DSMatch status.

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General Search

Certain– A contract is certain under two conditions.– There are no unconfirmed (in-flight) post-trade events.– The calculated Current Warehouse Notional Amount resulting from all trade life-cycle events is not negative.

Uncertain– A contract is uncertain if a previously ‘certain’ trade has an ‘in-flight’ or pending post trade event.

Search Trade Warehouse Deals by unique DTCC Transaction Reference Identifier (TRI).

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Search Results Detail

Automatic Push – Your back loaded trade has been automatically sent to the Warehouse because it has fully matched your counterparty’s record AND has also matched the Imputed Trade State derived from the DSMatch system (if it exists there).

Manual Push - Both parties have bilaterally manually ‘pushed’ matched back loaded trades that do not successfully compare with the Imputed Trade State.

Automatic Push – Your back loaded trade has been automatically sent to the Warehouse because it has fully matched your counterparty’s record AND has also matched the Imputed Trade State derived from the DSMatch system (if it exists there).

Manual Push - Both parties have bilaterally manually ‘pushed’ matched back loaded trades that do not successfully compare with the Imputed Trade State.

DTCC Trade Reference IdentifierDTCC Trade Reference Identifier Certain /UncertainCertain /Uncertain

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Trade Affirmation Details

Input your Trade Reference Number and “Submit” to enter your side of the trade.

User defined Workflow Fields.

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View Confirmed Status

Click to view Transaction History.

Warehouse “Current State” Summary.

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Transaction History

Provides audit trail of trades and related post trade transactions.

Provides Warehouse status and effects of post trade transactions on notional amount.

Click to view details of each transaction activity.

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Post Trade Event Processing

Once a trade is confirmed, you and the counterparty can agree to perform a post-trade event/transaction.

Transactions you can perform against a confirmed trade are indicated within the dropdown box.

Initiate transactions by clicking on the transaction type and the Submit button on the lower right of the confirmed trade’s View screen.

All post-trade transactions must be bilaterally matched, similar to new trades. Post-trade transactions can also be done using the affirmation process.

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Assignment Processing

An assignment, or novation, occurs when one of the parties to an existing derivative contract transfers its rights and obligations under the contract to a third party.

The transaction requires the agreement of all three parties: the transferor, the transferee, and the remaining party.

To enter an Assignment, from a confirmed view select Transferor Assignment from the dropdown on the lower right and click Submit.

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Assignment Processing

Assignment Initial Screen requires the following fields to be added prior to moving on to the detail screen:

– Transferee (EE) Stepping-In Party

– Reference Number Supplement

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Assignment Processing

The following fields are required to complete the Assignment:– Novation Date, Transferee, Novated Amount and Reference Number Supplement.

– Novated amount needs to be less than or equal to the old notional amount.

– Supplement needs to be unique for each assignment for specific reference number.

If applicable, enter single Payment Amt info associated with this post-trade event.

Enter Novated Amount.

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Spreadsheet Upload

Upload Supports 1 – 500 records.

Bulk UploadSupports 1 – 10,000 records.

Online validation of Uploaded files records.

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File Submission Report

1 – Select desired Batch (es) for processing download files.

2 – Your Spreadsheets are prepared for Download 15-20 minutes from time of request and listed for download.

3 – Your File Submission Reports are listed for download.