MarkitSERV DSMatch & DTCC Trade Information WarehouseQ2 2012

*AgendaWhat is DSMatch?ProcessEligible Credit Default SwapsWorkflowReportsWhat is Trade Information Warehouse?Whats NewGetting StartedHelpful InformationWeb GUI Screens

*What is DSMatch?Real time matching and confirmationCredit Default Swaps Single NameCredit Default Swap IndexCredit Default Swap Index Tranche Provides straight through processingNew TradesPost Trade TransactionsIntegrated with Trade Information WarehouseMaintenance of up-to-date status of credit derivatives contractsPayments/Cashflows

*ProcessConnects 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 screenCompares both sides of transactions and provides best possible matches and confirmed trade status Trade affirmation and validation provides ability to review and submit transactionsAutomatically updates TIW with current state of trades for accurate processing of payments, events, net settlement and subsequent post trade transactions

*Product EligibilityDSMatch and the Trade Information Warehouse are fully-integrated for the following credit products Non-Eligible Collateralized Debt Obligations (CDO) Credit Linked Notes (CLN)

CDS Short (Single Name CDS) Asset Backed Index (ABX) CDS Index Commercial Mortgage Backed Index (CMBX) CDS Index TrancheCDS 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

*WorkflowSearch for transactions using web interfaceInput transactions manually or via upload facilityView transaction details and statusReview transaction historyModify or cancel transactionsValidate trade informationPerform post trade transactionsRetrieve Reports

*Reports GUI: Reports Ad-Hoc Reports

Report NameContentDeliveryUnconfirmed TransactionsAll Unconfirmed transactions as of the time report is requested by the participantOn request, real-timeAlleged TransactionsAll transactions alleged by counterparties as of the time report is requested by the participantOn request, real-timeDaily ActivityAll transactions processed on the date specified by the participantOn request, real-timeDaily RejectAll 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 screenOn request, real-time

*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 contractFully integrated with DSMatch to automate and standardize post-trade processesContract MaintenanceStore and maintain the official legal record of credit derivatives contractsPayment ProcessingFor official legal records maintained in the warehouse (payment matching/affirmation for contracts with economic records only)Automated feeds to multi-currency central settlement serviceEvent ProcessingCredit EventsSuccessor EventsCentral SettlementFor all official legal records maintained in the warehouse Automated feeds to central multi-currency settlement service

*Trade Maintenance - Gold RecordsThe Warehouse contains the golden copy of the tradeOnce fully-registered and assigned a DTCC TRI, becomes an up-to-date trade recordRepresents the primary record of the trade the official legal record - over and above any records held by the parties to the tradeIn the event of a dispute, it is the golden copy which defines the state of the contract at any point in timeOngoing maintenance of Warehouse positionsWarehouse records are updated by assignment, termination, increase, and amendment recordsNotional amounts are tracked for all TIW downstream processesAll firms must ensure that all records are kept up to date so that accurate positions are heldEnsure all subsequent post-trade events are submitted to DSMatch for electronic matchingPeriodically reconcile Warehouse positions with internal positionsBesides 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

*Whats New DSMatch Credit v.10 revision 1Global 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

*

Whats New DSMatch Credit v.10 revision 1The 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 tradeTrade details provide a Reporting Summary of report information including several defaulted fields.Submit: Message has been submitted to the GTRAcknowledge: Message successfully received by the GTRError:Submission failed the GTR validation stages and resulted in an error

*

Whats New DSMatch Credit v.10 revision 1GTR 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 (support@markitserv.com) 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.

*

Getting Started Prerequisites

Access and Data SubmissionAutomated FpML MessagingVia T1 Line using Computer-to-Computer connectionsMQ real time messagingSpreadsheet UploadManual upload of csv file using web user interfaceTransaction FormManual data entry via web user interfaceAffirmation Most common method for firms to process transactionsFirms review trades/transactions submitted by counterpartyFirms validate transaction informationFirms completely approve counterparty submission or submit changes

DSMatch Transaction TypesNew TradeThe original entry of the deal into DSMatchAmendmentA transaction to change the terms of a deal except the parties to the trade (see Assignment) or to the trade reference numbersAssignmentOne 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 involvedTermination 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 unwindIncreasesAn 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 derivativesExits from DTCCRemoves 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 DescriptionsConfirmedPertains to a trade/event record that has been fully-matched and deemed legally confirmedUnconfirmedPertains to a trade/event record you submitted that has not been fully-matched or affirmed by the counterpartyAllegedPertains to a trade/event records alleged by a counterparty for which you have no matching recordCancelledAn unconfirmed transaction that has been cancelled by the originating partyPendingAny post-trade transaction whereby the underlying trade is still Unconfirmed in statusRejectedA transaction that cannot be validated according to the format or business rulesDKNot strictly a status, this indicates that an alleged counterparty does not recognize the transaction

Web GUI Screens and ReportsDEMO

*

GUI Dashboard

GUI DashboardAppears when you first log into DSMatch from the Deriv/SERV portalProducts segregated with current day transaction statistics and chartStatistics number links provide list of corresponding transactions within the productE.g., Credit Unconfirmed number will bring you to the Credit Search page with the current days unconfirmed transactionsGo to Search button links to landing page of each productUse Admin link to remove/reinstate products from DashboardMay also arrange the order of the products in the dashboardMay also use Admin link to change password

*

GUI Dashboard

*

General SearchGeneral Search navigation to inquire on DSMatch status.

*

General SearchCertain 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).

*

Search Results Detail

*

Trade Affirmation DetailsInput your Trade Reference Number and Submit to enter your side of the trade.User defined Workflow Fields.

*

View Confirmed StatusClick to view Transaction History.Warehouse Current State Summary.

*

Transaction HistoryProvides 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.

*

Post Trade Event ProcessingOnce 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 trades 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.

*

Assignment ProcessingAn 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.

*

Assignment ProcessingAssignment 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

*

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.

*

Spreadsheet UploadUpload Supports 1 500 records. Bulk UploadSupports 1 10,000 records.Online validation of Uploaded files records.

*

File Submission Report1 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.

*******