Restructuring Events Anglo Irish TIW Support

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29thNovember 2010

Restructuring EventsAnglo Irish

TIW Support

DTCC Deriv/SERV

A. Byatt

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Accessing Restructuring Functionality

• User access is configurable• Separable from confirmation/settlement/event processing access• Required separate access• Access can be read-write or read-only• Allows firms to position triggering to best fit their organisation

• i.e. trigger activity in operations with read only access to triggering information for front/middle office etc

• Access to new restructuring via new OCODE, requires new “super access coordinator” forms• Available from http://www.dtcc.com/customer/membership/derivserv/derivserv.php• For access to UAT, complete form and send to [email protected]• For access to Production, complete form and send to [email protected]• Form needs to be signed by an officer who is not the super access co-ordinator

• Obtaining access is highly recommended even if you do not intend to trigger, as it will provide you up to date information on any triggers against you• Standard access to DSMatch provides access to reports, but not to “real-time” trigger

updates which is only available via the new dashboard

mailto:[email protected]

mailto:[email protected]

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Restructuring Webinars/Training

Wednesday 1st December at 7:30am EST / 12:30 GMTand Friday 3rd December at 9:30 EST / 14:30 GMT

To join the online meeting------------------------------------------------------- 1. Go to http://www.meetingzone.com/markitserv/ Enter the following information in the Guest Login section. 2. Participant Access Code: 5360885 3. Enter your Full Name, Company Name, and Email Address. All are Required. 4. Click on Log In 5. Join the audio conference call.- North America Toll Free: 1 866 327 5544- UK: 44 (0) 208 610 0161- UK Toll Free: 0800 358 6526Participant ID: 5360885 6. Alternatively to join the conference call, you can enter your Phone Number (including country code). Check off the ‘Call Me’ option box for the web conference to call you back. 7. Click on Log In.

Training information on restructuring functionality is available via the DerivSERV TIW participants website: http://www.dtcc.com/products/derivserv/members/trade_confirm_warehouse.php

in the Product Training and Support – Event Processing sectionInformation includes a copy of the DerivSERV webinar on restructuring and a full user guide on the functionality

DerivSERV are also providing some additional webinar based training on

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Restructuring Functionality

Determination of Restructuring Event•Upon determination of the event by the ISDA DC, DTCC creates single Event Master Record, capturing and adding data through life of the event•Master record drives which transactions are affected by the event in the Warehouse•Supports Maturity Limitation events as well as OldR events

•The ISDA DC information for this event can be accessed via the ISDA website:• http://www.isda.org/credit/

•The Event Master Records for Anglo Irish are open and available in the Restructuring dashboard (see next slides•There is one event for SENIOR transactions and a separate event for SUBORDINATED transactions

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Event Communication by DerivSERVProduct Coverage

• An Important Notice was distributed on the 24th of November to communicate the creation of these two event master records

• A copy of this Important Notice can be found at http://www.dtcc.com/legal/imp_notices/derivserv/2010.php

• Once auction processing events are established there will be an additional Important Notice to communicate the creation of all the auction processing events• This should occur the business day following the buyer trigger deadline date

Product Coverage for Anglo Irish Restructuring

• Anglo Irish Bank Corporation Limited is NOT in any indices, and as such there are no untranched or tranched index transactions impacted by this event

• There is a population of single name credit default swaps on this reference entity name, with volumes in both Senior and Subordinated obligations

• We do not believe that there are any cleared transactions on this reference entity name

• As this will be a single name only event, there is no index re-versioning process for this event

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Triggering

• TIW provides single-sided electronic messages for triggering, including partial triggers• CEN, Movement and “Notify” messages

• Trigger messages are communicated to the counterparty via the GUI in near-realtime, via MQ messaging and via trigger status reports which run every 2 hours throughout the event

• New GUI just for restructuring, shows triggerable trade population and message activity• Trigger messages are communicated and then applied to the transaction, only then applying trigger

protocol rules (minimum trigger amounts, trigger deadlines, trumping of triggers, update of triggered notional for partial triggers)

• TIW provides updates of effect of triggering (untriggered, buyer triggered etc) and applies to appropriate Maturity Bucket

• NOTE• It is possible to trigger transactions now under this event via the DerivSERV infrastructure• Credit Event Notices delivered via the Trade Information Warehouse are irrevocable

Types of Triggering:• CEN = “Credit Event Notice” - Legal Delivery of a CEN, full or partial trigger available• NOTIFYCEN - Indicates triggering on the trade occurred outside of TIW, full and traditional

available. Is NOT the legal trigger• MOVEMENT – only applicable in certain circumstances

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Triggering

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TriggeringCEN

NOTIFY

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Reporting

• Message activity on restructuring dashboard view• Triggerable Transaction data updated on restructuring dashboard view

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Triggering/Audit Trail

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Reporting

• Triggering status via the restructuring dashboard – download from GUI:

• Reports run every two hours during event, available via Report Downloads (in both restructuring and DSMatch dashboardsTriggering Status Report – Provide selected trade info on All transactions which are eligible for triggering and the Current Status of the existing triggering activity (run every two hours).

Representation of the expanded audit trail for each trade with triggering activityEvery triggering message delivered or received under that event

Triggering Summary Report – Summary info on triggering activity of the users, providing details of triggering volumes by maturity bucket, and individual triggered trades. Run every two hoursRestructuring Inactive Transaction Report– The purpose of this report is to provide detailed information on any/all transactions which would satisfy the definition of a triggerable transaction under any live restructuring event other than the fact that they are currently inactive in the Warehouse. Run daily

• MQ Messages – ONLY provide information on triggering message activity – NOT triggering status

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Application of a NotifyCEN

A NOTIFY message indicates to the Warehouse that a trigger has taken place on a Warehouse record but the trigger was outside of the Warehouse (i.e. by fax).

Either party to the transaction can submit a NOTIFY event, and part of that message indicates to the Warehouse if it was a Buyer trigger or a Seller trigger.

A notify message is recorded, but not applied to the transaction.

The receiver of a Notify message can choose to manually apply that trigger to the transaction (thereby confirming to the Warehouse that they accept that the trigger has taken place, that it is a valid trigger and should be reflected on the Warehouse transaction.

The outside trigger remains the legal CEN notice, the NOTIFY message in the Warehouse is just the recording of that outside trigger

A Notify message must be applied to the trade before the Trigger Period End Date/Time in order to be reflected on the transaction before the TIW performs the partial trigger automated trade spin-off

When applying a Notify event, the TIW will presume that it is a valid trigger despite the submission time of the message (i.e. a Notify for a seller trigger on day 4 which is then applied by the counterparty will be treated as a valid seller trigger submitted prior to the seller trigger deadline)

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Applying a NotifyCEN

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Partial Trigger Trade Split•Close of business on last day of triggering•TIW automatically splits any partially triggered transaction into triggered “shapes” in order to allow movement option messaging and auction processing•Provides reporting on trade splits to facilitate reconciliation•Participants able to indicate trade references to use prior to trade split via the GUI

Movement Option•Movement screen shows only triggered transactions and identifies trades eligible for movement option exercise•Electronic movement messages apply ISDA protocol rules to update maturity bucket

Auction Processing•Once ISDA DC determines which buckets will have an auction, separate events created in TIW for auction processing•TIW automatically adhered triggered transactions to the appropriate auction event on behalf of participants•Auction processing event applies auction result, calculates recovery cashflows and provides automated settlement via CLS

Documents

Restructuring Events Anglo Irish TIW Support