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Document Sample
Physical Settlement 'Fallback'
Primary Action Secondary Action under Supplement DTCC Action
DC Receives a Request DC Receives a Request
DC will take time to opine on the DC will take time to opine on the
occurrence of a CE after the receipt of occurrence of a CE after the
request on the "Credit Event Resolution receipt of request on the "Credit
Request Date" Event Resolution Request Date"
DC Determines MarkIT
At the COB on the day the DC
(i) Restructuring has occurred; and (ii) determines that an R has occurred,
one or more auctions may be held MarkIT will reversion the relevant indices
21 Calendar days
DC Index Trade DTCC
(i) identify relevant obligations; and (ii) Index Continues to trade with R name DTCC to use the current CE process to Reversion the index with an EDD
allocate to appropriate Maturity Buckets. approx 2 removed - can be added back in on next of the "last roll date - 1 day" Firms need to book the 'single name corporate'
Rounding Down convention applies. weeks Index Roll date trade manually?
Final Lists of Deliverable Obligations Single Name Corporate
ISDA Publishes Final List of Deliverable
Obligations and Range of Scheduled
Maturity Dates to be assigned to each RENA of name in Index. [Index
Maturity Bucket Documentation] MarkIT XML Proposal
DTCC
5 Business Days to trigger (2BD for DTCC creates two events: (1) Best Practice - an Event where Firms use
Seller, 5 BD for Buyer, Seller trumps the Event Adherence Process to indicate they have triggered a specific
Buyer in first 2 BD) trade; and (2) An event that can be used to indicate if a firm has triggered
outside of (1) - ie by a paper fax
Exercise Deadline DTCC Exercise Deadline Partial Triggers
COB on 5th Business Day following
publication of the Final Lists of DTCC advise the DC of how many trades COB on 21st BD to send Trigger Firms to book the partial trigger as a 'New trade' and partially unwind their
Deliverable Obligations are triggered - 300/5 Criteria notice original deal
CH Triggers
How do the Clearing houses advise DTCC of the Triggers?
1 Business Day
Auction Publication by ISDA ISDA
1 BD after Exercise Deadline ISDA will ISDA can announce that an Auction
announce the Auctions for each Maturity bucket has been satisfied if the 300/5
Bucket. Criteria are met
DTCC
10 Calendar days
3 Business Days (Buyer Trumps Seller
if both send Notice of Movement) Best Practice: DTCC to set up a second Event for Firms to either move
down to the next Auction (Buyer) or up to 30 yr for Sellers
Movement Option Deadline
COB on 3rd Business Day following the
final Auction Publication by ISDA
>= 2 Business Days
Auction NOPS DTCC
For trades where firms have adhered under the 'Best Practice' , during both
the Exercise and Movement Option Events, DTCC will automatically
The Auction Date will be set to occur no process these trades and calculate correct cashflows - this is for straight
earlier than 2 Business Days following Buyer must deliver NOPS within single name Corporate deals and also resultant single name index deals,
the Movement Option Deadline. 10 calendar days of Trigger trigerred trades would then be exited
1 Business Day
Notice of Phys Settle Date Physical Settlement
For RAST's trades and also for CDS
Contracts in Maturity Buckets that do not 5 BD of NOPS for bonds/30 days
have an Auction for Loans
