MarkitSERV Credit Novation Consent (CNC) Version 2.4.2

1. MarkitSERVCredit Novation Consent (CNC) Version 2.4.2 June 22nd 2011

2. Agenda • Credit Novation Consent overview • Process flow • Credit Novation Consent (CNC): getting started • Web user interface

3. Introduction • What is Credit Novation Consent? • The process by which the remaining party and transferee agree to accept each other as its new counterparty to a trade. • What is Credit Novation Consent = Confirmation? • The aim of Credit Novation Consent = Confirmation (C=C) is to replace the two-stage process of consent followed by confirmation. C=C is an automated, single-step process for parties to provide their consent and legal confirmation to a novation. • 2009 Fed Letter • Signatories committed to change the current novation process so that the action of consent for eligible trades would achieve a valid confirmation. • This followed a series of commitments made by the Operations Steering Committee. This was in conjunction with both the ISDA Board Oversight Committee and the Credit Steering Committee to significantly improve novation processing. • MarkitSERV solution • The MarkitSERV Credit Novation Consent (CNC) platform allows the transferor to obtain the required consent from the remaining party and transferee electronically. This provides one-touch assignment processing and completion within the CNC, DSMatch and the TIW.

4. What is Consent = Confirmation? Consent = Confirmation aims to simplify the Novation Consent process. The OR initiates the novation which is agreed by the EE and RP. The agreed confirmed assignment is then automatically created, sent to DSMatch and the TIW records (old and new legs) are adjusted. Participants do not need to provide any additional submissions to process the confirmation. To facilitate this functionality, the TIW has introduced the concept of a reservation. The reservation is used as a temporary placeholder to ensure there is sufficient notional to complete the novation once consent is given. The process of reserving the notional amount is initiated by CNC upon receiving a novation request from the Transferor (OR). This reservation on the notional amount must be considered in determining any future novation consent requests since there can be several simultaneous novation requests.

5. What is Consent = Confirmation? • C=C Eligibility • Both Transferee (EE) and Remaining Party (RP) must be members of the Fed 14 (See Slide 79). Additional parties to be added to Fed 14 if/when agreed by industry. • Underlying trade must be confirmed and certain in the TIW. • There must be sufficient notional on the underlying trade within the TIW to novate. • Underlying trades must not have any pending post-trade events. • The new trade must be confirmable under either STS or Matrix terms

6. Highlights & benefits • Greatly reduces the backlog of unconfirmed transactions due to pending novation consent requests • Promotes straight-though processing • Reduces operational risk • Reduction in backlog of confirmation • Credit risk reduction • Operation efficiencies • Supports increasing volumes • Avoids payment processing to wrong party • Minimizes back-office involvement in assignments

7. Supported products: all credit products currently supported by DTCC TIW: CDS, CDX, Tranches, iTraxx, ABX, CMBX, LCDX Tranche, CDS on Loans, CMBS, RMBS, SNAC, and other standard contracts. Access to DTCC TIW transactions with full trade details and status. Users can create novations for both inside and outside transactions. Outside requests are consent only, not C=C eligible. Support 4-way novations where the RP can select another account from their family for the assignment. Novation requests not completed by RP and EE by T+1 1700 EST are automatically expired. Submission date and timestamps are based on the novation consent system time, which uses US New York time. Go-Live for C=C is December 6th 2010 and any party that novates a credit derivative position is impacted Overview

8. Recent enhancements NCM 2.4.2 • Auto-Blocking Novations Auto-blocking has been introduced to automate the process of blocking novation requests. The system automatically blocks the requests on behalf of a firm. It uses an algorithm to identify which novation requests belong to the same block, and assigns block IDs accordingly. By default, auto-blocking is only switched on for users who specifically elect to use auto-blocking. Users not set up for auto-blocking can continue to manually block novate or bulk process. For further information, see slides 34-36.

9. Receive a Novation Receive a Novation Consent with Consent Request “Requested” Status Can Modify or Cancel a Submitted Request with the “Requested” Status RP is required to RP is required to submit a Reject submit a Reason for the Dispute Reason Refused NC request request using details from the Refused record Workflow: Credit Novation Consent Transferor Remaining Party Transferee Locate a confirmed and certain transaction in the TIW or request consent for an outside trade Complete and submit RP can Approve, EE can Accept, Refuse or Dispute/Undispute the request and receives all status updates Refuse, Dispute or Novation Consent Take No Action Request: MQ, GUI or CSV Upload Approve Refuse Dispute Take No Action If the RP does not complete a NC request by T+0 1800 EST, it becomes Overdue. If not completed by T+1 1700 EST, it expires and is automatically cancelled by the TIW. Post Approval, the RP can Unapprove (prior to EE approval). If the EE has also Approved and the request is C=C eligible, the novation is done and TIW updated OR can Resubmit the RP can Undispute, OR can Modify, OR can Cancel

10. Workflow: Consent = Confirmation • The OR initiates the novation request from CNC and the TIW receives the Reserve Notional amount request. • The TIW validates the message and checks for the available Notional Amount. • If the reservation is successful (the notional is available in the TIW), a Reservation Number together with the Reservation Amount is held within the TIW. • TIW status is Uncertain due to ‘Reserved Notional’. • Future coupon payments are cancelled. • Once consent is granted, the assignment is confirmed and the available notional is reduced. • The TIW reservation is lifted and coupon payments are reactivated.

11. Credit Novation Consent requirements • Standalone application • Separate from MarkitSERV DSMatch trade confirmation system • Submission types: MQ, CSV, manual (GUI) • Digital certificate requirements: • Users can utilize their existing MarkitSERV DSMatch trade confirmation (DTCC TIW) digital certificate or • Can request a separate Credit Novation Consent digital certificate

12. MarkitSERV Credit Novation Consent login • https://portal.markitserv.com/

13. Credit Novation Consent login Select Credit Novation Consent

14. MarkitSERV Credit Novation Consent login (existing users) • https://portal.dtcc.com/

15. Customized entitlements • Credit Novation Consent has been made available with expanded levels of access, which can be customized for each user to support their specific roles and work functions. • The level of access or entitlement is issued through the firm’s access coordinator who may subsequently assign the entitlements to a user through the user’s digital certificate. • The entitlements include the traditional “enquiry” and “update” capabilities and have been expanded to provide specific role-based functions. • Entitlements or functions may be issued in any combination as a “set” to the access coordinator, who would then assign the function set to the users. • Different combinations of functions will require a separate “set”, which can be assigned to the users.

16. New entitlement functions

17. Helpful hints to access coordinators • At least one of the three role-based functions should be set up: transferor, remaining party, or transferee. • Full TIW Search and auto submit function is only applicable to users acting as a transferor. • The standard setup is full access, which includes transferor (with full TIW search capability and auto submit), remaining party, and transferee. • Other combinations of functions (set of functions) may be requested and will require a separate “O-Code” to be assigned. • An O-Code is the terminology used on DTCC webdirect that refers to a grouping of products and functions eligibility.

18. Credit Novation Consent status: general view • Pending novations displayed for 48 hours from 6pm NY time (excluding weekends and holidays) from the day they reach the following states: RP consented, completed, refused, cancelled, and error. • Items are then moved into Novation History. • General view can be set as default from Admin tab.

19. Credit Novation Consent status: workflow view • ‘No Action Required’ novations are displayed for 48 hours from 6pm NY time (excluding weekends and holidays) from the day they reach the following states: RP consented, completed, refused, cancelled, and error. • Items are then moved into Novation History. • Workflow view can be set as default from Admin tab.

20. Using filters Character and date fields The following wildcards and special characters can be used with alphanumeric character strings (for example, IDs, reference numbers, statuses). Character string filters arenot case-sensitive. For example “an*” will return anything containing the characters “AN,” “An,” “an,” or even “aN.”

21. Using filters Number fields The following wildcards and special characters can be used with numbers (for example, amount and rate) and with dates.

22. Credit Novation Consent GUI demo • Core functionality • Transferor • Create, bulk create, modify, cancel, resubmit, upload • Remaining party • Bulk accept, accept, cancel acknowledge, dispute, reject, bulk accept/reject • Transferee • Bulk accept, accept, cancel acknowledge, dispute (fee or novation details) • Features • Download, print, e-mail • Filter/sort/profile • Messaging • Last update/contact details • Audit trail • Additional comments • Novation history • Admin

23. Functions • Pending novations • Summary list of pending requests for/by the user in the role of transferor, remaining party and transferee • General view: each section organized by statuses of messages: requested, EE approved, RP consented, completed, refused, overdue, disputed, cancelled, error, and all • Workflow view: each section organized by actions required: action required, awaiting other action, no action required, all • Each message is colour coded and tracked until expiration: • Full trade details on any requests displayed • Customizable user interface • User defined data fields to view your transactions • On line sorting and filtering of transactions by data fields • Print, e-mail, download

24. Functions • Create novation • Create a novation for an “Inside” trade • Search for trades “inside” the Trade Information Warehouse • C=C eligibility – see slide 5 • Highlight trades on which you wish to request a novation • Define novation details, e.g. EE, payment payer, Block Reference #, etc. • Bulk novation requests • Create a novation for an “outside” trade • Select product type and parties involved • Provide novation details and trade details • Copy outside trade details (within pending novation) • Customizable user interface • User defined data fields to view your transactions

25. Functions • Novation history • Search for a particular novation consent request or group of requests • Robust search functionality • Review trade and novation consent details • Review novation consent audit trail • Download search results into a spreadsheet • Customizable user interface • User defined data fields to view your transactions • On line sorting of transactions by data fields • Print, e-mail, download

26. Functions • Upload • Novation consent submission option • Browse for CSV file to be uploaded and submitted • Status of CSV file uploads are displayed in file download table: • Displays batch number for CSV file uploads • Time of upload for the batch • “In progress” or “completed” status • Request download of “completed” batch status • Records that fail validation would be marked as “error” and visible in pending novation screen under the “error” tab

27. Functions • Administration • User defined preferences of data fields to be displayed • Pending novations • Create novation • Novation history • Bulk processing • Default values • Auto Generate Assignment for OR on Consent only requests • Select a default profile for pre-set filtering • Select a default view from general or workflow • Select a default Role View for OR, RP or EE • Preferred lists • Transferee • E-mail addresses • Routing code • Contact details • Contact List

28. Credit Novation Consent default page (general view: August 2010)

29. Credit Novation consent default page: general view Switch between general and workflow views Primary service tabs Pending novations are colour coded based on aging of requests Novation updates by user and messaging options Displays “pending novations” in sections by party: transferor, remaining party, and transferee Specific functions available to each party Novations based on status, including for EE approved, RP consented, completed and cancelled Other features and functionality: view trade details, e-mail novation or trade details, view audit trail, view/create messages, update routing code, download novation/trade details to a spreadsheet.

30. Action required: outstanding NC request with action required by user Awaiting other action: outstanding NC request with action required by one or both other counterparties No action required: no outstanding actions for any party Workflow or general view can be selected from the top toolbar or set as the default from the admin tab Credit Novation Consent default page: workflow view Switch between general and workflow views Three ‘action’ orientated tabs are provided in the workflow view. All include the request ‘status’ column.

31. Credit Novation Consent default page Requests that are 1 Hour to Overdue are in red. Based on Novation Consent system time in US, New York Time Zone. Requests become Overdue at 1800 NYK.

32. Credit Novation Consent default page Click column header to sort information ascending or descending Select “Expand” to view by specific party Any combination of filter criteria (using input fields), sorting criteria (using up/down column arrows) may be saved and applied. Using the Admin tab, a profile may be set as the default view. Save Column Size can be used to set and save column widths. “Clear Filter” resets filtered list Right click on column headers to enter Filter criteria to refine search results

33. To create a novation for an outside trade that is not in the DTCC TIW, click on “outside request” Provide additional search criteria to narrow down search results. User can search by underlying name, counterparty id (family or specific id). Counterparty listing spread over several pages. In this example, a novation is being created for an inside trade(a trade that exists within DSMatch and the DTCC TIW). Create novation - step 1

34. Create novation - step 1: find a trade Search results page. Double click on item to view trade details Select the trade(s) to request novation consent by clicking on the trade (checkbox). If the user is setup for autoblocking, the ‘block novate’ button disappears at this point. The user selects ‘next to define details button to enter block novation details. Concurrently, the system runs a validation to check block novate eligibility for the selected trades. The first selected trade sets the criteria for subsequent trades that can be blocked with this first selected trade. If the selected trades cannot be autoblocked, bulk processing applies. If the user is not setup for autoblocking, the ‘block novate’ button remains and the user can manually block novate. Select (checkbox) trades and click ‘block novate’. The button will take the user to the next screen to define block novation details. Concurrently, the system runs a validation to check block novate eligibility for the selected trades. The first selected trade sets the criteria for subsequent trades that can be blocked with this first selected trade. If the selected trades cannot be blocked, bulk processing applies. Alternatively, select (checkbox) trades andclick “next to define details” button. This process is used for bulk processing.

35. Create novation - step 2: define novation details (single) Create novation by completing all required* fields. TIW status field as of the time request is submitted. Block Reference # is system generated as appropriate for the novation if part of a block of transactions for the same EE. Old notional amount is the current notional found in TIW. Available notional includes pending assignments and terminations. If the Novated Amount is greater than Available (unreserved) Notional in the TIW, the request is submitted but will be found on the Error tab. Payment information is only visible to OR and EE. Fields are mandatory. Payment amount currency matches notional by default (inside). Popup generated if different. Auto Generate Assignment default to Yes for C=C or C only ‘inside’ requests for OR. Once novation details complete, click ‘next to review & send.

36. Create novation - step 2: block reference # & bulk processing Single transaction novation The OR can block together transactions that have the same economic details on various fields and are being novated to the same EE. Submission of the block reference # enables the EE to match the transaction at a block level in MarkitWire (if applicable). If autoblocking applies, the platform automatically generates a block reference #. If not, the platform can automatically generate a block reference #, or the user can manually enter a unique block reference #. Multiple transaction novation Select required transactions. If a value is entered into the first row of the selection under any editable column, this value is copied down to each subsequent selected row of that column of the grid. Any existing values in the selected rows are overwritten. The only exception to this is the Trade Supplement # for each request. If autoblocking applies, the platform automatically generates a block reference #. If not, the platform can automatically generate a block reference #, or the user can manually enter a unique block reference #.

37. Create novation - step 3: review and send request Check novation request and click “send request”

38. Pending novations screen: OR view Novation consent request appears in the OR view OR can modify or cancel novation OR can amend any editable field and click modify. C=C Eligibility field is displayed If already modified, user can compare to the original request. OR can provide additional comments

39. OR – resubmit, modify, or cancel from the refused tab OR can resubmit, modify or cancel the request from the refused tab

40. Pending novations screen: RP and EE view Novation consent request appears in the RP view RP can accept, refuse, or dispute Novation consent request appears in the EE view EE must accept, refuse or dispute for C=C

41. Pending novations screen: RP bulk approval/reject RP can select all or select multiple requests separately (hold mouse button down, or press CTRL or shift key). Functions within options button will be active, when applicable, as well as consent request button for bulk approve/reject. RP can un-check items to exclude from bulk approval/reject then click onto accept, refuse, dispute or save. Remaining party can bulk approve outside (of TIW). Inside (of TIW) requests must be confirmed and certain for C=C. Otherwise, they are considered outside requests and are Consent Only. On approve, conditional confirmation window pop-up (RP only). On refuse/dispute, user must input and save reasons prior to process. ‘White’ fields can be edited, ‘grey’ fields cannot be edited.

42. RP – review consent request RP can accept, refuse, dispute or save other information RP can add a routing code without taking action on the request, amend RP reference number, or add RP ref number supplement Submission date & time based on novation consent system time using US, New York time zone If RP refuses, must provide reject reason If RP disputes, must provide dispute reason RP may provide additional comments

43. RP – review consent request RP can accept, refuse, dispute or save other information The request may be Consent only or C=C eligible, and eligible to be processed in MarkitWire RP can add a routing code without taking action on the request, amend RP reference number, or add RP ref number supplement Due/Expiry (Auto) date & time based on novation consent system time using US, New York time zone If RP refuses, must provide reject reason If RP disputes, must provide dispute reason RP may provide additional comments

44. Pending novations screen: EE bulk approval/reject EE can select all or select multiple requests separately (hold mouse button down, or press CTRL or shift key). Functions within options button will be active, when applicable, as well as consent request button for bulk approve/reject. EE can un-check items to exclude from bulk approval/reject then click onto accept, refuse, dispute or save. EE can bulk approve outside (of TIW). Inside (of TIW) requests must be confirmed and certain for C=C. Otherwise, they are considered outside requests and are Consent Only. On refuse/dispute, user must input and save reasons prior to process. ‘White’ fields can be edited, ‘grey’ fields cannot be edited.

45. EE – review consent request EE can accept, dispute or save other information EE can add a routing code without taking action on the request, or add EE reference number If EE disputes, a type and reason must be entered EE may provide additional comments

46. EE – review consent request EE can accept, refuse, dispute or save other information The request may be Consent only or C=C eligible, and eligible to be processed in MarkitWire EE can add a routing code without taking action on the request, or add EE reference number If EE disputes, a type and reason must be entered EE may provide additional comments

47. Novation record is created in DSMatch: Consent only If the request is Consent Only, the assignment record is created for the OR and submitted to DSMatch when the RP & EE approves the novation consent request

48. Novation record is created in DSMatch: C=C If the request is C=C eligible, the assignment record is created for the OR, submitted, matched, confirmed and TIW status is Certain in DSMatch when the RP and EE approves the novation consent request

49. Cancellation acknowledgment RP and EE users have the option to acknowledge a cancelled novation. General view: cancelled request accessed from the ‘cancelled’ tab. Select and click ‘consent request’. Workflow view: cancelled request accessed from the ‘action required’ tab. Select and click ‘consent request’. If acknowledged by the RP or EE, the request moves to the ‘all’ tab for the RP or EE. It remains for 48 hours before moving to novation history. A status of ‘cancel-ack’ has been added to the RP status and EE status columns.

50. Audit trail - details and additional comment Audit trail for a novation consent request is readily available under options button, or from novation history tab. Audit trail can provide history of actions taken, additional comments provided, as well as RP and EE status. EE dispute comments, RP dispute comments, master document transaction type, and I/O also available as viewable columns set in admin tab.