The Science of Finance CDS Reference Data: XML Changes All RED subscribers \ June 2014 RED XML Enhancement – ISDA 2014 Purpose In preparation for the introduction of the 2014 ISDA Credit Derivatives Definitions Markit will require CDS Reference Data clients to make several changes in how data is managed The purpose of this document is to outline the changes for clients in two broad categories: — Existing V9 XML Changes — New V10 XML for Entities These changes will go live from August 16th 2014 \ 2 V9 RED XML Enhancement – ISDA 2014 Change 1 – ISDA definition year File Name: Entity XML and Entity Delta XML Description: Denotes ISDA definition rules applied in a succession event XML Tag Name: ISDA Current Values: 1999, 2003 Additional values: 2014 Example XML tag: <isda>2014</isda> Notes: Report Name Entities Entities Delta This is only applicable for entities with corporate action events Full Tag Name ISDA Old Data Type / Example char (4) New Data Type / Example char (4) 1999, 2003 1999, 2003, 2014 \ 3 V9 RED XML Enhancement – ISDA 2014 Change 2 – New ISDA Transaction Type File Name: Entity XML and Entity Delta XML Description: ISDA transaction type used most commonly with each entity XML Tag Name: ISDATRANSACTIONTYPE Current Values: Based on and derived from the current ISDA Physical Settlement Matrix Additional value: EUROPEAN FINANCIAL CORPORATE Notes: The Financial Corporate type is expected to be widened by Sept 2014 Example XML tag: <isdatransactiontype> <name>EUROPEAN FINANCIAL CORPORATE</name> Report Name Entities Entities Delta Full Tag Name ISDATRANSACTIONTYPE > NAME Old Data Type / Example char (200) New Data Type / Example char (200) EUROPEAN CORPORATE EUROPEAN FINANCIAL CORPORATE \ 4 V9 RED XML Enhancement – ISDA 2014 Change 3 – New DOC clause permutation File Name: All Index XMLs Description: Legal doc clause information specified for a reference entity XML Tag Name: Docclause Current Values: MM, MR, XR, CR Additional Values: MM14, MR14, XR14, CR14 Example XML tag: <docclause>MM14</docclause> Report Name CDX ITRAXX-ASIA ITRAXX-SOVX MCDXNA ITRAXX_EUROPE ITRAXX-SDI *All Index Dynamic & Split files Full Tag Name Old Data Type / Example Docclause char(2) MM, CR, XR, MR New Data Type / Example char(4) MM, CR, XR, MR, MM14, CR14, XR14, MR14 \ 5 V9 RED XML Enhancement – ISDA 2014 Change 4 – New ISDA Transaction type for index constituents File Name: All Index XMLs Description: Determined by counterparties at the time of placing a CDS trade XML Tag Name: ISDATRANSACTIONTYPE Current Values: Based on and derived from the current ISDA Physical Settlement Matrix Additional Value: EUROPEAN FINANCIAL CORPORATE Notes: The Financial Corporate type is expected to be widened by Sept 2014 Example XML tag: <isdatransactiontype> <name>EUROPEAN FINANCIAL CORPORATE</name> Report Name CDX ITRAXX-ASIA ITRAXX-SOVX MCDXNA ITRAXX_EUROPE ITRAXX-SDI *All Index Dynamic & Split files Full Tag Name ISDATRANSACTIONTYPE > NAME Old Data Type / Example char (200) New Data Type / Example char (200) EUROPEAN CORPORATE EUROPEAN FINANCIAL CORPORATE \ 6 V9 RED XML Enhancement – ISDA 2014 Additional Points RED Mapping subscribers will be able to see changes 1 and 2 in their Entity Mapped files The following RED XMLs will remain unchanged: — Obligations XML — Obligations Delta XML — Preferred Obligations XML — All RED LCDS XMLs Please contact [email protected] for any questions \ 7 New V10 RED Entity XML – ISDA 2014 Improved File To assist clients manage their entities and respective ISDA Credit Definitions we will create a V10 XML for Entity and Entity Delta The aim is to incorporate changes in the latest V9 with an additional tag for the ISDA Credit Trading Definitions This will be to allow clients to denote which entities have been marked protocol or non protocol as part of the definitions Go-live August 16th. Clients will have until the roll date in September to switch from version 9 to 10 \ 8 New V10 RED Entity XML – ISDA 2014 Change 5 – New ISDA Trading Definition year File Name: V10 Entity XML and V10 Entity Delta XML Description: Denotes the year the ISDA Definitions are applicable XML Tag Name: ISDATRADINGDEFINITION Values: 1999, 2003, 2014, 2003_2014 Example XML tag: <isdatradingdefinition>2003_2014<isdatradingdefinition> Notes: The concept of 2003_2014 would be to distinquish Non Protocol names Report Name Full Tag Name Data Type Entities Entities Delta ISDATRADINGDEFINITION char (9) 1999, 2003, 2014, 2003_2014 \ 9 New V10 RED Entity XML – ISDA 2014 Improved File (Subject to finalisation) To assist clients manage Index constituents and their respective Standard Reference Obligations (SRO) we will deliver a new set of V10 Index XMLs The aim is to incorporate changes in the latest V9 with an additional tag defining if a constituent is SRO applicable Go-live is subject to finalisation should the industry desire the data requirement. An expected delivery date would be in mid October 2014 \ 10 New V10 RED Entity XML – ISDA 2014 New SRO Flag File Name: All Index XMLs Description: Indication that the CDS market has adopted this bond as the Standard Reference Obligation (SRO) for the index constituent XML Tag Name: ISSRO Values: true & false Notes: This may be rolled out in October 2014 Example XML tag: <issro>true<issro> Report Name CDX ITRAXX-ASIA ITRAXX-SOVX MCDXNA ITRAXX_EUROPE ITRAXX-SDI *All Index Dynamic & Split files Full Tag Name ISSRO Data Type Boolean true & false \ 11 Thank you. mines data pools intelligence surfaces information enables transparency builds platforms provides access scales volume extends networks & transforms business. Disclaimer The information contained in this presentation is confidential. 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