DTCC- Monthly Confirmation Process

DTCC: What is that?! The Depository Trust & Clearing Corporation (DTCC) through its subsidiaries provides clearance, settlement and information services for : Equities Corporate and municipal bonds Government and mortgage-backed securities Money Market instruments Over-the-counter derivatives In addition, DTCC is a leading processor of mutual funds and insurance transactions, linking funds and carriers with their distribution networks.

DTCC Confirmation Process: Significance Audit- KPMG Quarterly 12.31 Audit Verification Purposes This process is very similar to the New Security Setup process. The DTCCs serve as confirmation or backup for these securities: Interest Rate Swaps, Credit Default Swaps, Options, etc. 3rd Party Confirmation MarkitSERV Directly: Via the MarkitSERV site Indirectly: Via sub-adviser DTCC Confirmation VS. Trade Tickets Replaces trade tickets we used in the past.

DTCC: MarkitSERV Simply Put: DTCC's joint company with Markit, MarkitSERV, combines the DTCC Deriv/SERV and Markit Wire trade confirmation platforms to cover all major asset classes including credit, interest rate, equity and commodity derivatives. MarkitSERV was created in response to calls from regulators for greater cooperation within the industry over electronic trade confirmation to reduce risk in the OTC (over-the-counter) derivative markets. More than 50 banks, 50 inter-dealer brokers and 1,200 funds are already connected to the service which is expected to handle in excess of 15 million confirmations in its first year. Simply Put: MarkitSERV is a database that houses the DTCC confirmations that we would need for the DTCCs Confirmation Process. We utilize this database to access all of the requested confirmations.

DTCC Monthly Process Let’s Begin….

Step By Step Process: Funds PIMCO Funds: 1850 (852): JNL/Pimco Total Return 1852: JNL/Pimco Real Return Fund 150000 (7810): Montgomery Street Income 6900 (6852): Curian Pimco Total Return Fund 6901 (7852) : Curian/Pimco Income Fund 6922 (2852): Curian/Pimco Credit Income Fund Goldman Funds: 2600 : JNL/Goldman Sachs Core Plus Bond 3925: JNL/Goldman Sachs Emerging Markets Debt Fund Blackrock: 1. 9100: BlackRock Global Allocation Fund 6922- Andrew 6901- Jaime 6900- Lauren 150000- Caplin 1852- Luke 1850-Ally 2600-David & Ambria 3925- Steve 9100- Luke (Ryan F & Matt Maronta) Complete Friday, May, 10th EOD

Step By Step Process: PIMCO DTCC Confirmation Acct #: 1852 Security: SWU023WT1

Step By Step Process: Goldman Sachs DTCC Confirmation Counter Party Reference Number = MarkitWire Trade ID

Step 1: Determine Fund’s Asset Holdings Pull Spectra (Ad Hoc Reporting) for Current Month*: Details the swaps (& other derivatives) that the fund holds for the given month. OR Receive Confirm Tracker*: Usually sent by Brett Bryner or by Financial Reporting. (Provided for Audits) * You will have a spectra/confirm tracker for each respective fund.

Step 2: Locate the Confirmation Ticket Search the R:Drive for an existing confirmation related to that specific security. It’s important to complete the process monthly. Sometimes we can transfer a confirmation ticket from a prior month’s folder into the following month’s folder. However, we would need to verify that there wasn’t any activity that affected our position in that respective security. In the event that there were changes we would need to request an updated confirmation, which would reflect the changes in our position.

For Example… 1. Fund #2852 Holdings Spectra as of October 31, 2012. 2. Security Number: SWPC029T1 3. Search R:Drive. You found the DTCC confirmation for SWPC029T1, but wait!

For Example (Cont’d) … It’s important to check the notional amounts to ensure that the confirmation reflects any changes in our position. If the notional amount ties out, save the pdf confirmation in the respective folder. In this case we would re-save the confirmation in October 2012’s folder.

Step 3: What if We Don’t Have the Confirmation? Sometimes, our position in a given security has changed or it’s a newly traded derivative. We would need an updated confirmation to either reflect the changes or to verify the new transaction. If it’s a security held by a PIMCO Fund, we would request the security directly from PIMCO. NOTE: If the security begins with SWP0 CHANGE TO SWU. If it’s a security held by a Goldman Sachs Fund, we would do the following: Reach out to Steve Hecker & Goldman Sachs. Access the MarkitSERV site.

Step 4: How to request confirms from PIMCO… Create a list of all the missing confirmations for all of the PIMCO funds. Make a separate excel sheet for each fund if there’s an abundance of missing confirmations. List the securities within the body of the email if there is a smaller amount. Send an email to PIMCO. To: Patty.Morris@pimco.com SwapClientRequests@pimco.com Kimberly.Weed@pimco.com Christy.Fahilga@pimco.com CC: jnamfainterns@jackson.com

Step 4: How to request confirms from PIMCO… (Cont’d) Once confirmations are received, verify that all of the requested confirmations were sent by reconciling with your list. Then save them out in the necessary folders and/or re-request any confirmations that PIMCO neglected to send.

Step 5: Goldman Sachs Confirms Contact Steve Hecker- Liaison Request a spectra containing “all transactions” for Accts#: 2600 & 3925 for the given month. We will receive the following from GS via S.Hecker:

Step 5: Goldman Sachs Confirms Cont’d The spectra received from GS & our monthly spectra are necessary for the next steps. We will need the following information for the process: Enterprise Spectra: Security Number Shares/Par Goldman Sachs Spectra: Cpty Ref# (Counterparty Reference) Quantity Goldman Sachs Spectra Enterprise Spectra

Step 6: Goldman Sachs Confirms Enterprise Spectra Goldman Sachs Spectra Using “Shares/Par” and “Security Number” from the “Enterprise” Spectra, locate matching figures on “Goldman Sachs” Spectra. Cross-reference the above with “Prod_Sec_i” and “Shares_Notional” from “Goldman Sachs” Spectra. Search for the security using the corresponding Counterparty Reference, which is found under “CptyRef” in GS’ spectra. Use only the numbers of the CptyRef to search for the security in the Markit System.

Step 7: Log Into the Markit System Markit System Login information & Link to the site is located in the R:Drive. R:\Funds\Fund Accounting\Intern Documentation\DTCC Project_Audit Request\DTCC Confirms\ Markit System Information

Markit System Link

Step 8: Searching for the Security 1. 2. Select ‘MarkitWire ID’ from drop down menu. Insert the Counterparty Reference number. Click Search.

Step 9: Save-out Confirm Click the link If there are multiple links save out each one. Verify Trade Date, Currency, Notional Amount, Fixed Rate Save-out confirm in the R:Drive.

Any Issues?? Contact: Steve Hecker: steve.hecker@jackson.com Brett Bryner: brett.bryner@jackson.com

Ad Hoc Reporting: Transaction Analysis Go Back