1. DTCC- Monthly Confirmation Process

2. 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.

3. 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.

4. 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.

5. DTCC Monthly Process
Let’s Begin….

6. Step By Step Process: Funds
PIMCO Funds:
1850 (852): JNL/Pimco Total Return
1852: JNL/Pimco Real Return Fund
(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:
: BlackRock Global Allocation Fund
6922- Andrew
6901- Jaime
6900- Lauren
Caplin
1852- Luke
1850-Ally
2600-David & Ambria
3925- Steve
9100- Luke (Ryan F & Matt Maronta)
Complete Friday, May, 10th EOD

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

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

9. 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.

10. 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.

11. 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!

12. 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.

13. 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.

14. 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 if there is a smaller amount.
Send an to PIMCO.
To:
CC:

15. 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.

16. 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:

17. 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

18. 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.

19. 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

20. Markit System Link

21. Step 8: Searching for the Security1. 2.
Select ‘MarkitWire ID’ from drop down menu.
Insert the Counterparty Reference number.
Click Search.

22. 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.

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

24. Ad Hoc Reporting: Transaction Analysis
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