Transcript Slide 1

MarkitSERV DSMatch
& DTCC Trade
Information Warehouse
Q2 2012
Agenda
 What is DSMatch?
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Process
Eligible Credit Default Swaps
Workflow
Reports
What is Trade Information Warehouse?
What’s New
Getting Started
Helpful Information
Web GUI Screens
What is DSMatch?
 Real time matching and confirmation
– Credit Default Swaps Single Name
– Credit Default Swap Index
– Credit Default Swap Index Tranche
 Provides straight through processing
– New Trades
– Post Trade Transactions
 Integrated with Trade Information Warehouse
– Maintenance of up-to-date status of credit derivatives contracts
– Payments/Cashflows
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Process
 Connects to most major dealers globally and over 2,200 buy-side firms
using mainframe-to-mainframe real time messaging and secured internet
access via a browser-based screen
 Compares both sides of transactions and provides “best possible”
matches and confirmed trade status
 Trade affirmation and validation provides ability to review and submit
transactions
 Automatically updates TIW with current state of trades for accurate
processing of payments, events, net settlement and subsequent post
trade transactions
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Product Eligibility
 DSMatch and the Trade Information Warehouse are fully-integrated for
the following credit products
 CDS Short (Single Name CDS)
 Asset Backed Index (ABX)
 CDS Index
 Commercial Mortgage Backed Index (CMBX)
 CDS Index Tranche
 CDS on Residential Mortgage-Backed Securities (RMBS) and
LCDX Tranches
 CDS on Loans
 CDS on Commercial Mortgage-Backed Securities (CMBS)
 LCDX – new Master Confirmation Transaction type for Index
 Non-Eligible
– Collateralized Debt Obligations (CDO)
– Credit Linked Notes (CLN)
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Workflow
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Search for transactions using web interface
Input transactions manually or via upload facility
View transaction details and status
Review transaction history
Modify or cancel transactions
Validate trade information
Perform post trade transactions
Retrieve Reports
Reports
GUI: Reports  Ad-Hoc Reports
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Report Name
Content
Delivery
Unconfirmed
Transactions
All Unconfirmed transactions as of the time
report is requested by the participant
On request,
real-time
Alleged
Transactions
All transactions alleged by counterparties as of
the time report is requested by the participant
On request,
real-time
Daily Activity
All transactions processed on the date
specified by the participant
On request,
real-time
Daily Reject
All transactions that were rejected on the date
specified by the participant. Includes records
that would be displayed on the GUI on the
Search and Transaction History screen
On request,
real-time
What is Trade Information Warehouse?
 A central and secure global infrastructure providing a comprehensive central
trade database containing the most up-to-date record of each credit
derivatives contract
 Fully integrated with DSMatch to automate and standardize post-trade
processes
 Contract Maintenance
– Store and maintain the “official legal record” of credit derivatives contracts
 Payment Processing
– For “official legal records” maintained in the warehouse (payment
matching/affirmation for contracts with economic records only)
– Automated feeds to multi-currency central settlement service
 Event Processing
– Credit Events
– Successor Events
 Central Settlement
– For all “official legal records” maintained in the warehouse
– Automated feeds to central multi-currency settlement service
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Trade Maintenance - “Gold” Records
 The Warehouse contains the “golden copy” of the trade
– Once fully-registered and assigned a DTCC TRI, becomes an up-to-date trade
record
– Represents the primary record of the trade – the “official legal record” - over and
above any records held by the parties to the trade
– In the event of a dispute, it is the golden copy which defines the state of the
contract at any point in time
 Ongoing maintenance of Warehouse positions
– Warehouse records are updated by assignment, termination, increase, and
amendment records
– Notional amounts are tracked for all TIW downstream processes
 All firms must ensure that all records are kept up to date so that accurate
positions are held
– Ensure all subsequent post-trade events are submitted to DSMatch for electronic
matching
– Periodically reconcile Warehouse positions with internal positions
 Besides the legal implications, downstream processes, such as payment
calculation and settlement, will be accurate only if Warehouse records are
kept “gold” and constantly up-to-date
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What’s New – DSMatch Credit v.10 revision 1
Global Trade Repository (GTR)
One of the key aims of this release is to send trades down to the Global Trade Repository
(GTR).*
The GTR is a trade repository with the primary function to provide an information depot to be
able to disseminate information to the Regulators, Dealers, Brokers and Market Participants.
The GTR is also a data repository and can support multiple reporting regimes. It can accept
messages for Dodd-Frank Reporting, EMIR, or Asian regulations such as HKMA, MAS. The
same trade repository can facilitate different regulatory requirements.
* Existing positions have been backloaded into the GTR by DTCC
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What’s New – DSMatch Credit v.10 revision 1
The GTR has three states:
• Submit:
• Acknowledge:
• Error:
Message has been submitted to the GTR
Message successfully received by the GTR
Submission failed the GTR validation stages and resulted in an error
The GTR status is sent back to DSMatch with a Delivered (acknowledged ‘ack’) or Error (not acknowledged ‘n-ack’)
message/status for participants on version 10 of MQ Messaging.
However, (for users not on v.10 messaging) the GTR status can also be viewed in the GUI under the ‘Reporting
Summary’ of a confirmed trade details.
Reporting Summary on a confirmed trade
Trade details provide a Reporting Summary of report information including several defaulted fields.
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What’s New – DSMatch Credit v.10 revision 1
GTR Reporting
This release includes approximately 40% of additional reporting fields required for the Dodd Frank go live release
expected in July 2012.
Therefore, for this release, all of these
reporting fields are optional. DSMatch auto
populates Defaulted Reporting Fields.
Reporting fields can also be uploaded post
trade (csv and MQ). Please see the
Spreadsheet Upload Template for further
information.
GTR Error Report
The report displays trades returning from the GTR with an ‘Error’ status. It is accessed from the Reports menu / Adhoc Reports within DSMatch.
DSMatch imposes similar validations to the GTR as part of the confirmation
process. No errors are expected to be received from the GTR in phase 1 since any
errors should be identified in DSMatch. For phase 1, please contact MarkitSERV
Client Services ([email protected]) to identify any errors if they occur.
For phase 2, comprehensive error reporting and GTR status filtering/search
functionality is scheduled to be provided.
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Getting Started – Prerequisites
ISDA Master
Agreement
(or other
Master
Agreement)
MCA- Executed
Bilaterally
DTCC Master
Master Confirmation Agrmt. Date
Single Name CDS – January 1, 2001
DJ CDX Index – January 1, 2001
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ISDA
Settlement
Matrix (single
name Credit
Default Swaps)
Standard
Terms
Supplement
Access and Data Submission
 Automated FpML Messaging
– Via T1 Line using Computer-to-Computer connections
– MQ real time messaging
 Spreadsheet Upload
– Manual upload of csv file using web user interface
 Transaction Form
– Manual data entry via web user interface
 Affirmation
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Most common method for firms to process transactions
Firms review trades/transactions submitted by counterparty
Firms validate transaction information
Firms completely approve counterparty submission or submit changes
DSMatch Transaction Types
 New Trade
– The original entry of the deal into DSMatch
 Amendment
– A transaction to change the terms of a deal except the parties to the trade (see
Assignment) or to the trade reference numbers
 Assignment
– One of the parties to an existing derivative contract transfers all/part of its rights and
obligations under the contract to a third party, with the approval of all three parties
involved
 Termination
– An agreement to reduce the notional amount or number of options of a trade, usually
involving a payment from one party to the other. Also called a partial unwind
 Increases
– An agreement to augment the notional amount or number of options of a trade,
usually involving a payment from one party to the other. More common for equity
derivatives
 Exits from DTCC
– Removes a confirmed trade from the DTCC system. All parties must agree to exit the
transaction. Used when a trade needs to be processed outside of the DTCC system
DSMatch Transaction Status Descriptions
 Confirmed
– Pertains to a trade/event record that has been fully-matched and deemed legally
confirmed
 Unconfirmed
– Pertains to a trade/event record you submitted that has not been fully-matched or
affirmed by the counterparty
 Alleged
– Pertains to a trade/event records alleged by a counterparty for which you have no
matching record
 Cancelled
– An unconfirmed transaction that has been cancelled by the originating party
 Pending
– Any post-trade transaction whereby the underlying trade is still “Unconfirmed” in
status
 Rejected
– A transaction that cannot be validated according to the format or business rules
 DK
– Not strictly a ‘status’, this indicates that an alleged counterparty does not recognize
the transaction
Web GUI Screens and Reports
DEMO
GUI Dashboard
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GUI Dashboard
 Appears when you first log into DSMatch from the Deriv/SERV portal
 Products segregated with current day transaction statistics and chart
 Statistics number links provide list of corresponding transactions within
the product
– E.g., Credit Unconfirmed number will bring you to the Credit Search page with
the current day’s unconfirmed transactions
 ‘Go to Search’ button links to landing page of each product
 Use Admin link to remove/reinstate products from Dashboard
– May also arrange the order of the products in the dashboard
– May also use Admin link to change password
GUI Dashboard
The Dashboard will segregate all
the product entitlements for a
digital certificate, and provide
summary statistics for the current
day’s transactions within the
products.
Click onto number of specified
transactions and go to search
page with corresponding
transactions within the product.
Click onto Go to Search to go to
the corresponding product’s
Search landing page.
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General Search
General Search navigation to inquire on DSMatch status.
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General Search
Search Trade Warehouse Deals by
unique DTCC Transaction Reference
Identifier (TRI).
Certain
– A contract is certain under two conditions.
– There are no unconfirmed (in-flight) post-trade events.
– The calculated Current Warehouse Notional Amount resulting from all trade life-cycle events is not negative.
Uncertain
– A contract is uncertain if a previously ‘certain’ trade has an ‘in-flight’ or pending post trade event.
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Search Results Detail
DTCC Trade Reference Identifier
Certain /Uncertain
Automatic Push – Your back loaded trade has been automatically sent to the Warehouse because it has fully matched your
counterparty’s record AND has also matched the Imputed Trade State derived from the DSMatch system (if it exists there).
Manual Push - Both parties have bilaterally manually ‘pushed’ matched back loaded trades that do not successfully compare
with the Imputed Trade State.
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Trade Affirmation Details
Input your Trade Reference
Number and “Submit” to
enter your side of the trade.
User defined Workflow Fields.
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View Confirmed Status
Warehouse “Current
State” Summary.
Click to view
Transaction History.
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Transaction History
Provides audit trail of
trades and related post
trade transactions.
Provides Warehouse
status and effects of post
trade transactions on
notional amount.
Click to view details of
each transaction activity.
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Post Trade Event Processing
 Once a trade is confirmed, you and the counterparty can agree to perform a post-trade
event/transaction.
 Transactions you can perform against a confirmed trade are indicated within the dropdown
box.
 Initiate transactions by clicking on the transaction type and the Submit button on the lower
right of the confirmed trade’s View screen.
 All post-trade transactions must be bilaterally matched, similar to new trades.
 Post-trade transactions can also be done using the affirmation process.
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Assignment Processing
 An assignment, or novation, occurs when one of the parties to an existing derivative
contract transfers its rights and obligations under the contract to a third party.
 The transaction requires the agreement of all three parties: the transferor, the transferee,
and the remaining party.
 To enter an Assignment, from a confirmed view select Transferor Assignment from the
dropdown on the lower right and click Submit.
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Assignment Processing
 Assignment Initial Screen requires the following fields to be added prior to moving on to the
detail screen:
– Transferee (EE) Stepping-In Party
– Reference Number Supplement
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Assignment Processing
 The following fields are required to complete the Assignment:
– Novation Date, Transferee, Novated Amount and Reference Number Supplement.
– Novated amount needs to be less than or equal to the old notional amount.
– Supplement needs to be unique for each assignment for specific reference number.
Enter Novated Amount.
If applicable, enter single
Payment Amt info associated
with this post-trade event.
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Spreadsheet Upload
Upload
Supports 1 – 500 records.
Bulk Upload
Supports 1 – 10,000 records.
Online validation of Uploaded files records.
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File Submission Report
1 – Select desired Batch (es) for
processing download files.
2 – Your Spreadsheets are prepared
for Download 15-20 minutes from time
of request and listed for download.
3 – Your File Submission Reports are
listed for download.
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