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MarkitSERV DSMatch & DTCC Trade Information Warehouse

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Presentation on theme: "MarkitSERV DSMatch & DTCC Trade Information Warehouse"— Presentation transcript:

1 MarkitSERV DSMatch & DTCC Trade Information Warehouse
Q2 2012

2 Agenda What is DSMatch? What is Trade Information Warehouse?
Process Eligible Credit Default Swaps Workflow Reports What is Trade Information Warehouse? What’s New Getting Started Helpful Information Web GUI Screens

3 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

4 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

5 Product Eligibility Non-Eligible
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)

6 Workflow 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

7 Reports Report Name Content Delivery GUI: Reports  Ad-Hoc Reports
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 Daily Activity All transactions processed on the date specified by the participant 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

8 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

9 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

10 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

11 What’s New – DSMatch Credit v.10 revision 1
The GTR has three states:  Submit: Message has been submitted to the GTR Acknowledge: Message successfully received by the GTR Error: 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.

12 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 / Ad-hoc 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 to identify any errors if they occur. For phase 2, comprehensive error reporting and GTR status filtering/search functionality is scheduled to be provided.

13 Getting Started – Prerequisites
ISDA Master Agreement (or other Master Agreement) ISDA Settlement Matrix (single name Credit Default Swaps) DTCC Master MCA- Executed Bilaterally Standard Terms Supplement Master Confirmation Agrmt. Date Single Name CDS – January 1, 2001 DJ CDX Index – January 1, 2001

14 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 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

15 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

16 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

17 Web GUI Screens and Reports

18 GUI Dashboard

19 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

20 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 Go to Search to go to the corresponding product’s Search landing page. Click onto number of specified transactions and go to search page with corresponding transactions within the product.

21 General Search General Search navigation to inquire on DSMatch status.

22 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.

23 Search Results Detail DTCC Trade Reference Identifier
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. DTCC Trade Reference Identifier Certain /Uncertain

24 Trade Affirmation Details
Input your Trade Reference Number and “Submit” to enter your side of the trade. User defined Workflow Fields.

25 View Confirmed Status Warehouse “Current State” Summary.
Click to view Transaction History.

26 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.

27 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.

28 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.

29 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

30 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.

31 Spreadsheet Upload Upload Supports 1 – 500 records. Bulk Upload
Online validation of Uploaded files records.

32 File Submission Report
1 – Select desired Batch (es) for processing download files. 2 – Your Spreadsheets are prepared for Download minutes from time of request and listed for download. 3 – Your File Submission Reports are listed for download.

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