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? ProcessEligible Credit Default SwapsWorkflowReportsWhat is Trade Information Warehouse?What’s NewGetting StartedHelpful InformationWeb GUI Screens
3 What is DSMatch? Real time matching and confirmation Credit Default Swaps Single NameCredit Default Swap IndexCredit Default Swap Index TrancheProvides straight through processingNew TradesPost Trade TransactionsIntegrated with Trade Information WarehouseMaintenance of up-to-date status of credit derivatives contractsPayments/Cashflows
4 ProcessConnects 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 screenCompares both sides of transactions and provides “best possible” matches and confirmed trade statusTrade affirmation and validation provides ability to review and submit transactionsAutomatically 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 productsCDS Short (Single Name CDS)Asset Backed Index (ABX)CDS IndexCommercial Mortgage Backed Index (CMBX)CDS Index TrancheCDS on Residential Mortgage-Backed Securities (RMBS) and LCDX TranchesCDS on LoansCDS on Commercial Mortgage-Backed Securities (CMBS)LCDX – new Master Confirmation Transaction type for IndexNon-EligibleCollateralized Debt Obligations (CDO)Credit Linked Notes (CLN)
6 Workflow Search for transactions using web interface Input transactions manually or via upload facilityView transaction details and statusReview transaction historyModify or cancel transactionsValidate trade informationPerform post trade transactionsRetrieve Reports
7 Reports Report Name Content Delivery GUI: Reports Ad-Hoc Reports Unconfirmed TransactionsAll Unconfirmed transactions as of the time report is requested by the participantOn request, real-timeAlleged TransactionsAll transactions alleged by counterparties as of the time report is requested by the participantDaily ActivityAll transactions processed on the date specified by the participantDaily RejectAll 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 contractFully integrated with DSMatch to automate and standardize post-trade processesContract MaintenanceStore and maintain the “official legal record” of credit derivatives contractsPayment ProcessingFor “official legal records” maintained in the warehouse (payment matching/affirmation for contracts with economic records only)Automated feeds to multi-currency central settlement serviceEvent ProcessingCredit EventsSuccessor EventsCentral SettlementFor all “official legal records” maintained in the warehouseAutomated feeds to central multi-currency settlement service
9 Trade Maintenance - “Gold” Records The Warehouse contains the “golden copy” of the tradeOnce fully-registered and assigned a DTCC TRI, becomes an up-to-date trade recordRepresents the primary record of the trade – the “official legal record” - over and above any records held by the parties to the tradeIn the event of a dispute, it is the golden copy which defines the state of the contract at any point in timeOngoing maintenance of Warehouse positionsWarehouse records are updated by assignment, termination, increase, and amendment recordsNotional amounts are tracked for all TIW downstream processesAll firms must ensure that all records are kept up to date so that accurate positions are heldEnsure all subsequent post-trade events are submitted to DSMatch for electronic matchingPeriodically reconcile Warehouse positions with internal positionsBesides 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 GTRAcknowledge: Message successfully received by the GTRError: Submission failed the GTR validation stages and resulted in an errorThe 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 tradeTrade details provide a Reporting Summary of report information including several defaulted fields.
12 What’s New – DSMatch Credit v.10 revision 1 GTR ReportingThis 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 ReportThe 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 MasterMCA- Executed BilaterallyStandard Terms SupplementMaster Confirmation Agrmt. DateSingle Name CDS – January 1, 2001DJ CDX Index – January 1, 2001
14 Access and Data Submission Automated FpML MessagingVia T1 Line using Computer-to-Computer connectionsMQ real time messagingSpreadsheet UploadManual upload of csv file using web user interfaceTransaction FormManual data entry via web user interfaceAffirmationMost common method for firms to process transactionsFirms review trades/transactions submitted by counterpartyFirms validate transaction informationFirms completely approve counterparty submission or submit changes
15 DSMatch Transaction Types New TradeThe original entry of the deal into DSMatchAmendmentA transaction to change the terms of a deal except the parties to the trade (see Assignment) or to the trade reference numbersAssignmentOne 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 involvedTerminationAn 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 unwindIncreasesAn 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 derivativesExits from DTCCRemoves 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 ConfirmedPertains to a trade/event record that has been fully-matched and deemed legally confirmedUnconfirmedPertains to a trade/event record you submitted that has not been fully-matched or affirmed by the counterpartyAllegedPertains to a trade/event records alleged by a counterparty for which you have no matching recordCancelledAn unconfirmed transaction that has been cancelled by the originating partyPendingAny post-trade transaction whereby the underlying trade is still “Unconfirmed” in statusRejectedA transaction that cannot be validated according to the format or business rulesDKNot strictly a ‘status’, this indicates that an alleged counterparty does not recognize the transaction
19 GUI DashboardAppears when you first log into DSMatch from the Deriv/SERV portalProducts segregated with current day transaction statistics and chartStatistics number links provide list of corresponding transactions within the productE.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 productUse Admin link to remove/reinstate products from DashboardMay also arrange the order of the products in the dashboardMay also use Admin link to change password
20 GUI DashboardThe 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 SearchGeneral Search navigation to inquire on DSMatch status.
22 General SearchSearch Trade Warehouse Deals by unique DTCC Transaction Reference Identifier (TRI).CertainA 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.UncertainA 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 IdentifierCertain /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 HistoryProvides 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 PartyReference 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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