DTCC Instructions

DTCC -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

These confirms are 3rd party verification for our derivative trading. Quarterly, these confirms are used by financial reporting for PIMCO funds. Additionally, these confirms are used for audit.

The funds involved:

PIMCO Funds:

  1. 1850 (852): JNL/Pimco Total Return
  2. 1852 (1852): JNL/Pimco Real Return Fund
  3. 150000 (7810): Montgomery Street Income
  4. 6900 (6852): Curian Pimco Total Return Fund
  5. 6901 (7852) : Curian/Pimco Income Fund
  6. 6922 (2852): Curian/Pimco Credit Income Fund

Goldman Funds:

  1. 2600 (103208): JNL/Goldman Sachs Core Plus Bond
  2. 3925 (609876): JNL/Goldman Sachs Emerging Markets Debt Fund

Blackrock:

  1. 9100 (9101): E_JN-GA, BlackRock Global Allocation Fund
  2. 6953 (69531) SMF_CC-GC, BlackRock Long Short Credit Fund

Running the Spectra – Tells us what confirms we need to save out

  1. Run Spectra in Sungard; Jump To: Spectra

Select: Owner Name: Ulx11100

> Filter

>Select “Transaction Analysis DTCC Confirms 2” => Double Click

Select: “Report to File” to save or “Report to Screen” to show the Sungard screen

Account Number: 4

Date: 1st of Month to last of month (i.e. July 1 – July 31)

Save as [Month] SWAPS Spectra inDTCC Confirms Database> Year > Month

*The spectra gives us a list of all the swaps for the month selected. The swaps for the Pimco, Goldman, and Blackrock funds are only ones we currently need to save out.

**Goldman, Pimco and Blackrock funds should all be saved out and highlighted on the spectra

Pimco

  1. Pull the Pimco securities out of the spectra and place them in a new excel document with one fund for each tab. There should be six tabs for each of the six Pimco funds.

*Change any security with a security number beginning with SWP0 to SWU0.

** If there is a “P” or “R” at the end, remove it. Each security should be 9 digits.Add a “U” after the “SW” for these confirms. Add an extra “0” after the U if necessary. Example: SW002PE8R => SWU002PE8

***Securities with “ICE” or “CME” in the security description are unavailable and not needed because they are exchange traded securities. Do not request them.

****For Credit Default Swaps (CDS), (begins with SWPC), delete the 00001 on each of the security number.

*****Delete any dates in the security number column. Only the 9 digit security number should be in the security number column.

  1. Reach out to Pimco for Confirms for Pimco Funds [1850-(852), 1852, 150000-(7810), 6900-(6852), 6901-(7852), 6922-(2852)]

To:; ; ;; ;

CC: JNAM FA Interns;

Subject: DTCC Request

  1. Save Pimco Confirms under proper month and fund number in DTCC Confirms Database, match with swaps on spectra-highlight what has been saved

  1. Goldman funds (2600, 3925) have their confirms available on MarkitWire. Log on to MarkitWire using the information saved in Intern documentation=>DTCC project=> DTCC Confirms Database =>Markit System Info

Once you log into Markit you can search by dates=> custom dates (or prior month) => enter desired search dates

Search.

You can also search by fund by entering the same information but selecting the appropriate funds from the “internal account” dropdown box

Internal Account: GSAM_609876 = Emerging Markets 3925

GSAM_609451 = JNL/Goldman Sachs Core Plus Bond 2600

Match the confirms to the spectra and save to the proper folder. Use Trade date, Security, and Notional Amount (Shares/Par) to match to confirm.

*Goldman Confirms may not always be found in the proper month. Search into the beginning of the current month if necessary

**Any questions with Goldman, feel free to ask Thomas Murphy

*Goldman securities on the spectra with a security description beginning with “IR” or “BFE” are unavailable and do not need to be saved out.

**Many of the swaps will show both a receivable and payable on the spectra for each swap. You only need one confirm, just make sure that the Amount of Shares/Par, dates, and Security Number match

  1. Blackrock

For the Blackrock Funds (9100 and 6953) search the Blackrock (Blackrock Archive) emails in the fund accounting email folder (match trade dates and shares/par value).The Shares/Par value should be in the subject line. Once found, save and highlight them (Green=good, Red=unavailable).

*9100 is 9101/E_JN-GA in the BlackRock folder and spectra.

**6953 is 69531/SMF_CC-GC in the BlackRock folder and spectra.

If you are having trouble finding confirms because shares/par amounts don’t match:

Go to Funds => Fund Accounting => Folders => 6953 => Daily => TRS Reset Schedule

Search your Security number and find the corresponding Memo Number.

Search for the Memo number in the BlackRock/BlackRock Archive email folder.

Reach out to Matthew Maronta if you have any questions or need help getting any confirm.

What we need:

Written and Purchased Options

IRS (Interest Rate Swaps)

CDS (Credit Default Swaps [Eliminate the 00001 on Pimco request)]

TRS

CW

Edited by: Miranda Vella on 07/30/2015