Deutsche Bank needed to replace its under-performing market data cleansing system to provide real-time control of price quality. Key concerns included:
- Offering a simple user interface for data cleansing and reference data administration
- Ability to verify many thousands of prices within seconds
- Hosting many price cleansing services on one platform for its Business and Control team
- Is quickly deployed and ensures high performance, reliability and transparency
- Enables flexible administration of vendor source hierarchy and rules
- Uses a traffic light dashboard view to alert operators to:
- Any data quality errors detected by business rules
- Location of the error – instrument, data source, timeline, etc
- Reason for the error – missing, stale, invalid, etc
- Provides a real-time view of the pricing life-cycle throughout the day
The bank realised the following benefits from PaceMetrics’ solution:
- Reconciliation process exceptions have been reduced as all lines of business now use the same officially approved price
- Auditing and reporting ensures compliance with regulatory obligations and is transparent and easily reviewable
- Price data quality is assured with flexible rules per instrument grouping such as vendor source, product type, currency, exchange
- Manual intervention is minimised by requiring Operations to take action only when exceptions are detected
- The cost of ownership is reduced as one platform hosts many applications
The success of this project was evident in the bank’s subsequent decisions to roll out further applications that leveraged the Assure platform – EoD pricing, Equity Derivatives Pricing and Client Valuations Price Verification
Single Price Conformity: ensures that every line of business in the bank, in any given price-zone, uses an officially approved End-of-Day price for Foreign Exchange, Money Markets, Futures and Interest Rate Derivatives. Prices are snapped from multiple market data vendors at the end of each price-zone day and are immediately verified using tests such as cross-source comparison and market movement tolerance. Price exceptions are quickly cleansed using Assure’s workflow with four-eyes approval of price repairs.
Rolling EoD Pricing: like Intra-day pricing, any line of business across the globe can be provided with an officially approved End of Day price to the nearest half hour.
Equity Derivatives Pricing: collects and verifies implied volatility surface data for over twenty five thousand equity derivatives.
Client Valuations Price Verification: reconciles trader-provided prices to ‘Books and Records’ prices and also to external comparative data sources for thousands of derivatives, credit, equity and debt instruments.