Price Verification Server

Introduction

PVS provides a centralised, automated process for the collection, verification and publication of consistent, approved, end of day prices. The system provides a single price for each instrument within a given Price Zone or across multiple Price Zones.

The PVS Rules Engine determines how price inconsistencies are handled and resolved. Workflow tools can be integrated to initiate and to coordinate manual processes.

The PVS Dashboard provides a single view of the entire price validation life cycle and allows instant drill-down to facilitate problem resolution. Key parameters can be saved to facilitate analysis of, and reporting on, the validation process.

Benefits

The Price Verification Server offers the following benefits:

• There is a single consistent price or market data set for each instrument within a Price Zone across the business for the purposes of daily mark to market for daily P&L, market and credit risk reporting and customer valuations
• Market prices are captured simultaneously in all locations for a price zone, enabling consistent fair values of all positions within a Price Zone to be calculated
• Complete Price History and Audit Trails are maintained for the purposes of in-house and regulatory reporting
• The Approval and Verification functions enable a ‘four eyes’ approach with respect to the manual provision and override of prices
• PVS consists of a single application, utilising a single database, thereby reducing inter-application communication and hence processing times, and reducing the system support overheads
• The System Administration GUI enables reference data, user/role data, and instrument rules across Price Zones to be maintained with ease
• The design principles used ensure a high-performance, scalable and resilient application
• PVS utilises industry-standard technologies such as XML, Java and JMS, enabling ease of integration with other applications

Functionality

Each instrument to be priced may have any number of data sources. Data sources may be external market data feeds, in-house spreadsheets, in-house applications, or may be provided manually via the PVS Core System GUI.

The pricing life-cycle is typically run at the end of each day for each Price Zone. However the system can be configured to run multiple cycles per day per Price Zone as required. Prices may be collected as frequently as the data sources allow.

Collected price data are verified by executing a series of business rules. These rules are parameterised within the PVS System Administration GUI at the asset hierarchy and/or instrument level.

Prices that fail one or more verification rule are routed via workflow to the appropriate user(s). For each exception, these users can accept a collected price or manually provide a price. Manually provided prices may then be routed via workflow for approval by another user, where required.

An audit log is maintained for each instrument for each Price Zone for the purposes of accountability and regulatory reporting.

Instrument reference data and user reference data is maintained by the PVS System Administration GUI.

Price Zone Life Cycle

PVS supports a Price Zone Life-Cycle, consisting of five main phases:

• Collection
• Calculation
• Verification
• Exception Management
• Publication

PVS Price Zone Life-Cycle may be triggered periodically during the day in addition to the traditional ‘End of Day’ run.

Collection

Data for the instruments within a given Price Zone may be collected from any number of data sources. Data sources may include external market data feeds, in-house spreadsheets and in-house applications. In addition, instrument data may be provided (collected) manually via the PVS Core System GUI.

The data sources for each instrument are configured and maintained within the PVS System Administration GUI. A single instrument may have any number of data sources defined, together with the priority of the various data sources (primary, secondary, and so on).

 

 

Calculation

Calculations may be defined for any instruments within a given Price Zone. These calculations may be defined for specific instruments or for a group or series of instruments. For example, a simple calculation might be to calculate the mid price from the bid and ask prices, a more complex calculation might be to calculate the futures series prices from a number of related instruments and price attributes.

The calculation definitions for each instrument are configured and maintained within the PVS System Administration GUI. A single instrument may have any number of calculations applied to it, or may be used within any number of calculations for other instruments. 

Verification

Collected price data is verified by executing a series of business verification rules.

Verification rules may be defined for any instruments within a given Price Zone. These verification rules may be defined for specific instruments or for a group or series of instruments. For example, a simple verification rule might be that the bid and ask prices are numeric and are not null, a more complex verification rule might be that the prices collected from more than one data source for a given instrument are within a specific tolerance.

Instruments for which collected data fails one or more verification rule, or for which collected data cannot be obtained, are routed via the exception management (workflow) module to the appropriate user(s).

The verification rule definitions for each instrument are configured and maintained within the PVS System Administration GUI. These verification rules are parameterised at the asset hierarchy and/or instrument level. A single instrument may have any number of verification rules applied to it.

Exception Management

The exception management module receives notifications that data cannot be collected for an instrument or that one or more of the verification rules has failed for the collected data for that instrument.

For each exception, a review exception task is created and is routed to the appropriate Reviewer(s). A Reviewer can then accept a collected price or manually provide a price. The accepted or manually provided price may then be routed by the exception management module for approval by an Approver, where required. On approval, the instrument may then be routed back to the verification module or directly to the publication module.

The rules governing the exception management routing are configured and maintained within the PVS System Administration GUI.

Publication

The last process within the PVS Price Zone Life-Cycle is that of publication.

Instrument data is published to a JMS queue for the consuming applications, with a quality indicator to indicate the nature of the published data.

PVS uses the following status codes for published data:

• Approved – the instrument data was satisfactorily collected or was manually provided or overridden and subsequently approved
• Unapproved – the instrument data was collected but failed verification or was manually provided or overridden and not subsequently approved
• Not provided – the instrument data was not collected and was not manually provided