Tier 1 - Price Verification
Background
[For reasons of competitive advantage, this PaceMetrics customer wishes to remain anonymous]
PaceMetrics was approached in 2004 by a Tier 1 Investment Bank with global trading positions and a 24/7 mindset. The Bank wished to implement a solution to provide verified end-of day prices for the thousands of instrument which they trade across multiple Asset Classes and Price Zones daily. This necessitated the collection of data from a variety of sources - traditional vendors, specialist data sources, in-house applications and spreadsheets. The data needed to be validated and verified, and repaired where problems were detected. Finally, all prices needed to be published for global usage by authorised users in a timely fashion.
All stages of the process needed to be monitored in real-time and systematic rules-based resolution applied to all repairs. Complete and detailed Audit Trail and the storage of events for analysis and reporting were also a requirement.
Implementation
The Price Verification Server was implemented to support the bank’s Price Zone Life Cycle as follows:
- Price Requesting
An inventory of price requests is built each day from the pooled requirements of the price consumers in the bank. Duplicated requests are eliminated, maximising efficiency and cost benefits - Collection
The required data is collected from multiple sources via APIs, JMS/SOAP, file delivery or manual entry - Validation
Each item is checked to ensure that it conforms to expected the data type or format - Verification
PVS Business Rules are applied to the prices for each instrument to establish the best price, with exceptions raised where prices lie outside expected ranges - Repair
PVS Exception Resolution creates a workflow instance in real-time. Alerts are raised and issues resolved by a methodical pre-defined methods - Distribution across the bank’s global network
Additional Features
- The Operational Event Store captures all event histories to provide a complete Audit Trail and data for in-house and regulatory reporting
- Intra-Day Pricing
Pricing can be periodically collected and verified with core Business Rules or a lightweight set. - Reference Data Management
All instruments and source definitions are maintained in PVS by authorised personnel, with complete audit trails of any changes made - Rules Administration
Natural language scripting allows business users to easily define and modify rules used. Rule changes can be applied and immediately tested online.
Outcomes
PVS was delivered on-time and on-budget and has been running successfully at the Bank for over two years. PVS has performed reliably and consistently throughout. The rollout took place in stages to the various Price Zones and is now completed. The Bank benefits from an elegant solution to all their Single Price Conformity needs. The Business has gained the timely delivery of verified prices for all traded instruments, while Compliance can demonstrate full adherence to all Regulatory requirements.
As the Bank also wished to have the capacity to process Time Series and historic data, PVS was successfully tested to one million instrument throughput.
The Bank now benefits from a fully compliant application that meets and exceeds their initial requirements. PVS integrated easily with the Bank’s technologies and systems and is a hosted application on their Applications Platform.
Total real-time visibility, true transparency and configurability have been listed by the Bank as the key benefits that gain each day in this time-critical area.
The scope of PVS was extended in 2006 to include the processing of intra-day prices, bringing the same disciplines and benefits to Market Conformity Control.