Market & Risk Data Cleansing & Calculation – ABN AMRO

Project Background

ABN AMRO needed to replace its market data cleansing system to provide real-time control of price and reference information quality. Key concerns for the client included:

• Price Quality: The bank needed to automate the cleansing process as much as possible to cope with increased volumes while using fewer resources
• Responsiveness to New Business: New instruments and file deliveries had to be introduced more quickly than under the previous system which required the involvement of experienced database administrators
• Performance: The bank was looking for a system which could provide a same-day response to the price cleansing cycle and the publication of price histories for risk management purposes
• Self-sufficiency: The IT & Operations teams wanted more flexibility to configure the system themselves to meet changing requirements
• Rapid Implementation: Given the circumstances surrounding the project, it was essential that the replacement system be brought live within fixed deadlines and to replace the existing system capabilities with the minimum of disruption to subscribers.
• Proxy Calculations: The system had to be able to derive prices for proxy instruments, such as long-dated forward FX and zero coupon rates, using the bank’s own calculation libraries

Solution

Assure, PaceMetrics’ price cleansing solution, was implemented to manage the collection, cleansing, calculation and distribution of prices across a wide variety of asset types, with the following scope:

• Handles more than 35,000 instruments, distributing over 400 file deliveries daily to over 70 subscribing systems and departments
• Covers all the major asset classes: FX, deposits, bonds, equities, commodities, & derivatives
• Automatically runs automated data cleansing on all prices using rules configured to the banks’ requirements, comparing sources and making various stale and volatility checks
• Calculates prices for over 10,000 proxy instruments, building and distributing curve information
• Maintains price history across instruments for delivery to Risk for VaR calculations

Benefit Realisation

Assure has provided the following benefits to the bank:

• Rapid deployment and implementation: the initial phase went live after six months, with full go-live after one year
• Price data quality is assured with flexible rules per instrument grouping such as vendor source, product type, currency, exchange
• The bank has visibility on the quality of all its price data before it is published to down-stream users, and all changes are audited in compliance with regulatory requirements
• BAU changes are managed entirely by the IT and Operations teams, and the bank is self-sufficient for its day-to-day business activities
• Total cost of ownership has been reduced as the bank migrated to Assure’s lean data model and support costs have been reduced