With Xplain’s trade onboarding functionality, you can cross-check trade data in a fully audited and automated manner, according to bespoke validation rules.
On this page, we will discuss:
- trade onboarding settings
- trade onboarding break tests
- trade onboarding workflow
Trade Onboarding Settings
Break tests for trade onboarding can be classified into three categories:
- Xplain Conformity (vs. Deal Cost) tests, to assist in identifying trade misbooking by comparing valuation in Xplain at trade date vs. termsheet deal cost
- Market Conformity (vs. Deal Cost) tests, to assist in identifying trade misbooking by comparing valuation in Xplain at trade date vs. termsheet deal cost
- Vendor Conformity (vs. Accounting Cost) tests, to assist in identifying trade misbooking by comparing third-party valuation at NAV Effective Date vs. accounting cost (*)
(*) NAV Effective Date typically represents the first day on which a third-party valuation was provided and fed the NAV
Trade onboarding settings, including onboarding test requirements and benchmark values (i.e. Deal Cost or Accounting Cost) will be flagged / defined at the trade level.
A description of a trade’s attributes related to onboarding and corresponding permissible values are set out in the table below.
Break Tests for Trade Onboarding
Trade Onboarding Break Test Definitions
Break test definitions for trade onboarding are described in the table below, with the following conventions:
- PV(T0), 01(T0) and Vega(T0) are metrics calculated in Xplain as at the trade date, with 01 being the relevant delta according to the product type (e.g. CS01 for CDS)
- PV(t), 01(t) and Vega(t) are metrics provided by the Primary Valuation Data Provider as at the NAV Effective Date (see above)
Under
Trade Onboarding Worflow
The prerequisites are as follows:
For valuation data:
- define a pricing environement, if Xplain is the primary valuation data provider or if you want to perform Xplain Conformity or Market Conformity tests
- define valuation data sources and define the trades only otherwise
- upload (and optionally clean) raw market data and valuation data in the relevant data groups, as applicable
Trade onboarding settings:
- define the applicable onboarding break tests
- flag trades that need to be onboarded and define the relevant benchmarks
Trade onboarding break tests will be run on data selected according to the test’s scope granularity settings.
Under
Once a report is submitted, if a trade has passed a requested onboarding test (i.e. Onboarding Status = “SUCCESS”), the relevant trade attribute marking the onboarding requirement (e.g. Xplain Conformity) will be set back to FALSE, as well as a confirmation of onboarding with the date of validation:
(Vendor Conformity: Validated on yyyy-mm-dd)
