Introduction to Exception Management and Break Test Settings Permissible Values

Break Test Definitions

Market Data Break Test Attributes and Permissible Values

Field Name	Description	Permissible Values
Test Type	The type of break test	Preliminary \| Preliminary (Batch) \| Overlay
Test Definition	The break test measure definition	See MD break test definitions
Child Break Test	The test value used as underlying measure	N/A \| An existing MD overlay break test
Break Test Name	The name of the break test	Free text
Asset Classes	Test coverage per asset class / instrument type	RATES \| Rates instrument type(s) (e.g. "IR Rate") CREDIT \| Credit instrument type(s) (e.g. "CDS") FX \| FX instrument type(s) (e.g. "FX Spot") TRS \| TRS instrument type(s) (e.g. "BOND")
Rates Currencies ⁽¹⁾	Currency granularity for Asset Classes = "RATES" or any sub-category	A permissible currency
IR Instruments ⁽¹⁾	IR Instrument granularity for Asset Classes = "RATES" or "RATES/IR Rates"	See IR instruments
Credit Sectors ⁽¹⁾	Sector granularity for Asset Classes = "CREDIT" or any sub-category	See permissible credit sectors
FX Ccy Pairs ⁽¹⁾	FX pair granularity for Asset Classes = "FX" or any sub-category	See fx rate rule
Scaling ⁽²⁾	The applicable scaling	See MD break test definitions
Z-Score Observation Period ⁽²⁾	Number of years in the observation period	1Y to 5Y
Threshold/Factor 1 ^{(2) (3)}	Threshold value that will be compared to the test value	Numeric (positive)
Threshold/Factor 2 ^{(2) (3)}	Second threshold value for escalation purposes	Numeric (positive) (optional)
Threshold/Factor 3 ^{(2) (3)}	Third threshold value for escalation purposes	Numeric (positive) (optional)
Operator ⁽²⁾	Operator to apply between the test calculation result and the Threshold	> \| >=
Observation Period (# Day) ⁽²⁾	Number of historical data in the observation period	Integer, n > 1

^(*) Applicable only if relevant Asset Class is selected
^(**) Applicable only for preliminary (“Value”) break tests (see below) and overlay break tests

Market Data Preliminary Break Test Measure Definitions

TEST DEFINITION	TEST VALUE	ADDITIONAL INPUTS ⁽¹⁾
NULL ⁽²⁾	P(t,i) = NULL
Value	Abs(P(t,i))	Threshold/Factor i
Zero	Abs(P(t,1) = 0	Providers
Stale ⁽³⁾	P(t,i) = P(t-x,i) = … = P(t-n+1,i), x = 1 to n-1	Observation Period (# Day)
Day-on-day Sign ⁽³⁾	Sign(P(t,i)) <> Sign(P(t-1,i))

^(*) Always applicable on all providers and all asset classes (i.e. it cannot be disabled)
^(**) Not applicable as a preliminary (batch) break test

Market Data Overlay Break Test Measure Definitions

TEST DEFINITION	SCALING	TEST VALUE	ADDITIONAL INPUTS ⁽¹⁾
Day-on-day	Absolute Difference	Abs(ΔP(t,i))	Threshold/Factor i Operator
Day-on-day	Relative Difference	Abs(ΔP(t,i) / P(t-1,i))	Threshold/Factor i Operator
Value	Z-score	Abs[(ΔP(t,i) - Mean(t-1,i))/Stdev(t-1,i)]	Z-Score Observation Period Threshold/Factor i Operator
Value	Conditional Z-score	Abs[(ΔP(t,i) - ConditionalMean(t-1,i))/ ConditionalStdev(t-1,i)]	Z-Score Observation Period Threshold/Factor i Operator
Primary vs Secondary Provider	Absolute Difference	Abs[P(t,2) - P(t,1)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽²⁾
Primary vs Secondary Provider	Relative Difference	Abs[(P(t,2) - P(t,1))/P(t,1)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽²⁾

^(*) A child break test is an overlay break test whose measure definition will be calculated for both providers
^(**) Where applicable, P(t,i) will represent the calculation result of the selected child break test for the relevant provider

Valuation Data Break Test Attributes and Permissible Values

Field Name	Description	Permissible Values
Test Type	The type of break test	Overlay I \| Overlay II
Test Definition	The break test measure definition	See VD break test definitions
Child Break Test	The test value used as underlying measure	N/A \| An existing VD break test
Break Test Name	The name of the break test	Free text
Company Entity Portfolio	A list of in-scope companies / entities / portfolios	An existing Company ID / Entity ID / Portfolio ID
Trade Type	Test coverage per asset class / trade type	RATES \| Rates trade type(s) (e.g. "IRS") CREDIT \| Credit trade type(s) (e.g. "CDS") FX \| FX trade type(s) (e.g. "FX Forward") CUSTOM_RATES \| Custom Rates 1 to 5 CUSTOM_FX \| Custom FX 1 to 5 CUSTOM_COMMODITY \| Custom Commodity 1 to 5 CUSTOM_EQUITY \| Custom Equity 1 to 5 CUSTOM_CREDIT \| Custom Credit 1 to 5 CUSTOM_OTHER \| Custom Other 1 to 5
Rates Currencies ⁽¹⁾	Currency granularity for Trade Type = "RATES" or any sub-category	A permissible currency
Credit Sectors ⁽¹⁾	Sector granularity for Trade Type = "CREDIT" or any sub-category	See permissible credit sectors
FX Ccy Pairs ⁽¹⁾	FX pair granularity for Trade Type = "FX" or any sub-category	See fx rate rule
Providers ⁽²⁾	Breaks will only be triggered against P1. For information purposes, you can run the test against other providers, but it will not trigger a break.	Primary (P1) Secondary (P2) - Test calculation only Tertiary (P3) - Test calculation only Quaternary (P4) - Test calculation only
Scaling ⁽²⁾	The applicable scaling	See VD break test definitions
Threshold/Factor 1 ^{(2) (3)}	Threshold value that will be compared to the test value	Numeric (positive)
Threshold/Factor 2 ^{(2) (3)}	Second threshold value for escalation purposes	Numeric (positive) (optional)
Threshold/Factor 3 ^{(2) (3)}	Third threshold value for escalation purposes	Numeric (positive) (optional)
Operator ⁽²⁾	Operator to apply between the test calculation result and the Threshold	> \| >=
Observation Period (# Day) ⁽²⁾	Number of historical data in the observation period	Integer, n > 1

^(*) Applicable only if relevant Trade Type is selected
^(**) Not applicable for “Stale” break test (see below)

Valuation Data Break Test Measure Definitions

TEST DEFINITION	SCALING	TEST VALUE	ADDITIONAL INPUTS ⁽¹⁾
NULL ⁽²⁾		PV(t,i) = NULL
Value		Abs(PV(t,i))	Providers Threshold/Factor i Operator
Zero		Abs(PV(t,i)) = 0	Providers
Stale		PV(t,1) = PV(t-x,1) = … = PV(t-n+1,1), x = 1 to n -1	Observation Period (# Day)
Day-on-day Sign		Sign(PV(t,i)) <> Sign(PV(t-1,i))	Providers
Day-on-day	Absolute Difference	Abs(ΔPV(t,i))	Providers Threshold/Factor i Operator
Day-on-day	Relative Difference	Abs[ΔPV(t,i)/PV(t-i,1)]	Providers Threshold/Factor i Operator
Day-on-day	Greeks – 01 ^{(3) (7)}	Abs[(PV(t,i) - PV(t-1,i))/01(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Day-on-day	Greeks – Vega ⁽⁷⁾	Abs[(PV(t,i) - PV(t-1,i))/Vega(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Day-on-day	Greeks - 01 + Vega ^{(3) (7)}	Abs[PV(t,i) - PV(t-1,i)]/[Abs(01(t,i) + Abs(Vega(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Day-on-day	Greeks - Day-on-Day ^{(3) (4)}	Abs[ΔPV(t,i) / ((01(t-1,i) + 01(t,i))/2 * ΔParRate(t,i) + (Vega(t-1,i) + Vega(t,i))/2 * ΔImpliedVol(t,i))]	Providers Threshold/Factor i Operator
Day-on-day	NAV	Abs[ΔPV(t,i)/NAV(t)] * 10,000	Providers Threshold/Factor i Operator
Day-on-day	Notional	Abs[ΔPV(t,i)/Notional(t)] * 10,000	Providers Threshold/Factor i Operator
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Absolute Difference	Abs[PV(t,j) - PV(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Relative Difference	Abs[(PV(t,j) - PV(t,i))/PV(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Greeks – 01 ⁽³⁾	Abs[(PV(t,j) - PV(t,i))/01(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Greeks – Vega	Abs[(PV(t,j) - PV(t,i))/Vega(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Greeks - 01 + Vega ⁽³⁾	Abs[PV(t,j) - PV(t,i)]/[Abs(01(t,i) + Abs(Vega(t,i)]	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	NAV	Abs[(PV(t,j) - PV(t,i))/NAV(t)] * 10,000	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾
Primary vs Secondary Provider Primary vs Tertiary Provider Primary vs Quaternary Provider	Notional	Abs[(PV(t,j) - PV(t,i))/Notional(t)] * 10,000	Threshold/Factor i Operator Child Break Test (Optional) ⁽⁵⁾

^(*) Always applicable on all providers and all asset classes / trade types (i.e. it cannot be disabled)
^(**) With 01 being the most relevant delta according to the product type (e.g. CS01 for CDS)
^(***) Applicable only if valuation data provider = Xplain

Curves Permissible Values

Portfolios Permissible Values

Data Permissible Values

Valuations Permissible Values

Exception Management Permissible Values

Admin Permissible Values

TRS Permissible Values

Introduction to Exception Management and Break Test Settings Permissible Values

Break Test Definitions

Related Docs

Introduction to Xplain

Curves

Portfolios

Data

Valuations

Data Cleansing

Preferences

Admin

Importing and Versioning

XVA Module

TRS Module