Market Data Break Clearing - Resolver

As described in the Break Clearing Phase Sub-streams section, during the two-stage market data exception management workflow (MD XM), the phases which may need your input are:

the ‘Preliminary Breaks’ clearing phase
the ‘Overlay Breaks’ clearing phase

Each break clearing phase will be split into sub-streams according to the task granularity settings, with the ‘Overlay Breaks’ clearing phase split first by curve configuration.

If there is no break identified following a break test calculation within a given sub-stream, its status will directly be set to ‘APPROVED’. Otherwise, a break clearing task will be generated accordingly, starting with a resolution task.

On this page, we will provide:

an overview of the resolution process for market data break clearing
a description of the resolution actions for preliminary and overlay breaks
a description of the display configuration that you can apply to break clearing tasks

The resolution process will be followed by the approval process where a different user will either approve or reject the proposed resolutions.

Once breaks are resolved and approved, you can view and export the results of the exception management process, including raw, preliminary cleansed and overlay cleansed data (as described below), with the triggered breaks and corresponding resolution applied where applicable.

Overview

If, following a break test calculation, there are breaks to be cleared within a given sub-stream, you will need to:

check out the relevant resolution task
at the task level, apply a (collective) resolution action on selected MDKs with break(s) (as described below) and submit it for approval
in case of rejection, repeat the resolution process for the rejected MDKs

Given the nature of the two-stage MD XM workflow, you will not be able to approve your own proposed resolutions.

At the task level, the resolution process will be as follows:

for each MDK with break(s), you can APPLY a chosen resolution action either collectively (i.e. on all or on a sub-selection of filtered or explicitly selected items) or individually ⁽¹⁾
applied resolution for selected items can be undone by clicking on RESET
you can submit applied resolutions for approval “as-you-go” (i.e. on the subset of MDKs for which you have applied a resolution action) by clicking on SUBMIT or CTRL+ENTER / CMD+ENTER on your keyboard ⁽²⁾
a resolution task can be cancelled as a whole at any point by clicking on CANCEL ⁽³⁾

⁽¹⁾ The status of the MDK with breaks will go from 'Waiting Resolution' (or 'Rejected', following a failed approval) to 'Waiting Submission'.
⁽²⁾ A live task with a 'PENDING_APPROVAL' status will be created upon the first submission for approval, but you will not be able to see it if you are the one who has checked out the resolution task initially. If any break resolution is rejected, the sub-stream status will be set to 'REJECTED'.
⁽³⁾ The status of all MDK with breaks will revert back to 'Waiting Resolution' (or 'Rejected', where applicable), and the task status will revert back to 'NOT_STARTED'.

You can configure the display within a task with your preferred settings.

Resolution Task for Market Data Breaks

In this section, we will illustrate with a worked example how to:

resolve preliminary market data breaks
resolve overlay market data breaks

1. Market Data Preliminary Breaks

In our example, we have a preliminary market data break (Quantum test) that you will resolve with the individual ‘Manual’ override action, which will then need to be approved by a different user. This will be followed by an overlay break (EUR IRS Source to Source test) that you will resolve with the overall ‘Keep’ action, which will then need to be approved by a different user.

Additional dropdowns and/or entry fields may appear according to the chosen resolution scope or action (as described below).

Under EXCEPTION MNGT/TASKS, in the MARKET DATA - PRELIMINARY PHASE window, you can view live preliminary break clearing tasks for market data (subject to the relevant task allocation permission).

Alt for image — Market data resolution task check out
EXCEPTION MNGT/TASKS

To start the resolution process, check out a task by double-clicking on the line item or selecting a series of tasks and clicking on RESOLVE. The status of the selected resolution task(s) will go from ‘NOT_STARTED’ to ‘IN_RESOLUTION’ (or back to ‘NOT_STARTED’, following a failed approval) until completed, when it (they) will disappear from the live task list of the user who checked out the resolution task initially.

In addition to setting your preferred display configuration, you can:

view all or only MDKs with breaks (by clicking on either ‘ALL’ or ‘BREAKS ONLY’ in the data table)
filter and sort by Data Provider, Asset Class, Instrument Type, etc.

Supporting evidence can be uploaded prior to submission by clicking on UPLOAD.

A description of prelimary resolution scope and actions and corresponding permissible values are set out in the table below.

You should note that unless the ‘Ignore NULL’ resolution action is selected (see table below), any other resolution action that attempt to set the value to NULL (or a value based upon NULL) will be automatically rejected upon submission. In addition, any break test (apart from the ‘NULL’ test) that involves a NULL value will not be performed and will be counted as a ‘Skipped’ test.

⁽¹⁾If the 'INDIVIDUAL' resolution scope is selected, the resolution action and comment field will be applied at the line item level.
⁽²⁾ The latest date prior to the current date on which there is any market data available for the market data group in scope will be deemed to be the previous day.
⁽³⁾ If no preliminary value is available, the raw market data will be used instead.
⁽⁴⁾ If the 'Manual' resolution action is selected, an entry field will appear at the line item level.

In this example, you can apply the ‘Manual’ resolution on an ‘INDIVIDUAL’ basis and input an override value of ‘0.02954’ for the break highlighted in blue, to correct the typo identified by the ‘QUANTUM’ break test in respect of the EUR 10y swap rate (vs. EURIBOR 6M).

The task status will go from ‘IN_RESOLUTION’ to ‘PENDING_APPROVAL’ however, it will disappear from the live task list of the user who checked out and completed the resolution task initially, and will only re-appear in the live task list of another user who can be tasked with approving the proposed resolutions.

2. Market Data Overlay Breaks

In our example, following the approval of the preliminary market data break (Quantum test), you will resolve (with the ‘Keep’ action) and approve an overlay break (EUR IRS Source to Source test).

Under EXCEPTION MNGT/TASKS, in the MARKET DATA - OVERLAY PHASE window, with the relevant task allocation permission and granularity settings, you can view live overlay break clearing tasks for market data.

To start the clearing process, check out a task by double-clicking on the line item or selecting a series of tasks and clicking on RESOLVE.

The status of the selected clearing task(s) will go from “NOT_STARTED” to “IN_RESOLUTION”, and so forth until completed, when it (they) will disappear from the live task list.

In addition to setting your preferred display configuration, you can:

view all or only MDKs with breaks (by clicking on either “ALL” or “BREAKS ONLY” in the Data Table)
filter by Data Provider, Asset Class, Instrument Type, etc… by selecting an item(s) withing each column in the Data Table

Supporting evidence can be uploaded prior to submission by clicking on UPLOAD.

A description of overlay break resolution scope and actions and corresponding permissible values are set out in the table below.

You should note that any resolution action that attempt to set the value to NULL (or a value based upon NULL) will be automatically rejected upon submission. In addition, any break test (apart from the ‘NULL’ test) that involves a NULL value will not be performed and will be counted as a ‘Skipped’ test.

⁽¹⁾If the 'INDIVIDUAL' resolution scope is selected, the resolution action and comment field will be applied at the line item level.
⁽²⁾ If no preliminary value is available, the raw market data will be used instead.
⁽³⁾ The latest date prior to the current date on which there is any market data available for the market data group in scope will be deemed to be the previous day.
⁽⁴⁾ If no overlay value is available, the preliminary value will be used instead, if available. Otherwise, the raw market data will be used.
⁽⁵⁾ If the 'Manual' resolution action is selected, an entry field will appear at the line item level.

In this example, you can apply the KEEP resolution on an OVERALL basis and submit.

The proposed break resolutions now need to be approved by a different user.

Bespoke Display Configuration

When viewing the market data break clearing tasks, you can:

view all or only MDKs with break(s) (by clicking on either ‘ALL’ or ‘BREAKS ONLY’ in the data table)
filter by Data Provider, Asset Class, Instrument Type, etc. within each column in the data table

Xplain offers two pre-configured immutable views, which can be selected (or cloned and edited) after clicking on COLUMNS SETTINGS:

‘Default View’
‘Simplified View’

In addition, you can define and save your preferred display configuration. This helps to clear out any extra noise and allows you to focus on the columns that are relevant to you. For example, if you specialise in anomaly detection for rates, the credit sector column will not be relevant to you, and you are able to remove it from your view. Any bespoke views can only be edited or deleted by their creator.

You will need to define your bespoke display configuration for the ‘Market Data - Preliminary Phase’ and ‘Market Data - Overlay Phase’ windows separately.

In the example below, you will go through configuring your own view, by cloning the ‘Default View’ and deselecting the ‘Credit Sector’ column.