Once break tests have been applied to identify potential outliers, as part of the two-stage exception management workflow, you will rely on teams that are allowed to:
- clear potential breaks (a resolution team)
- verify the proposed resolutions (an approval team)
The granularity used to split break test results into exception management tasks will be done:
- on a curve configuration basis for market data overlay breaks
- on a pricing slot basis for valuation data breaks
- according to the task granularity settings, as described below
This will allow any user in the permitted team(s) to independently start the resolution / approval process for each of the created tasks.
Task allocation and granularity definitions are aligned with break test applicability for market data and valuation data.
On this page, we will discuss how to define task allocation and granularity for:
Task Allocation for Market Data Breaks
Under
- the global resolution and approval teams, whose members which will be able to perform any task (optional)
- market data breaks (preliminary and overlay) resolution and approval teams, with granularity at asset class / sub-asset class level (optional)
- allocation exceptions, if any
- the task allocation granularity which will be applied in addition to the split by curve configuration
1. Global Market Data Break Task Allocation Settings
You can edit the global task allocation settings for market data breaks by clicking on
A description of the global market data break task allocation settings are set out in the table below.
2. Market Data (Preliminary and Overlay) Break Task Allocation Settings
You can define the market data break task allocation settings by clicking on
In this example, by selecting “Per Asset Class” as a task granularity, the resolution / approval tasks will each be split accordingly into three further sub-tasks: one for Rates, one for Credit and one for FX market data.
3. Market Data (Preliminary and Overlay) Break Task Allocation Exception Settings
You can add market data break task allocation exception by clicking on
Task Allocation for Valuation Data Breaks
Under
- the global resolution and approval teams, which will be able to perform any task (optional)
- valuation data breaks resolution and approval teams, with granularity at asset class / trade type level (optional)
- the task allocation granularity which will be applied in addition to the split by pricing slot
1. Global Valuation Data Break Task Allocation Settings
You can edit the global task allocation settings for valuation data by clicking on
A description of the global valuation data task allocation settings are set out in the table below.
2. Valuation Data Break Task Allocation Settings
You can define the valuation data task allocation settings by clicking on
In this example, by selecting “Per Trade Type” as a task granularity, the resolution / approval tasks will each be split accordingly into further sub-tasks: e.g. for FX trades, one for FX Forwards, one for FX Swaps, one for FX Collars and one for FX Options.
