Valuation Data Break Clearing - Resolver

As described in the Break Clearing Phase Streams section, during the two-stage valuation data cleansing (or exception management) workflow (VD XM), the phases which may need your input are:

the ‘Overlay I Breaks’ clearing phase
the ‘Overlay II Breaks’ clearing phase

Following break testing (Overlay I and Overlay II), each break clearing phase will be split into streams, as described in the Break Clearing Phase Streams section.

If there is no break within a given stream, its status will automatically be set to ‘Approved’. Otherwise, the initial status of the stream will be ‘Not Started’, and you will need to initiate the resolution process.

On this page, we will provide:

an overview of the resolution process for valuation data break clearing
a description of the resolution actions applicable for both Overlay I and Overlay II breaks, starting with the temporary ‘Hold’ resolution action
a description of how to re-run a stream of a valuation data break clearing phase
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 data cleansing process, including Overlay I or Overlay II cleansed data (as described below) and valuation data source, 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 stream, you will need to:

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

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

At the task level, the resolution process is as follows:

for each VDK 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 VDKs for which you have applied an actual resolution action - not the ‘Hold’ 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 VDK 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 stream status will be set to 'REJECTED'.
⁽³⁾ The status of all VDK 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.

At any point of the VD XM workflow, at the dashboard level, you can re-run a stream of a clearing phase for valuation data, in its entirety or amended data only, by selecting the stream(s) and clicking on Rerun.

Resolution Task for Valuation Data Breaks

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

place valuation data breaks on hold (i.e. for informative purposes only, with no downstream effect)
resolve valuation data breaks

In our example, we do not have any Overlay I breaks and the VD XM goes straight to the Overlay II clearing phase. We have an Overlay II valuation data break (PvS Vega test) that you will first place on hold. You will then resolve the break with the ‘Switch to P2’ action. The resolution will need to be approved by a different user.

The same process can be applied for valuation data Overlay I breaks.

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

Under Data Cleansing/Valuation Data, in the ‘Valuation Data - Overlay Phase II’ window, you can view live Overlay II break clearing tasks for valuation data (subject to the relevant task allocation permission).

Alt for image — Valuation data resolution task check out
Data Cleansing/Valuation Data

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 VDKs with breaks (by clicking on either “All” or “Breaks Only” in the data table)
filter and sort by Asset Class, Trade Type, etc.
exclude or include from your view items that have been placed on hold

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

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

Field Name	Description	Permissible Values
Resolution Scope	The scope of the resolution	OVERALL \| INDIVIDUAL
Resolution Action	The proposed resolution to be applied to the filtered/selected items	See valuation data resolution actions below
Comment	Rational for proposed resolution	Free text

You should note that unless the ‘Do Not Price’ 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.

RESOLUTION SCOPE ⁽¹⁾	RESOLUTION ACTION	Description ⁽²⁾
OVERALL / INDIVIDUAL	Keep	Set the overlay value to the base value ⁽³⁾
OVERALL / INDIVIDUAL	Previous Day ⁽⁴⁾	Set the overlay value to the previous day's final value
OVERALL	Switch Broken Value: Switch to P2	Set the overlay value to the valuation data from the Secondary Provider
OVERALL	Switch Broken Value: Switch to P3	Set the overlay value to the valuation data from the Tertiary Provider
OVERALL	Switch Broken Value: Switch to P4	Set the overlay value to the valuation data from the Quaternary Provider
OVERALL	Use Accounting Cost	Set the overlay value to the Accounting Cost from the trade
OVERALL	Use Deal Cost	Set the overlay value to the Deal Cost from the trade
OVERALL / INDIVIDUAL	Apply Delta: Delta P2 ⁽⁴⁾	Set the overlay value to the previous day's final value plus the change in valuation data from the Secondary Provider
OVERALL / INDIVIDUAL	Apply Delta: Delta P3 ⁽⁴⁾	Set the overlay value to the previous day's final value plus the change in valuation data from the Tertiary Provider
OVERALL / INDIVIDUAL	Apply Delta: Delta P4 ⁽⁴⁾	Set the overlay value to the previous day's final value plus the change in valuation data from the Quaternary Provider
OVERALL / INDIVIDUAL	Do Not Price	Set the overlay value to NULL
OVERALL	Hold - Query Vendor ⁽⁵⁾	Temporarily set the resolution status to Query Vendor
OVERALL	Hold - Source vendor price ⁽⁵⁾	Temporarily set the resolution status to Source vendor price
OVERALL	Hold - Re-run updated ⁽⁵⁾	Temporarily set the resolution status to Re-run updated
OVERALL	Hold - Re-load ⁽⁵⁾	Temporarily set the resolution status to Re-load
OVERALL	Hold - Other ⁽⁵⁾	Temporarily set the resolution status to Other
INDIVIDUAL	Manual ⁽⁶⁾	Manual override

⁽¹⁾ If the 'INDIVIDUAL' resolution scope is selected, the resolution action will be applied at the line item level.
⁽²⁾ Overlay value means Overlay I value during the Overlay I clearing phase and Overlay II value during the Overlay II clearing phase.
⁽³⁾ In the Overlay I clearing phase, the base value will be the original raw valuation data. In the Overlay II clearing phase, the base value will be the Overlay I value if available. Otherwise, the raw valuation data will be used.
⁽⁴⁾ The latest date prior to the current date on which a VD XM dashboard was run and completed for the pricing slot and portfolio(s) in scope will be deemed to be the previous day. The previous day's final value will be the output of the previous day's VD XM dashboard. As such, when a VD XM dashboard is run for the first time, day-on-day tests will not be performed, even if raw valuation data are available.
⁽⁵⁾ VDKs put on 'Hold' will not progress further in the data cleansing workflow. In order to apply a resolution action to these items, you will need to select them and click on Reset.
⁽⁶⁾ If the 'Manual' resolution action is selected, an entry field will appear at the line item level.

1. Putting VDKs with Break(s) on Hold

In this section, we will illustrate with a worked example how to place VDKs with break(s) on hold during both the Overlay I and Overlay II break clearing phases. It is important to note that this is for informative purposes only, and will not trigger any downstream effect.

This should allow you to focus on breaks that are ready to be exception managed and to ensure that you are only working on relevant items.

Resuming from the previous section, you have now checked out a resolution task and can apply one of the temporary ‘Hold’ resolution actions.

Now, the ‘Breaks Only’ view filter (which is the default view) will only display breaks that are awaiting resolution (in this example, none are left), but you can use the ‘INCLUDE ON HOLD’ toggle to include or exclude the ones that you have placed on hold. You should note that resolution actions will not be applied to items that have been placed on hold, even if the ‘INCLUDE ON HOLD’ toggle is activated.

Once you are able to resolve the breaks you have put on hold, you can use the filter in the status column to select such VDKs and Reset their status to ‘WAITING_RESOLUTION’.

You are now ready to apply your resolution to the breaks you had put on hold.

2. Valuation Data Overlay Breaks

In this example, you can apply the ‘Switch to P2’ resolution on an ‘OVERALL’ basis, to correct the outlier identified by the PvS Vega test in respect of the Swaption trade.

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.

Re-running a Task for Valuation Data Breaks

By selecting ‘Restart’ will delete all resolution/approval records and re-run break tests for all VDKs within a given stream for the current clearing phase and subsequent phases. ⁽¹⁾

Selecting ‘Rerun updated data only’ will only do so for VDKs with an updated associated valuation data.

Both re-run options will be applied to the latest applicable trade universe (i.e. including new trades and removing archived trades).

Once the new break test report is finished, resolution tasks corresponding to the re-run stream(s) (if any) will (re-)appear in the live task list with the status ‘NOT_STARTED’. ⁽¹⁾

⁽¹⁾ Corresponding tasks (if any) will disappear from the live task list while break test calculations are re-run.

Bespoke Display Configuration

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

view all or only VDKs with break(s) (by clicking on either ‘All’ or ‘Breaks Only’ in the data table)
filter by Data Provider, 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.

Your bespoke display configuration will apply for both the ‘Valuation Data - Overlay Phase I’ and ‘Valuation Data - Overlay Phase II’ windows.

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

You can now select the ‘My Rates View’ display configuration (or any other display configuration) by clicking on Apply.

Introduction to Xplain

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Valuations

Data Cleansing

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Importing and Versioning

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TRS Module