Data Cleansing - Valuation Data Cleansing Settings

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Under Preferences, in the Data Cleansing sub-menu, you can specify the following preferences that are used when performing valuation data anomaly detection:

• valuation data provider mapping rules to define valuation data preferences
• break test definitions to define break test types, thresholds and applicability
• test allocation settings to define the allocation of break tests resolution into data cleansing tasks
• valuation data cleansing settings to define the currency in which third-party valuation data is reported, the level at which NAV is defined (i.e. at trade level or at entity level) and the onboarding period for new trades

Valuation Data Cleansing Settings

Prior to running a valuation data anomaly detection process, you will first need to define:

1. the currency in which third-party valuation data is reported (i.e. trade currency or reporting currency)
2. the level at which NAV is defined (i.e. at trade level or at entity level)
3. the onboarding period for new trades

1. Valuation Data Currency Type

Under Preferences/Data Cleansing/Valuation Data Cleansing, you can define the Valuation Data Currency Type as either Trade Ccy or Reporting Ccy by clicking on Edit. This will determine the currency in which third-party valuation data is reported.

This is relevant when applying break tests either for NAV scaling purposes (for currency conversion purposes), or when Xplain is one of your valuation data providers, to ensure that the correct valuation calculated in Xplain is used during the data cleansing workflow.

Defining the data cleansing currency settings
Preferences/Data Cleansing/Valuation Data Cleansing Settings

A description of the attributes and corresponding permissible values for data cleansing currency settings are set out in the table below.

Field Name	Description	Permissible Values
Currency Type	Currency of third-party valuation data	TRADE_CCY | REPORTING_CCY

2. NAV Level Definition

Under Preferences/Data Cleansing/Valuation Data Cleansing, you can define the NAV Level as either Trade Level or Entity Level. This will determine the NAV value used for scaling purposes when applying break tests.

3. Onboarding Period

Under Preferences/Data Cleansing/Valuation Data Cleansing, you can define the Onboarding Period for new trades as the number of business days from the NAV Effective Date. This will determine the applicable Onboarding Period End as NAV Effective Date + Onboarding Period (#Days) - 1.

Onboarding tests (i.e. the ones for which Is Onboarding Test is set to TRUE) will be applied only if:

• the Valuation Date is on or after the trade’s NAV Effective Date AND
• the Valuation Date is on or before the trade’s Onboarding Period End AND
• the Vendor Conformity Boolean is set to TRUE at trade level

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Data Cleansing - Task Allocation and Granularity Settings

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