Price Processing Case Study

Multi-Vendor Price Verification
& Validation as a Service
Delivering:
Fair Value Pricing (ASC 820, IFRS 13)
Risk Data Aggregation (BCBS 239)
Data Governance & Audit Compliance
Price Processing Case Study
Business Requirement
Pricing is at the heart of every financial services
firm and has proven to be very challenging to
automate. As a result, many Bloomberg PolarLake
clients have implemented the Pricing and Risk
Data Solution to put a Price Processing & Data
Governance process in place.
In each case, external and internal pressures
resulted in the requirement for a Pricing Solution
which would provide:
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A cross division Integrated Pricing
Processing environment
A controlled environment with complete
data storage, archive, auditability and
transparency
A pricing platform for the future
These requirements were driven by the need to
deliver accurate pricing information across:
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Trading and Settlement Systems
Risk Management Solutions
Regulatory Reporting Processes
Internal Data Governance Processes
The Bloomberg PolarLake Pricing
Solution
In order to meet the business demands of a
large number of Bloomberg PolarLake Financial
Services clients , a Managed Solution was
implemented to deliver an industrial strength
Pricing Data Management Solution which:
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A solution was required which would unlock the
data barrier and provide the essential
transparency to enable the expansion of futures
and options trading.
Fig. 1 Pricing Management and Visualisation
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Acquires, stores and archives data from
multiple vendor and internal sources,
managing multiple asset classes
including Equities, Fixed Income,
Derivatives, FX Spot, Forward Rate,
Interest Rate and Index price data
Creates stores, archives and manages
related Instrument Data, Market Data &
Meta Data
Applies client driven business rules to
create purpose built golden copy data
sets
Integrates business rules including
Pricing Tolerance across vendors with
related Vendor hierarchy
Delivers a complete process and
exception management workflow
including User Workstation and graphic
visualisation
Provides an online audit trail, giving full
data transparency on Price Processing
Creates management reports for
Operations, Finance and Risk
Management
Enables data quality and data lineage to
be established and recorded,
underpinning risk and regulatory
reporting from Risk Data Aggregation
(BCBS 239) to Fair Value Accounting
(ASC 820 and IFRS 13)
Multi-Vendor Price Verification
& Validation as a Service
How Bloomberg PolarLake has
implemented Price Processing & Data
Governance
Price Processing Case Study
Price Processing
Bloomberg PolarLake implemented a solution, via its
Managed Service, which delivers complete intra-day and
end of day Price Mastering according to client defined price
points and business specific work streams:
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Data Acquisition
The management and fulfilment of the acquisition,
storage and archiving process from scheduling to
realisation utilizing multiple internal and vendor
Pricing Sources covering all asset classes
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Data Validation
Validation of acquired data carried out through the
application of business rules selected from the
Bloomberg PolarLake Rules Library and Client
specific rules created to maintain Client Processing
DNA
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Price Repair/Exception Handling
The manual repair of prices through the use of the
Bloomberg PolarLake Workstation and workflow
processes .All changes are recorded, stored and
archived
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Reporting and Insight for Data
Governance
Operational Intelligence, Data Lineage & Audit
Reporting
In order to track the Operational Effectiveness of
the process (data throughput times, exception
analysis, vendor issues etc.) the solution
provides an extensive set of Operational Reports.
Based upon the wide ranging archived data, the
reports extend beyond aggregated Operational
reports by detailing the specifics of Data Lineage,
Audit History and providing the reconstruction of
data elements at a particular point in time
together with the business rules which were
applied to the supplied data.
This insight not only provides an in-depth
analysis of Price Processing but delivers a
platform for wider intelligent application to risk
management and regulatory reporting
processes.
Business Case Golden Copy Creation
Golden Copy data sets are created for use in
specific business cases such as trade & settlement,
risk management and regulatory reporting. The
data sets which are stored and archived are
produced by applying source hierarchies,
waterfalls, arbitration rules, tolerance rules,
exception rules and output format rules.
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Golden Copy Distribution
Golden Copy data sets are formatted for use by
consuming applications and distributed according
to business timetable and technical requirements
Fig. 2 Operations Reporting
Multi-Vendor Price Verification
& Validation as a Service
Meeting the needs of Fair Value Accounting for
Audit purposed (ASC 820 – IFRS 13)
Price Processing Case Study
Fair Value Accounting and
Disclosure - ASC 820 - IFRS 13
Requirement
The Bloomberg PolarLake Pricing Solution
delivers the key element required by our
clients to meet their ASC 820/IFRS 13
disclosure and reporting obligations –
transparency.
These International Accounting Standards
demand transparency in:
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Valuation Methodologies
Stored and Archived Pricing Inputs
Delineation of Market Data and
unobservable inputs
Breakdown of market and model
based pricing
Meeting the Demands
Data Lineage
The Bloomberg PolarLake Pricing solution records
and archives all acquired data together with the
relevant source details. This includes vendor data
and client data sourced from partners such as
brokers or calculated data derived from internal
models.
This enables the classification of pricing into The
Fair Value Hierarchy –
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Level 1 - quoted market prices
Level 2 - inputs corroborated by the
market (evaluated pricing)
Level 3 - client data for example derived
from calculation models
Asset Classification/Additional Detail
Assets are classified according to flexible business
rules. This enables reports to be generated by
asset class and showing applicable additional
detail such as transaction size etc.
Audit/Change History
Fig. 3 Data Lineage Visualisation
A complete Audit History is made available
showing all changes in data and process enabling
reporting for example on change of Fair Value
Level and providing high quality reports for
internal and external audit purposes.
Multi-Vendor Price Verification
& Validation as a Service
Risk Data aggregation for Risk Reporting delivering
compliance with Basel BCBS 239
Price Processing Case Study
Effective risk data aggregation and
risk reporting – Basel BCBS 239
Requirement
Accurate and Reliable Data
Bloomberg PolarLake Pricing Solution clients
demanded a practical approach to Data
Governance which would support the BCBS 239
stated principles of:
Clients use the Pricing and Risk Data solution
to source and manage data from multiple
sources including both vendor and client
internal data.
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Data Architecture and IT Infrastructure
Accurate and Reliable Risk Data
Completeness
Timeliness
Adaptability
Clarity and Frequency
Review
Distribution
Meeting the Demands
Architecture and Infrastructure
The Bloomberg PolarLake Pricing and Risk
Data solution delivers a complete data
storage, archive and management
architecture and infrastructure.
Clients have accessed the solution via the
Bloomberg PolarLake EDM Managed
service and through on-premise
installation of the platform software.
Implementations and on-boarding are
carried out by highly experienced teams
using standard processes which have seen
clients operating within a matter of weeks.
All asset classes are covered and data is
acquired from a wide range of internal
business units. As a result through the
application of business rules it is possible to
compare data from vendor sources with for
example trade data and accounting data,
checking and proving accuracy.
Completeness
With the ability to acquire store, archive and
manage data from multiple sources and
manage flexible meta-data models,
Bloomberg PolarLake clients are able to
access and group data by multiple categories
e.g. business line, legal entity, asset type, etc.
Timeliness and Adaptability
Price Processing takes place on a 24x 7 basis.
Through the use of business rules, the
processing of individual data categories is
prioritised to meet risk reporting
requirements. Work streams are activated on
both planned schedules and according to adhoc requests.
The ability of the solution to on-board new
data sources at speed through the application
of a soft data store ensures that clients can
react to the latest situations.
Multi-Vendor Price Verification
& Validation as a Service
Risk Data aggregation for Risk Reporting delivering
compliance with Basel BCBS 239
Price Processing Case Study
Effective risk data aggregation and
risk reporting – BCBS 239
Meeting the Demands (Contd.)
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Clarity
Review and Remedial Action
Through the concept of Consumer Orders, the
Bloomberg PolarLake Strategic Pricing and Risk Data
Solution selects and delivers precisely the
information required by a requestor. As a result,
risk data can be formatted and delivered to multiple
recipients in a manner which they implicitly
understand and which can be integrated with
relevant downstream systems.
All activities across the pricing process are recorded
to provide a complete audit trail for internal and
external auditors to use in creating reports for
Supervisors.
Frequency
Process flows determine the frequency of the
delivery of the Consumer Orders described above.
In addition ad-hoc requests can be made as
required.
All such requests are recorded and monitored to
ensure delivery and to provide a complete audit
trail.
Distribution
All distribution of data is logged and stored for audit
purposes. Data is distributed based upon Consumer
Order requests and is delivered in the exact format
and frequency requested by each individual order.
Should remedial action be required, the solution
enables Bloomberg PolarLake clients to update data
through the Bloomberg PolarLake workstation using
a 4 – eyes principle.
All data is recorded and it is possible to create
reports showing the changes, the consequences
and the complete data lineage for all stages in each
individual process.
Multi-Vendor Price Verification
& Validation as a Service
Realized Client Benefits of the Bloomberg PolarLake
Pricing Solution
Price Processing Case Study
Client Benefits
Bloomberg PolarLake Pricing and Risk Data Solution
clients have benefited in multiple ways:
Timely and appropriate implementation of
a pricing infrastructure
Industrial Strength Price Processing
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The solution is available today
The solution can be delivered as a managed
service including access to the Bloomberg
PolarLake Data Operations team or as an onpremise installation
Implementation time and costs minimised
through Bloomberg PolarLake experience
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Installed world-wide across the financial
community
In-Use across a wide range of data volumes and
Asset classes
Both on-premise and managed service case
studies available
Phased Implementations
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A platform for Fair Value Accounting
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Proven Environment
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From Data Acquisition, storage, archive to
Distribution
Complete Data Lineage
Exception Management with 4-eyes principle
Full Audit Trail
Transparency
Data Lineage
Asset Classification
An independently auditable and
transparent data management framework
for BCBS 239
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From data architecture and infrastructure
through storage, archive, management and
distribution to review
Cost/Budget Control
Tackling the priority business need
For More Information
BloombergPolarLake.com
Dublin
+353 1 449 1010
[email protected]
London
+44 20 3755 3153
[email protected]
New York
+ 1 646 532 6722
[email protected]
Singapore
+65 6212 1536
[email protected]
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