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EMIR Trade Confirmation Compliance

A global interest rate trading division had to prove EMIR 11 compliance on a rolling 24 hour basis

European Markets Infrastructure Regulation (“EMIR”) timely confirmation requirements

financial and non-financial counterparties that enter into an OTC derivative contract not cleared by a CCP shall ensure…that appropriate procedures and arrangements are in place to measure, monitor and mitigate operational risk and counterparty credit risk, including at least:
(a) the timely confirmation, where available, by electronic means, of the terms of the relevant OTC derivative contract…

Data Landscape

Our client had tens of thousands of trades and trade amendments each day and five different versions of its primary trading system.  It wanted to track trade confirmation in “real time” showing the last 24 hours on an hourly basis.

Trade life cycle events including novations, amendments and cancellations also had to be addressed.

Direct access to the primary systems was not possible, but the system emitted an xml message for every trade life cycle event.

CPRA created a system with four main components:

Project Approach

In common with many of CPRA’s projects, this case study was led by the data and a high level requirement.  Our experience and flexible iterative data tools were key to give rapid, accurate delivery as we could react to the data itself.

So where the user advised “confirmation_timetrade_time,” after examining the data we could argue, with evidence, that it should be “confirmation_timeaudit_trade_time” without ever mentioning the words “change request.

Trade life cycle events made life more complicated as rules had to be agreed for events such as

Trade -> Amend -> Amend -> Novate

Each xml message had to identify and join to previous versions so the whole life cycle could be assembled, which became more interesting when trade ids were amended.

The Dashboard

A dynamic dashboard was created that allowed drill down to different desks, regions and trade types across a number of compliance KPIs.

It was accessible globally and refreshed every hour to show compliance status  of he last 24 hours and detail of any non-compliant trades regardless of trade date.

A robust and repeatable regulatory response – delivered fast

The combination of financial markets and data analytics expertise allowed our client to deliver a robust and repeatable solution to meet an extremely tight regulatory deadline.

In addition to meeting the regulatory requirements, our solution went further by providing senior operations management with a dashboard displaying a rich set of historical OTC confirmation information. This allowed them to plan, implement and monitor process improvements to establish more robust confirmation delivery to the Interest Rate Trading business.

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