A data-driven approach to automation and regulatory compliance.
A global interest rate trading division had to prove European Markets Infrastructure Regulation (“EMIR”) 11 compliance on a rolling 24 hour basis to meet its 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…“
Creating the system components
Calimere Point created a system with four main components:
- 1 real time xml receiver, aggregator and organiser
- xml data extraction
- xml process and join
- Trade lifecycle & KPI calculations
- A dynamic Dashboard
Like many Calimere Point projects, this Data Solution was driven by data and high-level requirements. 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_time – trade_time,” after examining the data we could argue, with evidence, that it should be “confirmation_time – audit_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 Id's were amended.