Tactical Tools: DTCC Data Quality Metrics Tool

Dodd-Frank Title VII, which includes the reporting provision covering OTC swaps, has given the CFTC enhanced tools for policing potential market manipulation activities by unscrupulous swap market participants. One of those tools is the DTCC’s Global Trade Repository (GTR), which provides regulators with access to trade data from many of the largest swap dealers, major swap participants, and end users actively trading swaps in the market.

To aid in comparing, bench-marking, and in some cases shaming the dealer community into improving the quality of their reported data, the DTCC publishes monthly metrics showing the relative data quality among the top dealers across the forty mandatory required data fields such as trade date, notional, and the counter party legal entity identifier (LEI). Month-over-month trending is used to demonstrate which dealers are making a concerted effort to fix bugs in their reporting infrastructure in order to improve the quality of their data.

Monticello Consulting was called upon by our client — a top swap dealer — to implement a tool to reconstruct the DTCC’s monthly metrics, but to do so on a daily basis. In order to tackle this challenge, MCG designed a system to leverage the enhanced position reports published daily by the DTCC and store this large volume of data in a custom designed database. Next, we computed the metrics using complex formulas shared with our development team working closely with the subject matter experts at the DTCC.

The end result was a streamlined and user-friendly tool-set that is leveraged by our client to drill in and examine the quality of their daily swaps trade reporting across all required fields. If a particular data field on a trade is being reported incorrectly, an analyst using the tool-set can quickly raise a defect ticket with little time lag and have IT begin to investigate and resolve the issue intra-month. The tool-set provides the organization with the ability to not only identify data reporting anomalies but also to allocate and assign its staff to re mediate data issues on a more timely basis than previously possible. In a short period of time, this tool-set can aid a swap dealer to significantly improve the quality of their reported trade data and streamline their efforts to fix bugs and scrub incorrectly reported data in the GTR.

Tausif Khan is a senior consultant with extensive experience developing tactical tools. Tausif advises MCG clients on the benefits of data management and process automation.

For more information, visit us at www.monticellocg.com