42 posts categorized "TimeScape"

30 April 2015

Enterprise Data Management - The Next Generation

Hi folks, there is a recording up of a webinar I took part in yesterday with the A-Team. The webinar was called Enterprise Data Management - The Next Generation and involved discussion about what's needed and what's next in EDM. You can get access to it via this link.

12 March 2015

Please vote for Xenomorph! The FTF News Technology Innovation Awards 2015

Pleased to say that Xenomorph has been nominated in the FTF News Technology Innovation Awards 2015 in the Best Enterprise Data Management Solution category.

Great to see some recognition for the hard work the development team have put in recently in improving our clients' efficiency through extending our workflow, cleansing and validation functionality, enabling our clients to have easier access to reports and visualizations through our new APIs and connections to business intelligence solutions, and offering our clients greater deployment flexibility with TimeScape EDM now available on the Microsoft Azure Cloud.

Your vote would be very much appreciated and you can get to the voting page directly here.  

Many thanks!

Brian and the Xenomorph team. 

 

10 March 2015

TabbFORUM Video: The Interdependence of Data, Analytics, and Visualization

Quick plug for an interview I did recently with Paul Rowady on the Tabb Forum, you can get access to the video here and a brief summary of what we talked about is below. As ever, Paul has his humourous angle on things and this time my green socks got the "Umpa Lumpa" treatment (unfortunately you have to watch to the end to catch that one!). Last time it was my likeness to the lead singer of an Australian band. And for the record, we did also have a good conversion on data management and BI/visualization.

"As firms increasingly apply analytics to massive volumes of raw data, the amount of derived data is growing exponentially, and the need to apply strict governance to this derived data is more important than ever. To satisfy regulatory demands, the full data trail – including models and calculations – needs to be auditable, remarks Brian Sentance, CEO, Xenomorph. Unfortunately, there often is a disconnect between the validation of the raw data and the governance of the middle tier of derived data or analytics, he notes. Sentance and TABB Group’s Paul Rowady, principal and director of data and analytics research, examine the breakdown of data governance best practices, the risks involved, and the role of visualization tools in identifying data quality and data management shortfalls."

05 November 2014

Data Management Summit NYC from the A-Team

The A-Team put on another good event at DMS New York yesterday. Lots of good stuff talked and here are a few takeaways that I remember, after a photo of Ludwig D'Angelo of JPMorgan:

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  • Data Utilities - One of presenters said that "Data Utility" was a really overused term second only to "Big Data". My comment would be that a lot of the managed services folks seem to want to talk about "Data Utilities" - seeming to prefer that term rather than what they are? Maybe because they perceive as better marketing and/or maybe because they hope to be annointed/appointed (how I don't know) as an industry "Data Utility". Anyway for me they fail to address the issue of client-specific data and its management very well, much to the detriment of their argument imho - although SmartStream did say that client data can be mixed up into the data services they offer. 
  • Andrew Gets Literaturally Physical - Andrew Delaney of the A-Team expressed a preference for "physical" books when talking about why the A-Team also prints the Regulatory Data Handbook2 as well as making it available online. I have to agree that holding a book still beats my Kindle experience but maybe I am just getting old. Andrew should check out this YouTube video on how the book was first introduced...
  • FIBO - The Financial Instrument Business Ontology (FIBO) was discussed in the context of trying to establish industry standards for data. As ever the usage of words like "Ontology" I suspect leaves a lot of business folks looking for the nearest double shot of expresso but that aside, seems like the EDM Council are making some progress on developing this standard. Main point from the event was industry adoption is key. I found some of the comments during the day a bit schizophrenic, in that some said that the regulators should not mandate standards (i.e. leave it to industry adoption and principles) but then in the next breath discussing the benefits (or otherwise) of the LEI (ok, not mandated but specific and coming from the regulators). Certainly the industry needs "help" (is that a strong enough word?) to get standards in place.
  • Data Quality - Lots on data quality with assessing the business value of data quality initiatives being a key point. On the same subject, Predrag of element-22 announced that the EDM Council will soon be announcing adoption of the Data Quality Index, which could be used to correlate data quality with operational KPIs for the business. 
  • Regulation (doh!) - It wouldn't be a data management event without lots of discussion on regulation - a key point being that even those regulations that are not directly/explicitly about data still imply that data management is key (take CVA calcs for example) - and on a related note it was suggested that BCBS239 should be considered as a more general data managment template for any business objective. 
  • Entity Hierarchies/LEI - Ludwig D'Angelo of JPMorgan gave a great talk and said that vendors were missing a massive opportunity in delivering good hierarchy datasets to clients, and that the effort expended on this at firms was enormous. Ludwig said that the lack of hierarchies in the Legal Entity Identifier (LEI) is a gap that the private sector could and should fill.  Ludwig also seemed initially to be thrown when one of the audience suggested that they were multiple "golden copies" of hierarchies needed, since definitions of ownership can differ depending on which department you are in (old battle of risk and finance departments again). Good discussion later of how regulation was driving all systems to be much more entity-centric rather than portfolio-centric, emphasising the importance of getting entity hierarchies right. 
  • DCAM - John Bottega did a great presentation on the Data Management Capability Model (DCAM). John asked Predrag of element-22 to speak about DCAM and he said that unlike previous models (DMM) then this framework would not only assess where you are in data management but will also show you where you need to go. DCAM covers data management strategy / operations / quality / business case / data architecture / tech architecture / governance / program. From what I could see it looked like a great framework - it appeared like common sense and obvious but that is in itself difficult to achieve so good effort I think. Element-22 will offer an online service around DCAM that will also allow anonymous benchmarking of data management capabilities as more institutions get involved (update: the service is called pellustro).
  • BCBS239 - Big thanks to John M. Fleming of BNY Mellon and Srikant Ganesan of Risk Focus for taking part in the panel with me. Less focus on spreadsheet use and abuse on this panel unlike the London Panel from last month. John had some very practical ideas such as the use of Wikis to publish/gather data dictionary information and with a large legacy infrastructure you are better documenting differences in definitions across systems rather than trying to change the world from day one. Echoing some of the points from DMS London, it was thought that making the use of internal data standards as part of a project sign off was very pragmatic data governance, but that also some systems should be marked/assessed as obsolete/declining and hence blocked from any additional usage in new project work. Bit of a plug for some of our recent work on data validation and exception management, but the panel said that BCBS239 needs to encompass audit/lineage on calculations/derived data/rules in addition to just the raw data

You can get more on the day by taking a look at my feed via @TheLongSentance and involving others at #DMSNYC.

 

13 October 2014

A-Team DMS London Event and BCBS239 Panel

Good day at the A-Team's DMS London event last Wednesday. The day started with Tom Dalglish doing a pretty passable impression of a stand-up comedian in the morning keynote to open the day - not exactly an easy thing to do if 1) you are asked to do it very much at the last minute and 2) this is data management, not the subject that most comedians would immediately reach out for. So due kudos to Tom, and some of the comments he made about technology architects and technology builders were funny and resonated with the audience, such as this quote coming from a technologist: "How can I give you the requirements, I haven't finished the code yet?" (I think we have all been there on that one a few times in our careers...).

You can find some of the main points from the various panels at via @XenomorphNews or more generally by #dmslondon (you could also find out a bit via my twitter account @TheLongSentance so long as you don't mind the odd photograph and a few bits of personal baggage now and again).

BCBS239 Panel - I took part in the panel on BCBS239 on risk data aggregation and reporting, something which I have written about before, and obviously a prime example of how regulation is influencing (dictating?) financial markets institutions to take data management seriously. Dennis Slattery of EDMWorks moderated the panel, and on the panel with me was Sally Hinds of DCMS, and Mikael Soboen, head of risk systems at BNP Paribas. 

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BCBS239 Panel at DMS London

Dennis started by outlining the four pillars of BCBS239:

  • Pillar 1 “Overarching Governance and Infrastructure.”
  • Pillar 2 “Risk aggregation” capabilities.
  • Pillar 3 “Risk reporting” capabilities.
  • Pillar 4 “Supervisory review, tools and cooperation."

Regulatory Chicken - Dennis started by asking the panel whether BCBS was another game of regulatory "chicken" where the approach of "principles" means 1) the banks do the minimum and wait for the banks to inspect and tell them what they specifically have to do 2) the regulators don't really want to be more specific beyond principles because they themselves are unsure of what is needed and want to learn from what different banks have done. General concensus from the panel debate was that firms were not doing as much as they could, but that banks needed to show at least that they had a program in place and running by the January 2016 deadline or face big issues with the regulators (so the game of regulatory chicken is "on" seems to be the conclusion). Mikael Soboen added that he was unsure whether his regulator would have the time to conduct the BCBS239 given the workload that the regulators currently faced. 

The End of Spreadsheets? - Dennis asked whether BCBS239 and the requirements for having a clear data lineage meant this sounded the bell for the end of spreadsheet usage at banks. I said not - I personally feel that a lot of folks in technology underestimate how difficult using software is for many business users and tools that make manipulating data easy like spreadsheets will have a role for the foreseeable future. I suggested that spreadsheets are a great adhoc reporting and analysis tool, and things mainly go wrong when they are used as a personal, "siloed" desktop database.

BCBS239 does not itself preclude the usage of spreadsheets and end user computing, but rather like a lot of regulation says that their usage must be taken seriously - in my view there is a tendency for some in IT to regard spreadsheets as someone else's problem, which is understandable but problematic for any CDO. Also there are approaches to spreadsheet usage that can help maintain data lineage, such as what Microsoft offers with web provision of spreadsheet dashboards using PowerView and PowerBI (used in our TimeScape MarketPlace offering), folks such as Cluster7 with their "closed circuit TV" for spreadsheet monitoring, and indeed Xenomorph with our SpreadSheet Inside approach of including centralised spreadsheet-like calculations as a supported data type within the audited data management process.

Data Dictionary - Mikael said that one responsibility he had was to represent the investment bank within the wider data dictionary initiatives due to BCBS239 at the retail bank, and said that this was challenging given the different terminology sometimes used. 

Is BCBS239 a Project or Data Governance? - The panel thought that the best approach was to use BCBS239 as a framework for compliance with current regulation and regulation to come, but that this needs to obviously be subject to having the budget to do so. There were some general comments on how the data management needs of the front office and risk were converging. Standards such as FIBO were also discussed, with feedback being that they are desirable but that it is early days where their immaturity means they are often used for specific areas such as modeling counterparty data. 

Overall a good panel (I hope!) with a good amount of audience questions and participation. Again you can find some of the main points from the various panels at via @XenomorphNews or more generally by #dmslondon (you could also find out a bit via my twitter account @TheLongSentance so long as you don't mind the odd photograph and a few bits of personal baggage now and again).

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A bit of fun - Brian looking up to Ron Wilbraham at DMS London

11 September 2014

A-Team DMS Awards 2014 - Xenomorph on the Cloud

A-Team’s DMS Data Management Awards close on the 26th of September so if you haven't already, please vote for Xenomorph!

Xenomorph on the Cloud - First of a few lookbacks at what we have been doing over the past year - firstly with a short animation about one of our major initiatives this year, cloud provision of data management and a new venture into cloud-based data publishing with the TimeScape MarketPlace

So it would be fantastic if you could support Xenomorph by voting here

Thank you!

01 July 2014

Cloud, data and analytics in London - thanks for coming along!

We had over 60 folks along to our event our the Merchant Taylors' Hall last week in London. Thanks to all who attended, all who helped with the organization of the event and sorry to miss those of you that couldn't come along this time.

Some photos from the event are below starting with Brad Sevenko of Microsoft (Director, Capital Markets Technology Strategy) in the foreground with a few of the speakers doing some last minute adjustments at the front of the room before the guests arrived:

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Rupesh Khendry of Microsoft (Head of World-Wide Capital Markets Solutions) started off the presentations at the event, introducing Microsoft's capital markets technology strategy to a packed audience:

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After a presentation by Virginie O'Shea of Aite Group on Cloud adoption in capital markets, Antonio Zurlo (below) of Microsoft (Senior Program Manager) gave a quick introduction to the services available through the Microsoft Azure cloud and then moved on to more detail around Microsoft Power BI:

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After Antonio, then yours truly (Brian Sentance, CEO, Xenomorph) gave a presentation on what we have been building with Microsoft over the past 18 months, the TimeScape MarketPlace. At this point in the presentation I was giving some introductory background on the challenges of regulatory compliance and the pros and cons between point solutions and having a more general data framework in place:

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The event ended with some networking and further discussions. Big thanks to those who came forward to speak with me afterwards, great to get some early feedback.

AzureUK-8

 

24 June 2014

Cloud, data and analytics in London. Tomorrow Wednesday 25th June.

One day to go until our TimeScape MarketPlace breakfast briefing "Financial Markets Data and Analytics. Everywhere You Need Them" at Merchant Taylor's Hall tomorrow, Wednesday June 25th. With over ninety people registered so far it should be a great event, but if you can make it please register and come along, it would be great to see you there.

19 June 2014

Cloud, data and analytics in London. Next Wednesday June 25th.

Less than one week to go until our TimeScape MarketPlace breakfast briefing "Financial Markets Data and Analytics. Everywhere You Need Them" at Merchant Taylor's Hall on Wednesday June 25th. 

Come and join Xenomorph, Aite Group and Microsoft for breakfast and hear Virginie O'Shea of the analyst firm Aite Group offering some great insights from financial institutions into their adoption of cloud technology, applying it to address risk management, data management and regulatory reporting challenges.

Microsoft will be showing how their new Power BI can radically change and accelerate the integration of data for business and IT staff alike, regardless of what kind of data it is, what format it is stored in or where it is located.

And Xenomorph will be demonstrating the TimeScape MarketPlace, our new cloud-based data mashup service for publishing and consuming financial markets data and analytics. 

In the meantime, please take a look at the event and register if you can come along, it would be great to see you there.

18 June 2014

New Client - Mizuho Securities USA

Very pleased to announce that Mizuho Securities USA has completed a successful implementation of TimeScape, you can see the press release here and more detail is available in this article on Inside Reference Data. Big thank you to all those involved in making this happen, both at Mizuho and on the Xenomorph team.

11 June 2014

Financial Markets Data and Analytics. Everywhere London Needs Them.

Pleased to announce that our TimeScape MarketPlace event "Financial Markets Data and Analytics. Everywhere You Need Them" is coming to London, at Merchant Taylor's Hall on Wednesday June 25th. 

Come and join Xenomorph, Aite Group and Microsoft for breakfast and hear Virginie O'Shea of the analyst firm Aite Group offering some great insights from financial institutions into their adoption of cloud technology, applying it to address risk management, data management and regulatory reporting challenges.

Microsoft will be showing how their new Power BI can radically change and accelerate the integration of data for business and IT staff alike, regardless of what kind of data it is, what format it is stored in or where it is located.

And Xenomorph will be demonstrating the TimeScape MarketPlace, our new cloud-based data mashup service for publishing and consuming financial markets data and analytics. 

In the meantime, please take a look at the event and register if you can come along, it would be great to see you there.

14 May 2014

Clients and Partners. Everywhere You Need Them.

Quick thank you to the clients and partners who took some time out of their working day to attend our breakfast briefing, "Financial Markets Data and Analytics. Everywhere You Need Them." at Microsoft's Times Square offices last Friday morning. Not particularly great weather on here in Manhattan so it was great to see around 60 folks turn up...

Photo 1

 
Rupesh Khendry of Microsoft (Head of World-Wide Capital Markets Solutions) started the event and set out the agenda for the morning. Rupesh described the expense of data within financial markets, and the difficulties experienced by risk managers in pulling together all the data and analytics they need...  Photo 2
 
 ...and following Rupesh was Antonio Zurlo (below) of Microsoft (Senior Program Manager) who explained the fundamentals of Microsoft Azure and what services and infrastructure it offers, including public cloud, virtual private cloud and hybrid cloud architectures. Antonio also described a key usage pattern for HPC/grid on Azure being used to "burst to the cloud" when on-premise infrasture needs to be extended for end/intra-day risk calcs...
Photo 3
 
Sang Lee (below) of Aite Group (Managing Partner) then delivered his presentation "Floating in the Capital Markets Cloud: Moving Beyond Data Storage". Sang's main findings from the survey of 20 financial institutions were that concerns about security and SLAs relating to cloud usage remain, but even those that were concerned about this also said they were planning to start a cloud project within the next 24 months. Cloud technology seems to becoming more acceptable of late, and Sang said this seems to be due to regulation, cost pressures and the desire to offer better services to clients. Sang confirmed that HPC/Grid with "burst to the cloud" is a common usage pattern and that "Data as a Service" is becoming more popular... 
Photo 4
 
Fred Veasley (below) of Microsoft (Tech Solutions Professional) to introduce Microsoft Power BI and Office 365. Fred explained how Power BI extended the capabilities of Excel with data search (finding and retrieving publicized data sources both within an organization and over the web), its integration capabilities with standard databases, NoSQL databases, data standards such as OData and new APIs/sources of data such as Facebook. Once downloaded, the data can be shaped and merged with other datasets (for instance combining data from positions databases/systems with analytics and data from the cloud), and kept up to date automatically. In addition to Power BI, Power View enables great visualizations and interactive dashboards to be created, and once finalized these can be deployed centrally via web pages down to end users...
Photo 5
 
After Fred, Brian Sentance (below), CEO of Xenomorph explained the origins of the TimeScape MarketPlace. Based on some discussions with Microsoft about 18 months back, the idea was effectively to firstly to get TimeScape running in the Microsoft Azure cloud, secondly to turn the data management capabilities of TimeScape "upside-down" by using it as a means to upload and publish data to the cloud and thirdly to provide one-to-many access to multiple sources of data via web interfaces and key delivery tools such as Microsoft Power BI. Put another way, without any local software or hardware infrastructure both business users and IT staff can access multiple data sources in the same format and using the same data model wherever the data is needed. In addition to .NET and Java interfaces to the TimeScape MarketPlace via OData, web API delivery into F#, Python, R and MATLAB are all in development...
Photo 1 - Copy
 
...and in addition to downloading data via Power BI, Brian also demonstrated how you could build on the data using "Power View" to create powerful analytical dashboard functionality that could be built and tested in Excel, then deployed centrally within a browser for access by users outside of Excel. He added that partners was one of the key aspects for the platform, and introduced the TimeScape MarketPlace Partner Program for the platform to get data, analytics, model vendors, software and service vendors involved and building on the platform. Andrew Tognela (below) of Microsoft (Worldwide Managing Director) closed the presentations...
Photo 4 - Copy

02 May 2014

7 days to go - Financial Markets Data and Analytics. Everywhere You Need Them.

Quick reminder that there are just 7 days left to register for Xenomorph's breakfast briefing event at Microsoft's Times Square offices on Friday May 9th, "Financial Markets Data and Analytics. Everywhere You Need Them."

With 90 registrants so far it looks to be a great event with presentations from Sang Lee of Aite Group on the adoption of cloud technology in financial markets, Microsoft showing the self-service (aka easy!) data integration capabilities of Microsoft Power BI for Excel, and introducing the TimeScape MarketPlace, Xenomorph's new cloud-based data mashup service for publishing and consuming financial markets data and analytics.

Hope to see you there and have a great weekend!

 

30 April 2014

Xenomorph Releases TimeScape Data Validation Dashboard

Very pleased to announce general availability of TimeScape Data Validation Dashboard which we announced this morning. You can see find out more here. Big thank you to all the staff and the clients involved, who have helped us to put this together over the past year. 

15 April 2014

Financial Markets Data and Analytics. Everywhere You Need Them.

Very pleased to announce that Xenomorph will be hosting an event, "Financial Markets Data and Analytics. Everywhere You Need Them.", at Microsoft's Times Square New York offices on May 9th.

This breakfast briefing includes Sang Lee of the analyst firm Aite Group offering some great insights from financial institutions into their adoption of cloud technology, applying it to address risk management, data management and regulatory reporting challenges.

Microsoft will be showing how their new Power BI can radically change and accelerate the integration of data for business and IT staff alike, regardless of what kind of data it is, what format it is stored in or where it is located.

And Xenomorph will be introducing the TimeScape MarketPlace, our new cloud-based data mashup service for publishing and consuming financial markets data and analytics. More background and updates on MarketPlace in coming weeks.

In the meantime, please take a look at the event and register if you can come along, it would be great to see you there.

11 December 2013

Aqumin visual landscapes for TimeScape

Very pleased that our partnering with Aqumin and their AlphaVision visual landscapes has been announced this week (see press release from Monday). Further background and visuals can be found at the following link and for those of you that like instant gratification please find a sample visual below showing some analysis of the S&P500.

Sp500aq

06 December 2013

F# in Finance New York Style

Quick plug for the New York version of F# in Finance event taking place next Wednesday December 11th, following on from the recent event in London. Don Syme of Microsoft Research will be demonstrating access to market data using F# and TimeScape. Hope to see you there!

27 November 2013

Putting the F# in Finance with TimeScape

Quick thank you to Don Syme of Microsoft Research for including a demonstration of F# connecting to TimeScape running on the Windows Azure cloud in the F# in Finance event this week in London. F# is functional language that is developing a large following in finance due to its applicability to mathematical problems, the ease of development with F# and its performance. You can find some testimonials on the language here.

Don has implemented a proof-of-concept F# type provider for TimeScape. If that doesn't mean much to you, then a practical example below will help, showing how the financial instrument data in TimeScape is exposed at runtime into the F# programming environment. I guess the key point is just how easy it looks to code with data, since effectively you get guided through what is (and is not!) available as you are coding (sorry if I sound impressed, I spent a reasonable amount of time writing mathematical C code using vi in the mid 90's - so any young uber-geeks reading this, please make allowances as I am getting old(er)...). Example steps are shown below:

Referencing the Xenomorph TimeScape type provider and creating a data context: 

F_1

Connecting to a TimeScape database:

F_2

Looking at categories (classes) of financial instrument available:

F_3

Choosing an item (instrument) in a category by name:

F_4

Looking at the properties associated with an item:

F_5

The intellisense-like behaviour above is similar to what TimeScape's Query Explorer offers and it is great to see this implemented in an external run-time programming language such as F#. Don additionally made the point that each instrument only displays the data it individually has available, making it easy to understand what data you have to work with. This functionality is based on F#'s ability to make each item uniquely nameable, and to optionally to assign each item (instrument) a unique type, where all the category properties (defined at the category schema level) that are not available for the item are hidden. 

The next event for F# in Finance will take place in New York on Wednesday 11th of December 2013 in New York, so hope to see you there. We are currently working on a beta program for this functionality to be available early in the New Year so please get in touch if this is of interest via info@xenomorph.com.  

 

19 November 2013

i2i Logic launch customer engagement platform based on TimeScape

An exciting departure from Xenomorph's typical focus on data management for risk in capital markets, but one of our partners, i2i Logic, has just announced the launch of their customer engagement platform for institutional and commercial banks based on Xenomorph's TimeScape. The i2i Logic team have a background in commercial banking, and have put together a platform that allows much greater interaction with a corporate client that a bank is trying to engage with.

Hosted in the cloud, and delivered to sales staff through an easy and powerful tablet app, the system enables bank sales staff to produce analysis and reports that are very specific to a particular client, based upon predictive analytics and models applied to market, fundamentals and operational data, initially supplied by S&P Capital IQ. This allows the bank and the corporate to discuss and understand where the corporate is when benchmarked against peers in a variety of metrics current across financial and operational performance, and to provide insight on where the bank's services may be able to assist in the profitability, efficiency and future growth of the corporate client.

Put another way, it sounds like the corporate customers of commercial banks are in not much better a position than us individuals dealing with retail banks, in that currently the offerings from the banks are not that engaging, generic and very hard to differentiate. Sounds like the i2i Logic team are on to something, so I wish them well in trying to move the industry's expectations of customer service and engagement, and would like to thank them for choosing TimeScape as the analytics and data management platform behind their solution. 

 

 

21 October 2013

S&P Capital IQ Data Integration for TimeScape

Very pleased to announce our new data integration for TimeSCape with S&P Capital IQ - see the press release

18 September 2013

Vote for Xenomorph! - A-Team DMS Data Management Awards

Pleased to say that Xenomorph has been nominated in three categories in the A-Team DMS Data Management Awards. The categories are: 

  • Best Sell-Side Enterprise Data Management Platform
  • Best Buy-Side Enterprise Data Management Platform
  • Best Risk Data Management Analytics Platform

Please vote for Xenomorph by going to this link. Many thanks!

25 June 2013

Matthew Berry on the Libor/OIS curve debate

Guest post today from Matthew Berry of Bedrock Valuation Advisors, discussing Libor vs OIS based rate benchmarks. Curves and curve management are a big focus for Xenomorph's clients and partners, so great that Matthew can shed some further light on the current debate and its implications:

New Benchmark Proposal’s Significant Implications for Data Management

During the 2008 financial crisis, problems posed by discounting future cash flows using Libor rather than the overnight index swap (OIS) rate became apparent. In response, many market participants have modified systems and processes to discount cash flows using OIS, but Libor remains the benchmark rate for hundreds of trillions of dollars worth of financial contracts. More recently, regulators in the U.S. and U.K. have won enforcement actions against several contributors to Libor, alleging that these banks manipulated the benchmark by contributing rates that were not representative of the market, and which benefitted the banks’ derivative books of business.

In response to these allegations, the CFTC in the U.S. and the Financial Conduct Authority (FCA) in the U.K. have proposed changes to how financial contracts are benchmarked and how banks manage their submissions to benchmark fixings. These proposals have significant implications for data management.

The U.S. and U.K. responses to benchmark manipulation

In April 2013, CFTC Chairman Gary Gensler delivered a speech in London in which he suggested that Libor should be retired as a benchmark. Among the evidence he cited to justify this suggestion:

-          Liquidity in the unsecured inter-dealer market has largely dried up.

-          The risk implied by contributed Libor rates has historically not agreed with the risk implied by credit default swap rates. The Libor submissions were often stale and did not change, even if the entity’s CDS spread changed significantly. Gensler provided a graph to demonstrate this.

Gensler proposed to replace Libor with either the OIS rate or the rate paid on general collateral repos. These instruments are more liquid and their prices more readily-observable in the market. He proposed a period of transition during which Libor is phased out while OIS or the GC repo rate is phased in.

In the U.K., the Wheatley Report provided a broad and detailed review of practices within banks that submit rates to the Libor administrator. This report found a number of deficiencies in the benchmark submission and calculation process, including:

-          The lack of an oversight structure to monitor systems and controls at contributing banks and the Libor administrator.

-          Insufficient use of transacted or otherwise observable prices in the Libor submission and calculation process.

The Wheatley Report called for banks and benchmark administrators to put in place rigorous controls that scrutinize benchmark submissions both pre and post publication. The report also calls for banks to store an historical record of their benchmark submissions and for benchmarks to be calculated using a hierarchy of prices with preference given to transacted prices, then prices quoted in the market, then management’s estimates.

Implications for data management

The suggestions for improving benchmarks made by Gensler and the Wheatley Report have far-reaching implications for data management.

If Libor and its replacement are run in parallel for a time, users of these benchmark rates will need to store and properly reference two different fixings and forward curves. Without sufficiently robust technology, this transition period will create operational, financial and reputational risk given the potential for users to inadvertently reference the wrong rate. If Gensler’s call to retire Libor is successful, existing contracts may need to be repapered to reference the new benchmark. This will be a significant undertaking. Users of benchmarks who store transaction details and reference rates in electronic form and manage this data using an enterprise data management platform will mitigate risk and enjoy a lower cost to transition.

Within the submitting banks and the benchmark administrator, controls must be implemented that scrutinize benchmark submissions both pre and post publication. These controls should be exceptions-based and easily scripted so that monitoring rules and tolerances can be adapted to changing market conditions. Banks must also have in place technology that defines the submission procedure and automatically selects the optimal benchmark submission. If transacted prices are available, these should be submitted. If not, quotes from established market participants should be submitted. If these are not available, management should be alerted that it must estimate the benchmark rate, and the decision-making process around that estimate should be documented.

Conclusion

These improvements to the benchmark calculation process will, in Gensler’s words, “promote market integrity, as well as financial stability.” Firms that effectively utilize data management technology, such as Xenomorph's TimeScape, to implement these changes will manage the transition to a new benchmark regime at a lower cost and with a higher likelihood of success.

 


30 April 2013

Last day of voting in the FTF News Awards!

Today is the last day of voting in the FTF News Technology Innovation Awards 2013. Our TimeScape solution has been nominated under the Best Enterprise Data Management (EDM) category. If you can spare a minute of your time today, then Xenomorph would very much appreciate your vote!

10 April 2013

Xenomorph short-listed for the FTF News Awards 2013

Xenomorph has been short-listed in the FTF News Technology Innovation Awards 2013, under the Best Enterprise Data Management (EDM) category. The short-list includes:

BEST ENTERPRISE DATA MANAGEMENT SOLUTION

  • Eagle Investment Systems – Eagle Data Management
  • GoldenSource – GoldenSource EDM
  • Markit  - Markit EDM
  • SmartStream/Euroclear Partnership
  • Xenomorph - TimeScape

If you can spare a few moments of your time, then Xenomorph would very much appreciate your vote!

05 April 2013

Feel democracy in action with Xenomorph (and vote for us!)

In these times of disfunctional political parties, external troikas and technocratic governments, why not exercise your democratic rights in a positive way by voting for Xenomorph in the best Enterprise Data Management category of the Inside Reference Data Awards 2013. You know it makes democratic sense.

 

Xenomorph: analytics and data management

About Xenomorph

Xenomorph is the leading provider of analytics and data management solutions to the financial markets. Risk, trading, quant research and IT staff use Xenomorph’s TimeScape analytics and data management solution at investment banks, hedge funds and asset management institutions across the world’s main financial centres.

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Member since 02/2008