Our work / Client story
Validating investment data across more than 1,000 securities.
A credit asset manager holding more than 1,000 securities across several asset classes could not keep its security attributes current. Dacumen deployed automated validation that identifies each exception daily and reports it to the operations team.
- Client
- Credit asset manager
- Portfolio
- More than 1,000 securities across multiple asset classes
- Process
- Validation of investment data attributes
- Delivered
- Daily validation rules, exception reporting and drill-down detail
- Reported result
- 97% of more than 7,500 exceptions resolved within 30 days
Summary
The engagement in three points.
- The client’s operations team could not keep pace with daily changes to security attributes, and quarter-end reporting required several teams to review the data.
- Dacumen deployed validation rules for each attribute and an automated daily report of the exceptions.
- More than 7,500 exceptions were identified at deployment. The client reported that 97% were resolved within 30 days and that 65 hours of quarter-end reporting effort were saved.
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Client name, if the client authorizes a named reference.
The problem
Attribute data that was out of date faster than it could be corrected.
Attributes such as coupon rate, maturity date, day-count convention and issuer domicile determine how each security is accrued, classified and reported. On a portfolio of more than 1,000 securities, a large number of those attributes change every day.
The client’s operations team struggled to keep up with the daily volume of changes, and attribute data was regularly out of date. The consequences were most visible at quarter end:
- Quarterly reporting required staff from several teams to work through the accumulated data changes.
- Management could not see how many data issues were open or how quickly they were being resolved.
Dacumen’s contribution
A validation rule for each attribute, checked every day.
Dacumen defined a set of validation rules for the client’s security master data and automated the checks:
- Validation rules
- Each attribute has a coded rule. Rules test whether a required value is present, whether an identifier such as an ISIN or CUSIP has a valid format, and whether a value is consistent with the security’s type.
- Exception view
- Exceptions are shown by security and attribute, so the team can see where issues are concentrated.
- Daily notification
- An automated email lists the open exceptions, with a report that provides the detail behind each one.
The exception view
Seeing every open exception by security and attribute.
This view gave the operations team and management the same picture of the data: which securities had open exceptions, on which attributes and under which rule.
| Security | ISIN | CUSIP | Country | Coupon rate | Coupon type | Day count | Maturity date | Issuer domicile |
|---|---|---|---|---|---|---|---|---|
| SEC-0024Borrower A 1L Term Loan | ISIN: no exception | CUSIP: no exception | Country: no exception | Note 1Coupon rate: exception VL0020 | Coupon type: no exception | Day count: no exception | Maturity date: no exception | Issuer domicile: no exception |
| SEC-0035Issuer B 7.000% Senior Notes | ISIN: no exception | CUSIP: no exception | Country: no exception | Coupon rate: no exception | Coupon type: no exception | Day count: no exception | Maturity date: no exception | Issuer domicile: no exception |
| SEC-0068Borrower C Revolver | ISIN: no exception | CUSIP: no exception | Country: no exception | Coupon rate: no exception | Coupon type: no exception | Day count: exception VL0022 | Maturity date: no exception | Issuer domicile: no exception |
| SEC-0100Borrower D Delayed Draw Term Loan | ISIN: no exception | CUSIP: no exception | Note 2Country: exception VL0009 | Coupon rate: no exception | Coupon type: no exception | Day count: no exception | Maturity date: no exception | Issuer domicile: exception VL0026 |
| SEC-0102Borrower D 1L Term Loan | ISIN: no exception | CUSIP: no exception | Country: exception VL0009 | Coupon rate: no exception | Coupon type: no exception | Day count: no exception | Maturity date: no exception | Issuer domicile: exception VL0026 |
| SEC-0148CLO E 2021-1A Subordinated Notes | ISIN: no exception | CUSIP: no exception | Country: no exception | Coupon rate: no exception | Coupon type: no exception | Day count: no exception | Maturity date: exception VL0011 | Issuer domicile: no exception |
| SEC-0153Issuer F Preferred Equity | Note 3ISIN: exception VL0006 | CUSIP: no exception | Country: no exception | Coupon rate: no exception | Coupon type: no exception | Day count: no exception | Maturity date: no exception | Issuer domicile: no exception |
Open exception, shown with its rule code
Each exception identifies the security, the attribute and the rule
A flagged cell shows which validation rule the value failed. Here the coupon rate on a term loan is inconsistent with its coupon type.
Patterns across securities are visible at a glance
Two loans to the same borrower are missing the same attribute, which usually means one correction at the source resolves both.
Format rules catch identifiers that cannot be valid
Identifier fields are checked against their expected format, such as the length and character set of an ISIN or CUSIP.
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Current screenshot of the data-exception matrix, with security names and identifiers removed.
The reported result
Most exceptions resolved within the first 30 days.
The client reported the following results:
- More than 7,500 active exceptions identified when the validation was deployed
- 97% of those exceptions resolved within 30 days
- 65 hours of reporting effort saved each quarter end
- More consistent data, with progress that management could monitor
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If your team spends quarter end correcting security data, tell us how the data is maintained today. A senior practitioner will reply personally.