Duco offers a highly agile, rapid way for derivative business users to build and manage their own reconciliations. Users can reconcile the full suite of both OTC and ETD cleared products across transactions, positions, fees, collateral or any other business process. This article prescribes best practices for configuring derivatives reconciliations.

Derivatives Trade Reconciliation

Match Fields

Below is a representative list of fields that are useful to match on:

• Trade Date
• Settlement Date
• Buy/Sell
• Quantity
• Symbol
• Price
  
• CounterParty
• Account
• Account Number
• Currency
• Product
  

Often times you’ll need to extract or transform key matching information out of a security description (price, symbol, expiry, etc.). Below is an example:

The article Configuring rules using Natural Rule Language (NRL) provides a full list of transformation rules that can be used for a derivatives trade recon.

Rules & Rule Sets

In a trade recon it is common to apply conditional rules in order to facilitate the matching of values that would otherwise be unmatched. Examples of frequently seen rules:

• Mandatory Key on security identifiers
• Numeric/Percentage Tolerance on Price

Follow these steps to apply rules and rule sets to a trade recon.

Roll-Up Rules

Roll up rules will allow you to match groups of records rather than individual records. This can mean applying the following to your trade recon:

• Adding up allocated trades and then matching them against a block trade on the other side
• Rolling up the value of trades per currency and performing an aggregate comparison of the total value per currency
• Grouping multiple trade legs into a single trade before comparison

For example, you can roll up trades on security ID, currency, trade date, and other necessary tracking keys, sum up on quantity values, and compute an average price, and weighted average.

Follow these steps to apply Roll-Up Rules in your trade recon.

Carry Over

You'll likely want to enable carry over to pull forward partially matched and/or unmatched items from one run to the next. Carrying over unmatched items is particularly useful for a derivatives trade recon to account for timing mismatches in the source files. Common record tracking fields include Trade ID, Trade Date, and Currency.

Follow these steps for for enabling record tracking and carry over.

Derivatives Position Reconciliation

Rules & Rule Sets

In position reconciliations it is common to apply conditional rules in order to facilitate the matching of values that would otherwise be unmatched. Examples of frequently seen rules in trade recs are:

• Mandatory Key on Account and/or Security ID
• Compare Absolute Value on Quantity
• Numeric/Percentage Tolerance on Price
• Text Equivalence on Portfolio ID 

Follow these steps to apply rules and rule sets to a position recon.

Roll-Up Rules

Roll up rules will allow you to match groups of records rather than individual records. This can mean applying the following to your position recon:

• Adding up allocated positions and then matching them against a block positions on the other side
• Rolling up the value of positions per currency and performing an aggregate comparison of the total value per currency
• Grouping multiple legs of a swap to a single position before comparison

Follow these steps to apply Roll-Up Rules in your position recon.

Record Tracking

Record tracking will allow you to track the same position across runs of a recon and also enable ageing of breaks. When tracking is enabled, a match result contains a history box. You can click on a run number on the run history bar to see the same result on a previous run. Common record tracking fields include Security ID, Portfolio ID, and Currency.

Follow these steps for for enabling record tracking and carry over.