OSTTRA has expanded the capabilities of its industry-leading portfolio reconciliation service, OSTTRA triResolve, to address timing mismatches in FX. The new FX Snap Time Prediction Model automatically identifies and flags valuation discrepancies which stem from differences in the time at which the market rate was captured by each counterparty. The new prediction model uses historical trade valuation data to form an advanced time-series analysis. By combining this data with the prevailing market rate, the model identifies when a trade’s mark to market (MTM) value was determined. It then applies the same analysis to the trading counterparty and calculates whether a discrepancy is caused by a timing mismatch. “The FX Snap Time Prediction Model helps our customers solve a long-standing market challenge. By isolating valuation discrepancies caused by snapshot timing, we are helping market participants eliminate false positives, allowing them to focus resources on real risk,” said Carl Thornberg, Head of Optimisation and Analytics Technology at OSTTRA.
