Question / Problem:
How to configure tolerance match settings in OC ?
Answer / Solution:
All CTM trade matching is currently done on the DTCC’s CTM network. It occurs quite often that, due to miniscule differences in the Accrued Interest and Net Amount fields – sometimes due to rounding – Customer’s auto-generated Trade Detail (contract note) messages mismatch with the counterparty. Manual intervention is required in order to update these values and progress the trade to Match Agreed. Correcting the Accrued Interest field also requires an update to the Net Amount field.
Tolerances can be set up on these fields in OC, whereby if Customer’s amounts differ from the counterparty’s amounts within a certain tolerance, OC will automatically copy the counterparty’s values onto the outbound Trade Detail message. If the Accrued Interest and/or Net Amount are not within the given tolerance – OC will continue to send out the calculated values for these two fields, which could lead to mismatches and the need for further manual intervention.
The tolerances are configured as below in ConfirmPluginconfig.xml file:
<TradeCurrencyOverride enabled="true" absolute="1.40" currency="GBP"/>
For instance if customer provides GBP 100.00 and the counterparty provides GBP 100.99, the counterparty’s value will be used as they are within tolerance limit ‘1.40’ of each other.