Date: 01 January 2016

Tags: case study

Hedge Fund - ETD & OTC Derivatives Reconciliation

The client, an established Mayfair based hedge fund with over $20bn AUM, needed to reconcile large and increasing volumes of exchange traded derivative trades on a daily basis with its clearers to ensure trading data was accurate, charges were being levied in accordance with agreed commission schedules, and collateral requirements were being correctly applied.

Watson Wheatley’s iRecs was identified as the best fit for the company due to its ability to automate derivative trade matching and fully account for all mark to market differences. iRecs was required to interface with the firm’s portfolio accounting system, Linedata's Global Hedge, and reconcile this against data from ten different clearers who provided data in a range of file shapes and formats.

Data import needed to be completely automated; clearer files were delivered via encrypted FTP on T+1. Volumes ranged between 3,000 and 10,000 trades per day across 60 funds/portfolios containing over 1,000 margin accounts. 

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Duncan Wheatley

Duncan has over 30 years experience in the financial markets working in both New York and London. He was previously Global Head of Operations for a $350bn asset manager, Head of Operations at a London hedge fund and Head of Back and Middle Office Development at the largest hedge fund in Europe. Duncan is a keen sailor and can be found regularly crossing the channel in his yacht 'Liquid Asset'.

Key Points.

  • $20bn Hedge fund
  • ETD & OTC Derivatives
  • Total equity reconciliation
  • Linedata Global Hedge

White Papers.

  • Basic Securities Reconciliation For The Buy Side
  • Data Aggregation For Asset Reconciliation
  • The Direction of Reconciliation Systems
  • Total Equity Reconciliation for Derivatives
  • Reconciliation Best Practice
  • The Role of Reconciliation in Managing Operational Risk
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