Intraday Pricing Column
Two Control Center edits were created for the use of Intraday NAV Processing:
EVIPQ edit test (Edit Intraday Valuation Pricing and Unrealized Edit test)
EANSQ edit test (Edit NAV Sequence Processing Complete Edit Test)
Both edit tests are mapped to the Intraday Pricing column in the Valuation Status menu. The Intraday Pricing column is listed under VALIDATIONS section in the Valuation Status menu.
Edit Intraday Valuation Pricing and Unrealized Edit Test (EVIPQ)
The EVIPQ edit test (Edit Intraday Valuation Pricing and Unrealized Edit test) is run during each intraday NAV sequence period to verify all prices have been received for securities as well as unrealized processed for each security.
The intraday NAV processing rule has a unique original source for each intraday NAV period. The securities should be all prices using the intraday original source, but due to various client workflows, the client may choose to price the security at a different original source or at cost. In all scenarios, the edit test was coded to verify that the original source for the price and the unrealized process does not equal any original sources associated with other intraday sequences.
For example, Fund MC00 has an original source of IDC1 for NAV1, IDC2 for NAV2, and IDC3 for NAV3. When the edit test is run for NAV1 and any prices are received with a source of IDC2 or IDC3, an exception is raised. Also if any prices or unrealized records are missing, an exception is raised.
The edit test is compatible with a fund approval hierarchy. Also, the default rules results for the cleared results of the edit test is set to NO. If you want to see results for cleared results, you have to change the send switch on the rules results to YES.
Edit NAV Sequence Processing Complete Edit Test (EANSQ)
The EANSQ edit test (Edit NAV Sequence Processing Complete Edit Test) was created to allow you to verify if intraday NAV processing has been completed. The edit test is first executed during the start of day global processing and then executed during intraday NAV processing. During Start of Day processing, the edit test resolves all funds that elect intraday NAV processing and raises an edit test result for each intraday NAV sequence for a fund that is not the final intraday NAV sequence. When intraday NAV processing is completed for a NAV sequence, the edit test clears the previously raised edit test result.
The edit test is compatible with a fund approval hierarchy.
Other Edit Tests and Intraday NAV Processing
The Prices Delta, Position Delta, and Unrealized Delta do not clear prices and unrealized results if the original source on a price matched one of the original sources on the intraday NAV processing rule that was not the final NAV sequence original pricing source. If a security is priced with any other original pricing source that is not present on the intraday NAV processing rule, the price and unrealized result will clear.
Automated Event Wrapper and Intraday NAV Processing
A core automated event wrapper event group is available for intraday NAV processing. The following steps are included in this CC-INTRADAY NAV PROCESSING automated event wrapper group:
Intraday Pricing and Unrealized Edit Test
Trigger Intraday Class Allocations
Trigger Intraday NAV Calculation
Trigger Intraday Valuation Comparison Process
Trigger STAR to PACE Position Push
Intraday NAV Processing Complete Edit Test
Because each fund will have multiple intraday NAV processing sequences, an intraday NAV processing event group must be created for each intraday NAV sequence. The event groups are copied over and the NAV sequence tag must be replaced with the appropriate NAV sequence value. In the case of the STAR to PACE position event, the Star to Pace intraday instance must be replaced with the correct intraday instance associated with the intraday NAV sequence. The following table shows the tags to be replaced with each event.
CC-INTRADAY NAV PROCESSING Event Group Step | Tags to Replace with Each Event |
|---|---|
Intraday Pricing and Unrealized Edit Test | Replace tag 3196 (nav sequence) with the correct nav sequence processing val. |
Intraday Class Allocations | Replace tag 2361 (nav id) with the correct nav sequence processing value. |
Intraday NAV Calculation | Replace tag 2361 (nav id) with the correct nav sequence processing value. |
Intraday Valuation Comparison Process | Replace tag 2361 (nav id) with the correct nav sequence processing value. |
Intraday STAR to PACE Position Push | Replace tag 4882 (Star to Pace Intraday Instance) with the correct star to pace intraday instance value associated with the NAV sequence. |
Intraday NAV Processing Complete Edit Test | Replace tag 2361 (nav id) with the correct nav sequence processing value. |
Custom statistics need to be created for each NAV processing sequence in order to trigger the intraday NAV processing AEW event group automatically.
Additionally, many funds have a different number of intraday NAV processing sequences. Each fund should be assigned to a Business Processing Group that matches its workflow needs. Business processing groups allow for the customization of Automated Event Wrapper (AEW) event group processing and allow you to segregate multiple business lines on a single production region of STAR. You can assign a Business Processing Group code value at the entity level and link it to custom Automated Event Wrapper event groups that contain only the needed steps for the specific client or workflow.
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