UC-393
Fail Prediction & Penalty Pass-Through
Predicts which trades will fail before value date and reconciles the CSD penalty charges along the custody chain into client claims.
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The Challenge
Under the EU settlement discipline regime the CSD debits a cash penalty automatically and the charge must then reach the right client. Fail drivers and penalty files sit with separate teams.
How It Works
- Reads trade and settlement records, standing instructions, inventory and CSD penalty reports.
- Scores fail probability per trade and allocates each CSD penalty charge to the client account.
- Gives operations a pre-value-date action list and the monthly client penalty claims to issue.
What It Removes
- Chasing standing settlement instructions after a fail
- Rebuilding the fail history by counterparty each month
- Manual reconciliation of CSD penalty files to clients
Input Data RequirementsTrade and settlement records, standing settlement instructions, custodian messages, CSD penalty reports, inventory positions, counterparty fails
Output FormatDaily list of trades at risk of failing with the cause and action, allocated CSD penalty charges by client, and a counterparty fail scorecard
“We know which counterparties fail us. We just find out on value date instead of two days before.”