Objective

• Client had four asset managers with collateral management for their OTC derivatives portfolios handled separately by each. The objective was to facilitate reconciliation of margin calls for all four asset managers together, reduction in settlement risks and efficient capture of netting opportunities
  

CRISIL's solution

• CRISIL approach included assisting the client in designing an end-to-end collateral management solution which would be suitable for margin call processing
• Performed an analysis of client’s existing collateral system to identify gaps and problem areas
• Maintained detailed business requirements documentation
• Worked with client’s in-house team to redesign the collateral management solution based on gap identification
• The final solution included capabilities for ISDA/CSA negotiation and capture, valuation of collateral to identify Cheapest-to-Deliver (CTD) collateral, and collateral dispute management & reporting
• Conceptualised and built a single dashboard view which showed all collateral inventory and netting opportunities among all four asset managers
• The solution had ISDA/CSA support, collateral valuation, dispute management and reporting capabilities
  

Client impact

• Simplified reconciliation of margin calls, greater transparency and operational control
• Better capture and management of cross-netting opportunities to reduce settlement risks and transaction charges
• Efficiency in collateral management through inventory optimisation
  

Questions

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