Streamlining of the end-to-end Structured Notes booking process including automated data mining process for coupon flow, LIBOR and other real-time data point capture
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Objective
Streamline end-to-end structured notes booking, process under the legacy system to do away with intermediate trading book creation and automated data mining process for coupon flow, LIBOR and other real-time data point capture
Debt is valued at fair value after incorporating market movement and credit risk of the Issuer
DVA P&L and Risk are measured on a real-time basis and can be differentiated from underlying P&L
DVA P&L can be reported on a real-time basis
CRISIL's solution
Analysis: Technology and infrastructure requirements; defining list of trades in scope for migration; determining credit curve for reporting; process requirements from different teams such as Treasury, PC, Trading, Business, MO, Quants, OPS and Legal
Analytics Development: Modify libraries based on new dynamic credit curves and models; DCF model validation; auto-callable swap with correct cash flow projection
Technology Implementation: Modify pricing; risk and bookings systems to accommodate new curves, analytics, trades, setting up new firm accounts and more
Trade Rebooking: Migrating the trades from legacy systems to new DVA compliant systems, managing all tasks from a preliminary scoping of trades to managing all post-booking issues unless the DVA P&L is released.
Implementation Execution and Go-Live
Client impact
~1500+ Trades Rebooked
Notional ~$10bn
DVA P&L ~$120mn
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