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
Client: A Global Bank
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Objective
Modernize and streamline legacy end-to-end Structured Notes booking process to do away with intermediate trading book creation and automate data mining process for coupon flow, LIBOR and other real-time data point capture.
CRISIL's Solution
Analysis: Determined technology and infrastructure requirements; defined list of trades in scope for migration; determined credit curve for reporting; established process requirements from different teams such as Treasury, PC, Trading, Business, MO, Quants, OPS and Legal
Analytics Development: Modified libraries based on new dynamic credit curves and models; DCF model validation; auto-callable swap with correct cash flow projection
Technology Implementation: Modified pricing, risk and bookings systems to accommodate new curves, analytics, trades, setting up new firm accounts and more
Trade Rebooking: Migrated 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
Using the new, streamlined process:
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
Approximately 1,500+ Trades Rebooked
Notional ~$10bn
DVA P&L ~$120mn
Request for services
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