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
  

Questions

Looking for high-end research and risk services? Reach out to us at: