Objective

To provide ongoing, end-to-end Structured Notes support for a large US-based Investment Bank, including Issue Management, Trade Booking and Retirements.

CRISIL's Solution

• Issue Management
  
  • Enter new trade (note issuances) details in the Primary Issuance Management System and initiate requests for treasury approval
  • Finalize trades five days before the settlement date of the trade
    
• Trade Booking
  
  • Risk Management System: Book the trade in RMS where the positions are priced and Issuance Legs booked into three separate accounts:
    
  • Finalize trades five days before the settlement date of the trade
    
    • Issuance account (subject to MTM accounting and linked to credit curve);
    • Hedge account (faces risk desk);
    • Loan account (accrual accounting and facing treasury);
  • Booking in secondary Position Management System, Middle Office System and Back Office System
    
• Retirements
  
  • The buyback positions with highest notional are selected and priced so that the net DVA cash flow is zero
  • Request is raised to Treasury for approval in Primary Issuance Management System
  • Booking of retirement of positions in issuance, hedge, loan in RMS and buyback account done in Secondary Position Management System
  • Update records in the Primary Issuance Management Systems
    

Client Impact

• Rapid scale-up of new trade booking
• Reduction in error on new trade booking
• Decreased TAT with minimal impact on PnL reporting
• Ramped up Trade Retirement process and scaled up retirements to 80% of the available slots from existing 30%
• Retirement errors reduced to 1% from prior 10%
  

Questions

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