A United States (US)-based bank was seeking support for independent verification (calculation) of indices across multiple asset classes and timely publication on market data sources such as Bloomberg and Reuters. Additionally, the bank also expected support on back-testing of new indices.
Crisil’s solution
Deployed a five-member team for over five years for secondary price verification and golden sourcing of data for index calculation and back-testing. The team developed comprehensive index management process and automation tools for calculation, including a robust maker/checker process. The highlights of the solution are:
Assisted the client’s technology team in the development, designing, testing and migration/ onboarding of existing indices and new indices on its internal calculation infrastructure
Improved controls by automating multi-source input and output verification
Set up input and output accuracy checks and thresholds to establish standardised process
Establishment of forward-looking flags, corporate action checks and adjustments, in accordance with the methodology
Set up the ‘Golden Series Exercise’ for gap identification and data standardisation as part of regulatory requirement
Client impact
Enhanced efficiency in managing critical indices through automation and alerts
Index calculation errors reduced 98%
Improved management of publication timelines (with less than 0.5% miss of the deadline)
Extensive support on index data migration that had demanding timelines and required expertise in technology as well as index concepts
Extended complete support on audit trials
Faster scale-up of new launches, which helped business volumes grow three times during the period