End to end Structured Notes support for a large US based Investment Bank
Objective
- End to End Structured Notes BAU support for a large US based Investment Bank including issuance management, booking and life cycle support and retirements management
Crisil's solution
Issue Management
- Enter new trade (note issuances) details in the Primary Issuance Management System and requests for treasury approval
- Finalize trades 5 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 –
- 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 raise to Treasury for approval in Primary Issuance Management System
- Booking of retirement of positions in issuance, hedge, loan in RMS and buyback account is 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 existing 10%
Questions