Challenges

Outdated legacy systems

• Different systems (working as silos) catering to multiple LOBs
• Manual and inefficient spreadsheet-driven processes that led to errors

Market data issue

• Market data used by finance team were inconsistent across LOBs
• Information challenges in the bank’s monthly IPV process and reporting
• Lack of single market data repository for LOBs

Inconsistent and inefficient process

• Inconsistency in methodology of performing IPV across LOBs
• Finding and Analysing breaches specifically for products like bonds was a time consuming process

Crisil Approach

Training/discussion with SME's

• Detailed discussions with traders, IPV SMEs and business to understand current process, define target state, define relative and absolute Business thresholds , Position thresholds ( in case of bonds), common reports

Standardization & pilot

• Sourcing Market data (consensus/broker/proxy) from various data providers
• Classification of trades, price discovery based on Fair Value Hierarchy
• Compute variances, perform data validation, adjustments and reporting

Setting-up the process

• Designed IPV reports such as Full Reval, Risk-Based etc. that would be consistent across LOBs
• Started a PILOT with Linear RATEs and then later complex products were on boarded to move to strategic system

Single market data repository

• Setting up an integrated market data platform, coordinating the development activities to enable correct mapping of independent data across LOBs

Unified risk engine delivery

• Redesigned and revamped the entire IPV manual process and brought the entire efforts into a single platform by migration from spreadsheets to a single risk engine and risk viewer

Offshore team Setup

• Post the migration, Crisil helped the bank in setting up a large offshore team for over a period of 1 year, train the new associates and provide adequate tools and documents for their BAU

Crisil Impact
 

• Crisil conceptualised and developed the reports by working with Business and Technology teams, and successfully delivered a comprehensive set of tools and reports for the use of the IPV team. Crisil delivered the critical platform on time by leveraging expertise in both business and IT
• The team developed incremental reports that leveraged attribution analysis methodology to provide an in-depth understanding of IPV variance
  • Significantly reduced the time, complexity of effort and manual intervention in performing the IPV process
  • Enhanced the process overall . For example pioneered roll out of IPV PLEX with explains defined to cover variance between full reval and partial reval method
• A large portion of the daily IPV process is running from offshore across LOB/ product classes from last year
• This has led to a overall cost reduction for the bank, better SOX controls, efficient processes with analysts not spending majority time to run reports manually, and standardised Management reporting

Questions

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