EMIR Technical Challenge - Domenico Buonamico, Nobusoft

Report
EMIR Technical Challenges
Luxembourg, 20th November 2014
Market Research Findings
Over 100 organisations found difficulties with...
 Central Repository
 Valuation Tools
 Margining Tools
 TR Reporting Maintenance
 Concern over the Cost of Collateral
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Central Repository
 All your derivatives in one Data Warehouse
 Component-based approach
 Internal Reporting
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Valuation Tools
 Lack of readily-available derivative pricing tools
 Pricing reconciliation
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Margining Tool
 Tools not adequate to the increase of margining frequency
 Calculation of initial margin and variation margin
 Increasingly time consuming task
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TR Reporting Maintenance
 Cost of managing the reporting schema evolution
 Regulatory reports uncertainty
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Concerns on Cost of Collateral
 Cost of not selecting the most efficient collateral to pledge
 Higher transactional cost
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Target IT Architecture
VALUATION
TRADE REPOSITORY
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Independent Valuation
Margin Replication
Up-to-date reporting
schema
Margin Calls
MARGINING
Central Repository
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INPUT SOURCES
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Securities Pledged
Securities Inventory
Static Data
Trades Exposures
BUSINESS LOGIC/RULES
 CSA, Concentration
 MTA, CTD
 Optimisation algorithms
 Substitution
OPTIMISATION ENGINE
Pledge suggestions &
End-of-day reallocation
Front End
Dashboards
Margin Call Notices
Initial/Variation Margin
Portfolio Reconciliation
Substitution
PRE-DEAL CHECK
 Liquidity Sufficiency
 Pre-trade margining
Worry-free serviced architecture
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Questions & Answers
For any enquiry please contact
David Cassonnet at +33 665 215 579 or via email [email protected]
Domenico Buonamico at +32 487 546 447 or via e-mail to [email protected]
More information on Nobusoft and on Collateral Suite can be found at www.nobusoft.net
More information on Quartet FS and on Active Pivot can be found at www.quartetfs.com
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