Swap Risk Management Process Review

Our client wanted to review its swap credit risk management process. It needed to manage derivative programs of all country investment units through its centralised risk management team. The client also wanted to generate credit risk and collateral coverage analytics more quickly – and needed to ensure it had the technical bandwidth to support those analytics. Given our techno-functional expertise, the client engaged us for this review.

What we did

  • Engaged with stakeholders in front office and risk management departments to understand the base case and the future state requirements
  • Mapped the entire process chain from swap/collateral data gathering and data massaging, to analytics (with people, technology and data requirements)
  • Identified gaps and areas of improvement from an investment product, technology bandwidth, and operational perspective
  • Benchmarked the investment process against best practice, then assessed and recommended how identified gaps could be resolved
  • Recommended to support floating rate swaps within the exposure monitoring solution
  • Recommended to enhance risk management solution technical architecture to support more frequent and dynamic generation of analytics
  • Recommended to standardise collateral data gathering and management reporting across local investment units
  • Recommended to enhance reporting to deliver more frequent and value-added analytics to the central investment oversight team

Our impact

  • The client was able to better manage short and long-term goals in their derivatives program
  • Stakeholders gained more transparency in legacy business processes and helped identify existing gaps

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