Collateral Reporting – A European Central Bank

Project Background

A central bank in Europe contacted PaceMetrics with three key concerns:

• Assurance for Risk and Compliance managers that their collateral reports were based on valid and accurate data
• Full transparency on the origin of all reporting data and user actions
• Ability to manage the solution in-house, including changes to the data model and the data source configurations

Solution

PaceMetrics provided the client with an automated solution, Assure, which manages their data risk and displays the information in a unified dashboard. Assure incorporates the following features:

• Validates daily holdings data collected from multiple collateral managers (tri-party agents)
• Cleanses the data and enriches related securities with reference data from market data vendors
• Tests the data and provides integrated workflow to enable rapid handling of data exceptions
• Uses a traffic light system to alert operators to what went wrong and why it went wrong
• Publishes the cleansed data to the client’s reporting data warehouse

Benefits

The PaceMetrics solution realises the following benefits to the client:

• The client’s back office system now processes reliable daily holdings valuation data for management reporting and risk assessment
• Provides full visibility on the client’s collateral reporting data, having checked it for accuracy and completeness
• Incorporates a strong audit function that provides the client with full transparency on the origin and manipulation of the data
• Monitors collateral data in a dashboard view, minimizing manual intervention by requiring operator action only when exceptions are detected
• Minimizes costs by validating data before querying market data vendors and by enhancing the clients self-sufficiency for future maintenance