Collateral and Margin Repository

Create a single source of truth repository for Collateral and Margin data, that can be consumed by all risk systems and processes. The repository needs to bring together the following critical data elements:

• Margin Collateral Balances (IM, VM and Regulatory IM received from the client, and posted by Nomura)
• Trade Collateral received for Stock Bond Borrow Lending transactions
• Trade Level Independent Amounts, Haircuts and Regulatory Initial Margin requirements
• Counterparty details
• Collateral static data (e.g. Instrument Seniority, ISIN, Currency)
• Legal Agreement Documentation

Credit Risk, Market Risk, Global Markets

When attempting to reconcile the Collateral Balances in each of the Risk Systems and Processes, it is often difficult to explain any differences.
The value of a single source of truth for collateral, is to ensure that each system is consuming the same number, meaning calculated metrics are all consistent.
Furthermore, any new consumer of the data can just plug and play, without the need to define any specific filters.

Consistent collateral and margin numbers provide stability for all calculated metrics and processes. Reduction in time spent reconciling data differences.

Python | SQL | Excel | Confluence | JIRA

Lead Business Analyst:

• Created the Python based script to pull each collateral input type via API
• Wrote the Business Requirements documentation for each metric and process in Confluence, that were then converted to Functional Specifications in JIRA
• Perform QA checks on each development step, to check that delivery passes the defined Acceptance Criteria
• Work with ActivePivot developers to process on-the-fly intermediate processing of additional Collateral and Margin related attributes
• Work with Banshee developers for the data ingestion pipeline to consume ActivePivot data, perform final aggregation, and feed into various metrics and processes