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Contacts Roy Choudhury Principal Office: +1 212 773 9299 [email protected] Prakash Rao Executive Director Office: +1 212 773 2188 [email protected] Alex Rathod Senior Manager Office: +1 212 773 4210 [email protected]
Janina Polo Senior Manager Office: +1 212 773 2486 [email protected] John Boyle Senior Manager Office: +1 212 773 5412 [email protected] Setu Pandya Senior Manager Office: +1 212 773 2437 [email protected]
Uncleared margin rules Solutions to optimize your technology investment
EY | Assurance | Tax | Transactions | Advisory About EY EY is a global leader in assurance, tax, transaction and advisory services. The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over. We develop outstanding leaders who team to deliver on our promises to all of our stakeholders. In so doing, we play a critical role in building a better working world for our people, for our clients and for our communities. EY refers to the global organization, and may refer to one or more, of the member firms of Ernst & Young Global Limited, each of which is a separate legal entity. Ernst & Young Global Limited, a UK company limited by guarantee, does not provide services to clients. For more information about our organization, please visit ey.com. Ernst & Young LLP is a client-serving member firm of Ernst & Young Global Limited operating in the US. About EY's Advisory Services In a world of unprecedented change, EY Advisory believes a better working world means solving big, complex industry issues and capitalizing on opportunities to help deliver outcomes that grow, optimize and protect clients’ businesses.
From C-suite and functional leaders of Fortune 100 multinationals to disruptive innovators and emerging market small and medium sized enterprises, EY Advisory teams with clients — from strategy through execution — to help them design better outcomes and deliver long-lasting results.
A global mindset, diversity and collaborative culture inspires EY consultants to ask better questions. They work with the client, as well as an ecosystem of internal and external experts, to co-create more innovative answers. Together, EY helps clients’ businesses work better.
The better the question. The better the answer. The better the world works.
© 2016 Ernst & Young LLP. All Rights Reserved. 1601-1807951 Score no: CK1033 ED None This material has been prepared for general informational purposes only and is not intended to be relied upon as accounting, tax or other professional advice. Please refer to your advisors for specific advice. ey.com
Compliance with uncleared margin rules will require significant operations and technology re-design of bilateral trade processing systems and operational workflow. EY’s solution framework consists of technology components, solution design, integration and testing services. The framework will help accelerate progress toward compliance with uncleared margin requirements.
1. EY brings an understanding of the uncleared margin rules and a robust tool to document adherence and progress toward compliance.
Customize compliance requirements, assess adherence, record evidence and generate executive reports.
2. An end-to-end data framework for specific data sets that are impacted by the new rules.
Identify critical data elements required for compliance, close gaps and enable data mapping from source to consumer, and dispute resolution. *Representative impacted data
Application integration
• End-to-end data mapping • Collateral data repository • Internal IM, VM calculations • Integration with capital, liquidity,
pricing, funding, risk and stress testing functions
• End-to-end system integration: bespoke systems, vendor systems, collateral hub
Capability assessment
• Analyze current state collateral data, systems and processes
• Target state architecture
Solution design
• Reference data management • Margin methodology and analytics • Margin processing workflow • Settlement and reconciliation • Dispute resolution workflow
Solution management
• Facilitate solution design • Codevelop solution design principles • Facilitate adoption and design
integrity
Testing • Regression testing • Traceability testing • Integration testing
Data type Impacted data category* Client onboarding
Pre-trade margin calcs and analytics
Trade execution
Margin processing
Settlement and recon
Client data
• Exemption/Non-exemption
• Covered entities/affiliates • Cross border provisions • Legal agreements
(e.g., CSA, SA, BA) • Schedules (e.g., margin
methodology, haircuts)
Account data • Trade positions • Collateral balances • Margin methodology
Product data • Covered instruments • Eligibility
Market data • Risk sensitivities
Trade data • Not impacted
Collateral data
• IM and VM requirements • MTA • Collateral balances • Collateral netting • Concentration • Collateral pledged • Collateral valuation
Settlement data
• Collateral delivered • Account segregation • Re-hypothecation
Reconciliation data
• Dispute resolution • Collateral to settlement • Position recs
(client/broker)
Test data • End-to-end integration/system test
Ref
eren
ce d
ata
Tran
sact
ion
data
C
ontr
ol d
ata
UMR test plan Test results
Test reference Rule rested Scenario Data input Expected
result Client
onboarding
Pre-trade margin
calcs and analytics
Trade execution
Margin processing
Settlement and recon
1.1 _23.150 Margin calc Buy single trade
SIMM match
1.2 _23.151.1 Margin calc Sell singe trade
SIMM match
1.3 _23.151.2 Margin calc Book 10 trades
SIMM match
1.4 _23.151.2 Margin calc Book offsetting trade
SIMM match
1.5 _23.151.2 Margin calc Day over day SIMM match
2.1 _23.151.3 Ineligible collateral
Pledge junk bonds Exception
2.2 _23.151.4 Eligible collateral Pledge UST’s Booked
2.3 _23.151.5 Haircut Pledge UTT’s Calc value
2.3 _23.150 Dispute Single Trade Resolution process
4. EY provides solution design, integration and testing services to remediate gaps and help achieve compliance with uncleared margin rules.
Design principles to include considerations for foundational components that would be required for a strategic global collateral management solution.
Client onboarding
CSA – Eligibility
CSA – Haircuts
Settlement Instructions
Margin Method
Pre-trade margin calcs and analytics
Margin Calculations
Credit/Market Risk
Client Eligibility
Trade execution
Product and Client Scope
Trade Capture
Trade affirmation
Product and Client Scope
Trade confirmation
Product and Client Scope
Confirm Reporting
Intra-day margin
Position maintenance
Periodic margin calculation
EOD margin calc per account
Margin calculation and exposure management
EOD netted margin
Global netting agreements as applicable
EOD margin call (Report)
Unless < MTA
Disclosures
Settlement instructions
Funding requirements
Treasury functions
Margin call agreement
Dispute resolution procedures
Settlement proposal by client
Collateral eligibility
Haircuts
Settlement cash and collateral transfer
Segregated accounts
Segregated reports
Settlement instructions
Reconciliations
Position and valuation recs (T0 EOD)
Margin and settlement recs (T+1)
T - n
Risk
& c
ontr
ols
T 0
T 0 (EOD)
T+1
Collateral management
Treasury functions
0
2
4
6
8
10
12
CFTC - Gap
CFTC - No Gap
Confirm end-to-end capabilities agnostic of the applications, platforms or vendor solutions that make up the technology infrastructure.
3. Test plan, scenarios, test cases and test data to enable end-to-end compliance with the new rules.
Technology services
Compliance with uncleared margin rules will require significant operations and technology re-design of bilateral trade processing systems and operational workflow. EY’s solution framework consists of technology components, solution design, integration and testing services. The framework will help accelerate progress toward compliance with uncleared margin requirements.
1. EY brings an understanding of the uncleared margin rules and a robust tool to document adherence and progress toward compliance.
Customize compliance requirements, assess adherence, record evidence and generate executive reports.
2. An end-to-end data framework for specific data sets that are impacted by the new rules.
Identify critical data elements required for compliance, close gaps and enable data mapping from source to consumer, and dispute resolution. *Representative impacted data
Application integration
• End-to-end data mapping • Collateral data repository • Internal IM, VM calculations • Integration with capital, liquidity,
pricing, funding, risk and stress testing functions
• End-to-end system integration: bespoke systems, vendor systems, collateral hub
Capability assessment
• Analyze current state collateral data, systems and processes
• Target state architecture
Solution design
• Reference data management • Margin methodology and analytics • Margin processing workflow • Settlement and reconciliation • Dispute resolution workflow
Solution management
• Facilitate solution design • Codevelop solution design principles • Facilitate adoption and design
integrity
Testing • Regression testing • Traceability testing • Integration testing
Data type Impacted data category* Client onboarding
Pre-trade margin calcs and analytics
Trade execution
Margin processing
Settlement and recon
Client data
• Exemption/Non-exemption
• Covered entities/affiliates • Cross border provisions • Legal agreements
(e.g., CSA, SA, BA) • Schedules (e.g., margin
methodology, haircuts)
Account data • Trade positions • Collateral balances • Margin methodology
Product data • Covered instruments • Eligibility
Market data • Risk sensitivities
Trade data • Not impacted
Collateral data
• IM and VM requirements • MTA • Collateral balances • Collateral netting • Concentration • Collateral pledged • Collateral valuation
Settlement data
• Collateral delivered • Account segregation • Re-hypothecation
Reconciliation data
• Dispute resolution • Collateral to settlement • Position recs
(client/broker)
Test data • End-to-end integration/system test
Ref
eren
ce d
ata
Tran
sact
ion
data
C
ontr
ol d
ata
UMR test plan Test results
Test reference Rule rested Scenario Data input Expected
result Client
onboarding
Pre-trade margin
calcs and analytics
Trade execution
Margin processing
Settlement and recon
1.1 _23.150 Margin calc Buy single trade
SIMM match
1.2 _23.151.1 Margin calc Sell singe trade
SIMM match
1.3 _23.151.2 Margin calc Book 10 trades
SIMM match
1.4 _23.151.2 Margin calc Book offsetting trade
SIMM match
1.5 _23.151.2 Margin calc Day over day SIMM match
2.1 _23.151.3 Ineligible collateral
Pledge junk bonds Exception
2.2 _23.151.4 Eligible collateral Pledge UST’s Booked
2.3 _23.151.5 Haircut Pledge UTT’s Calc value
2.3 _23.150 Dispute Single Trade Resolution process
4. EY provides solution design, integration and testing services to remediate gaps and help achieve compliance with uncleared margin rules.
Design principles to include considerations for foundational components that would be required for a strategic global collateral management solution.
Client onboarding
CSA – Eligibility
CSA – Haircuts
Settlement Instructions
Margin Method
Pre-trade margin calcs and analytics
Margin Calculations
Credit/Market Risk
Client Eligibility
Trade execution
Product and Client Scope
Trade Capture
Trade affirmation
Product and Client Scope
Trade confirmation
Product and Client Scope
Confirm Reporting
Intra-day margin
Position maintenance
Periodic margin calculation
EOD margin calc per account
Margin calculation and exposure management
EOD netted margin
Global netting agreements as applicable
EOD margin call (Report)
Unless < MTA
Disclosures
Settlement instructions
Funding requirements
Treasury functions
Margin call agreement
Dispute resolution procedures
Settlement proposal by client
Collateral eligibility
Haircuts
Settlement cash and collateral transfer
Segregated accounts
Segregated reports
Settlement instructions
Reconciliations
Position and valuation recs (T0 EOD)
Margin and settlement recs (T+1)
T - n
Risk
& c
ontr
ols
T 0
T 0 (EOD)
T+1
Collateral management
Treasury functions
0
2
4
6
8
10
12
CFTC - Gap
CFTC - No Gap
Confirm end-to-end capabilities agnostic of the applications, platforms or vendor solutions that make up the technology infrastructure.
3. Test plan, scenarios, test cases and test data to enable end-to-end compliance with the new rules.
Technology services
Compliance with uncleared margin rules will require significant operations and technology re-design of bilateral trade processing systems and operational workflow. EY’s solution framework consists of technology components, solution design, integration and testing services. The framework will help accelerate progress toward compliance with uncleared margin requirements.
1. EY brings an understanding of the uncleared margin rules and a robust tool to document adherence and progress toward compliance.
Customize compliance requirements, assess adherence, record evidence and generate executive reports.
2. An end-to-end data framework for specific data sets that are impacted by the new rules.
Identify critical data elements required for compliance, close gaps and enable data mapping from source to consumer, and dispute resolution. *Representative impacted data
Application integration
• End-to-end data mapping • Collateral data repository • Internal IM, VM calculations • Integration with capital, liquidity,
pricing, funding, risk and stress testing functions
• End-to-end system integration: bespoke systems, vendor systems, collateral hub
Capability assessment
• Analyze current state collateral data, systems and processes
• Target state architecture
Solution design
• Reference data management • Margin methodology and analytics • Margin processing workflow • Settlement and reconciliation • Dispute resolution workflow
Solution management
• Facilitate solution design • Codevelop solution design principles • Facilitate adoption and design
integrity
Testing • Regression testing • Traceability testing • Integration testing
Data type Impacted data category* Client onboarding
Pre-trade margin calcs and analytics
Trade execution
Margin processing
Settlement and recon
Client data
• Exemption/Non-exemption
• Covered entities/affiliates • Cross border provisions • Legal agreements
(e.g., CSA, SA, BA) • Schedules (e.g., margin
methodology, haircuts)
Account data • Trade positions • Collateral balances • Margin methodology
Product data • Covered instruments • Eligibility
Market data • Risk sensitivities
Trade data • Not impacted
Collateral data
• IM and VM requirements • MTA • Collateral balances • Collateral netting • Concentration • Collateral pledged • Collateral valuation
Settlement data
• Collateral delivered • Account segregation • Re-hypothecation
Reconciliation data
• Dispute resolution • Collateral to settlement • Position recs
(client/broker)
Test data • End-to-end integration/system test
Ref
eren
ce d
ata
Tran
sact
ion
data
C
ontr
ol d
ata
UMR test plan Test results
Test reference Rule rested Scenario Data input Expected
result Client
onboarding
Pre-trade margin
calcs and analytics
Trade execution
Margin processing
Settlement and recon
1.1 _23.150 Margin calc Buy single trade
SIMM match
1.2 _23.151.1 Margin calc Sell singe trade
SIMM match
1.3 _23.151.2 Margin calc Book 10 trades
SIMM match
1.4 _23.151.2 Margin calc Book offsetting trade
SIMM match
1.5 _23.151.2 Margin calc Day over day SIMM match
2.1 _23.151.3 Ineligible collateral
Pledge junk bonds Exception
2.2 _23.151.4 Eligible collateral Pledge UST’s Booked
2.3 _23.151.5 Haircut Pledge UTT’s Calc value
2.3 _23.150 Dispute Single Trade Resolution process
4. EY provides solution design, integration and testing services to remediate gaps and help achieve compliance with uncleared margin rules.
Design principles to include considerations for foundational components that would be required for a strategic global collateral management solution.
Client onboarding
CSA – Eligibility
CSA – Haircuts
Settlement Instructions
Margin Method
Pre-trade margin calcs and analytics
Margin Calculations
Credit/Market Risk
Client Eligibility
Trade execution
Product and Client Scope
Trade Capture
Trade affirmation
Product and Client Scope
Trade confirmation
Product and Client Scope
Confirm Reporting
Intra-day margin
Position maintenance
Periodic margin calculation
EOD margin calc per account
Margin calculation and exposure management
EOD netted margin
Global netting agreements as applicable
EOD margin call (Report)
Unless < MTA
Disclosures
Settlement instructions
Funding requirements
Treasury functions
Margin call agreement
Dispute resolution procedures
Settlement proposal by client
Collateral eligibility
Haircuts
Settlement cash and collateral transfer
Segregated accounts
Segregated reports
Settlement instructions
Reconciliations
Position and valuation recs (T0 EOD)
Margin and settlement recs (T+1)
T - n
Risk
& c
ontr
ols
T 0
T 0 (EOD)
T+1
Collateral management
Treasury functions
0
2
4
6
8
10
12
CFTC - Gap
CFTC - No Gap
Confirm end-to-end capabilities agnostic of the applications, platforms or vendor solutions that make up the technology infrastructure.
3. Test plan, scenarios, test cases and test data to enable end-to-end compliance with the new rules.
Technology services
Contacts Roy Choudhury Principal Office: +1 212 773 9299 [email protected] Prakash Rao Executive Director Office: +1 212 773 2188 [email protected] Alex Rathod Senior Manager Office: +1 212 773 4210 [email protected]
Janina Polo Senior Manager Office: +1 212 773 2486 [email protected] John Boyle Senior Manager Office: +1 212 773 5412 [email protected] Setu Pandya Senior Manager Office: +1 212 773 2437 [email protected]
Uncleared margin rules Solutions to optimize your technology investment
EY | Assurance | Tax | Transactions | Advisory About EY EY is a global leader in assurance, tax, transaction and advisory services. The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over. We develop outstanding leaders who team to deliver on our promises to all of our stakeholders. In so doing, we play a critical role in building a better working world for our people, for our clients and for our communities. EY refers to the global organization, and may refer to one or more, of the member firms of Ernst & Young Global Limited, each of which is a separate legal entity. Ernst & Young Global Limited, a UK company limited by guarantee, does not provide services to clients. For more information about our organization, please visit ey.com. Ernst & Young LLP is a client-serving member firm of Ernst & Young Global Limited operating in the US. About EY's Advisory Services In a world of unprecedented change, EY Advisory believes a better working world means solving big, complex industry issues and capitalizing on opportunities to help deliver outcomes that grow, optimize and protect clients’ businesses.
From C-suite and functional leaders of Fortune 100 multinationals to disruptive innovators and emerging market small and medium sized enterprises, EY Advisory teams with clients — from strategy through execution — to help them design better outcomes and deliver long-lasting results.
A global mindset, diversity and collaborative culture inspires EY consultants to ask better questions. They work with the client, as well as an ecosystem of internal and external experts, to co-create more innovative answers. Together, EY helps clients’ businesses work better.
The better the question. The better the answer. The better the world works.
© 2016 Ernst & Young LLP. All Rights Reserved. 1601-1807951 Score no: CK1033 ED None This material has been prepared for general informational purposes only and is not intended to be relied upon as accounting, tax or other professional advice. Please refer to your advisors for specific advice. ey.com
Contacts Roy Choudhury Principal Office: +1 212 773 9299 [email protected] Prakash Rao Executive Director Office: +1 212 773 2188 [email protected] Alex Rathod Senior Manager Office: +1 212 773 4210 [email protected]
Janina Polo Senior Manager Office: +1 212 773 2486 [email protected] John Boyle Senior Manager Office: +1 212 773 5412 [email protected] Setu Pandya Senior Manager Office: +1 212 773 2437 [email protected]
Uncleared margin rules Solutions to optimize your technology investment
EY | Assurance | Tax | Transactions | Advisory About EY EY is a global leader in assurance, tax, transaction and advisory services. The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over. We develop outstanding leaders who team to deliver on our promises to all of our stakeholders. In so doing, we play a critical role in building a better working world for our people, for our clients and for our communities. EY refers to the global organization, and may refer to one or more, of the member firms of Ernst & Young Global Limited, each of which is a separate legal entity. Ernst & Young Global Limited, a UK company limited by guarantee, does not provide services to clients. For more information about our organization, please visit ey.com. Ernst & Young LLP is a client-serving member firm of Ernst & Young Global Limited operating in the US. About EY's Advisory Services In a world of unprecedented change, EY Advisory believes a better working world means solving big, complex industry issues and capitalizing on opportunities to help deliver outcomes that grow, optimize and protect clients’ businesses.
From C-suite and functional leaders of Fortune 100 multinationals to disruptive innovators and emerging market small and medium sized enterprises, EY Advisory teams with clients — from strategy through execution — to help them design better outcomes and deliver long-lasting results.
A global mindset, diversity and collaborative culture inspires EY consultants to ask better questions. They work with the client, as well as an ecosystem of internal and external experts, to co-create more innovative answers. Together, EY helps clients’ businesses work better.
The better the question. The better the answer. The better the world works.
© 2016 Ernst & Young LLP. All Rights Reserved. 1601-1807951 Score no: CK1033 ED None This material has been prepared for general informational purposes only and is not intended to be relied upon as accounting, tax or other professional advice. Please refer to your advisors for specific advice. ey.com
