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Counterparty Credit RWA Optimisation

Driving

Capital

Efficiency

The result was a multi-billion reduction in counterparty credit RWA

A European investment bank, engaged us to address populations of derivatives transactions that were failing to be processed via the internal regulatory approved expected positive exposure (EPE) calculation methodology.

Industry: Investment Banking

Challenges

Transformational Data Flow

Our client’s derivatives portfolio (1.5m+ derivatives positions) was booked in a number of disparate front office trading systems.

Multiple Layers

Prior to arriving at the EPE calculation engine, the derivatives position information passed through a number of transformation layers from front office booking portal, through risk and finance systems.

Corrupted Data

These transformation processes often altered / removed key data attributes required for the correct valuation via the EPE engine methodology.

Limited Insight

These transformational processes were black-box in nature.

Data Solution

Applied Data Analytics

We executed detailed data analytics in order to understand existing flows from multiple cross-business systems into the EPE calculation engine and to highlight error patterns.

Extractions

A series of extractions were established from each of the data transfer points – for example from the junction between the trade capture system and the valuation engine.

Analytics Tools

The required data “recipe card” for each transaction type was then overlaid using data analytics tooling to spot patterns of discrepancies forming at each point of the data flow.

Repeatable Logic

Repeatable logic ensured a monitoring infrastructure to give early warning of increasing exclusions.
Benefits

Rapid realisation of counterparty credit RWA optimisation

Improved Management

Root cause identification allowed senior management to track and prioritise robust fixes to existing process flows to further enhance RWA optimisation

Cost Savings

Programme delivered a multi-billion reduction in counterparty credit RWA.

Enhanced Control

The exposure of the transformation logic using repeatable data analytics technologies enhanced control of the end-to-end transaction flow.

Precision

Enhanced control mechanism reduced month-on-month volatility of RWA numbers and allowed capital forecasting to be driven with greater precision.

Related Data Solutions

Calimere Point have helped our clients gain value from the data revolution.
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Peter Griffiths

Co-Founder & CEO
Peter is the co-founder and CEO of Calimere Point and has been with the firm since its inception in 2009. Prior to founding Calimere Point he spent the first 15 years of his career in Investment Banking, working within trading, structuring and risk management disciplines across a number of asset classes. Peter has a Masters in Finance from London Business School, a BSc in Economics and Finance from Oxford Brookes University and is a qualified accountant (CIMA qualification).

Dominique Nelson-Esch

Chief Marketing Officer

Dominique is a multi-disciplinary visual designer, communications and brand strategist, with a two-decade journey in collaborating with startups and SMEs. Her portfolio includes consulting for over 100 businesses globally, where she managed branding, design, and digital communications.

Dominique’s extensive background in financial services equips her with a nuanced understanding of our industry landscape, including 14 years in financial services, holding key roles such as Head of Portfolio Risk Audit and Niche Portfolio Management for major Insurers.

In her current role as Chief Marketing Officer (CMO) at Calimere Point, Dominique focuses on strategically positioning and promoting the firm. Her goal is to enhance brand awareness and establish market leadership through innovative marketing strategies that highlight Calimere Point’s expertise in delivering impactful data-driven solutions.