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benchMark – Long Dated Repo Pricing Validation Tool

Data

Driven

Impact

Using enhanced data analytics to deliver
data that drives efficiencies.

Our client, a European investment bank, faced regulatory and internal audit pressure to validate their pricing of illiquid long dated repo transactions.

Industry: Investment Banking

Challenges

Critical Data Issues

The Investment Bank's risk management function was concerned that the long dated credit repo market suffered from a number of data issues that made validation of mark to market levels challenging.

Lack of Standard Market Curves

Long dated repos are less liquid = lack of observable market levels.

Lack of Third Party Data Sources

Limited pricing information from publicly available sources.

Multiple Pricing Drivers

Pricing of long-dated repo transactions is nuanced given the scarcity of observable market activity.

High Cost & Long Lead Time

Our client had reviewed several proposed vendor solutions, including complex multi-factor model development, that were consistently expensive and with long lead times.

Data Solution

Execution of the benchMark Solution

We used the benchMark validation engine, to assess the internal consistency of the repo marks by identifying benchmark trades and measuring the divergence of internal marks from these benchmark trades.

Easy Identification

benchMark allowed easy identification of internal marks that diverged significantly from benchmark trades and provided summary statistics of the amount of divergence.

Comparative Pricing Metrics

The benchMark solution leveraged our client’s internal historical trading and pricing time-series to provide comparative pricing metrics.

Trades Insights

Users, via an intuitive GUI, could change the criteria of the benchmark trades and the aggregation level of the summary statistics.
Benefits

Rapid deployment of the benchMark solution, delivering immediate value.

Meeting Regulatory Requirements

Calimere Point's solution satisfied regulatory and internal audit requirements.

Lead by Data Experts

Our blend of market and data experience allowed us to rapidly deliver an effective, cost effective solution.

The data based approach gave risk managers the information to appropriately challenge traders’ internal marks.

Related Data Solutions

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