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Clearing & Collateral - The Making Lemonade Series, #1

Best Fullscreen: One of the fundamental changes to OTC derivatives trading with the DFA is the clearing mandate. In this first episode from our Making Lemonade Series, we look at the challenges and opportunities for competitive advantage this brings.

Acuity Derivatives

on 11 March 2013

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Transcript of Clearing & Collateral - The Making Lemonade Series, #1

What Competitive
Advantage can be
squeezed from the
Dodd-Frank Act
(DFA)? The "Making lemonade
from lemons" series http://acuityderivatives.com #1 Clearing
& Collateral Key post-DFA process & data flows across OTC derivatives trading. Series looks at: How technology can unlock competitive advantage
across these. Key Challenges: Initial Margin & the Collateral crunch Crunch date: March 11, 2013 opportunities & Variation Margin & Cashflow Intermediation as commodity Collateral
Services Cross-Margining Management Cash Operational
Alpha Product range Connectivity CCP Connectivity Client Connectivity Orchestration (Trickier,
Rules-driven basis for CCP/ Margin arbitrage) Operational Alpha Connectivity Collateral & Cash Enhanced Cash Mgt Systems Collateral Inventory Integrated Sources - Repo, Securities Lending systems

Single Version of Truth -Collateral definitions, pricing & haircuts Collateral Calculations Cheapest-to-deliver Cross-Margining CCP Cross-Margin Pass-through Client View+ CVA/DVA pricing

Integrated Sales systems

Single LEI client mapping

Integrated Client onboarding & docs Integrated Clearing Integrated CCP & PB Margining Calculation

Integrated & fast Clearing Wk/Flow Product Coverage+ Expanded Pricing & Risk capability

Integrated F/O systems

Expanded SEF Connectivity Connectivity Collateral & Cash Cross-Margining Operational Alpha Cross Function Messaging Real Time Reporting Risk
Expected Cash
Clearing Fails
Client Positions Cross Function Workflow Complex Event processing
Rules based processors
Functional work queues Connectivity Collateral & Cash Cross-Margining Operational Alpha Some Technologies that may be of interest: Connectivity Brokers Abstracts CCP & Client Connectivity Big Data management Search, matching & analytics on Collateral Scaled & Fast Calculators Eg. FPGA and other chip based risk & exposure calculations have been adopted in some banks Scaled & Fast messaging FPGA and other chip based messaging boxes have also seen some adoption CEP Integrated Workflow Architectures deploying tiered CEP engines & Workflow management solutions on top of Rules Engines represent one solution aimed at handling the scale and speed of operational messages Next up in our series, we will be looking up the chain at pre-trade pricing, order routing and SEF connectivity.

Stay Tuned...... Thank you... copyright ©2013 Acuity Derivatives LLC
All rights reserved 48 Wall Street, 11th Floor
New York, NY 10005
info@acuityderivatives.com A whitepaper covering this in more detail can be downloaded from our website at:

Full transcript