A Mortgage Backed Securities (Fixed Income) project in Wholesale Banking (Commercial Banking / Capital Markets / Middle Office / Treasury) division. A Tier 1, mission critical trade capture, book of record system with integrated valuation engine for large-scale pool processing and automated regulatory reporting.
Delivered PnL attribution capabilities that separated realized vs. unrealized gains and identified strategy performance drivers (carry, price appreciation, hedging impact). Traders gained actionable insights for daily positioning decisions, directly supporting alpha generation.
Built comprehensive inventory tracking across CUSIP, pool, coupon, and maturity dimensions. Risk managers gained real-time visibility into concentration limits and product exposure, ensuring regulatory compliance and preventing limit breaches.
Automated GAAP/IFRS-compliant accounting for guarantee fee amortization and premium/discount adjustments. Eliminated manual calculation errors and ensured accurate interest income recognition for financial reporting.
Created automated carry analysis and unfilled reinvestment tracking. Treasury teams could proactively manage liquidity from mortgage prepayments and deploy capital efficiently, reducing idle cash drag.
Delivered accurate data feeds for RWA calculations, stress testing, and regulatory submissions. Risk-weighted asset computations became auditable and consistent, supporting Basel capital adequacy requirements.
Replaced 5 hours of daily manual processing with 40-minute automated execution — a 7x performance improvement — while eliminating error-prone Excel-based calculations. Middle Office staff reallocated from data manipulation to value-added analysis.
Seamlessly integrated Front Office-developed valuation engine into report generation workflows for large volumes of MBS pools, enabling daily processing with accurate mark-to-market calculations and risk-adjusted valuations.
Improved daily report generation speed dramatically through multicore computing implementation, reducing processing time from 5 hours to under 40 minutes—enabling faster decision-making and operational efficiency.
Streamlined customized Excel report generation covering PnL, Inventory Position, Guarantee Fee Amortization, Carry, Price Amortization, and Unfilled Reinvestment – Transfer Advice with automated formatting and distribution.
Translated manually-maintained Excel formulas into automated accrual accounting calculations, eliminating daily manual intervention by Middle Office and ensuring consistent, auditable financial computations across all reports.
Mission-critical trade capture system serving as the authoritative book of record for Wholesale Banking operations, ensuring data integrity and supporting real-time position tracking across Capital Markets and Treasury divisions.
Tight integration with Middle Office workflows, automating previously manual processes and providing seamless handoff between Front Office trading activities and back-office settlement and reporting functions.
Rebuilt an enterprise-grade Liquidity Risk Management, Treasury Governance, and Regulatory Compliance platform for a major global bank. The system ensures the institution maintains sufficient high-quality liquid assets (HQLA) and funding resilience under normal and stressed conditions—and can demonstrate this clearly to regulators and senior management.
Basel III Liquidity Coverage Ratio (LCR) calculation, monitoring, and reporting (HQLA / Net Cash Outflows ≥ 100%). Net Cumulative Cash Flow (NCCF) and cash-flow survival metrics across 12+ months and 15+ time buckets.
Pre-defined and ad hoc stress scenarios modeling deposit outflows, funding pressures, and market shocks with multi-level drill-downs from securities, deposits, and funding data.
Early-warning indicators, breach thresholds, and color-coded alerts for crisis management with stress-readiness reporting for regulatory and internal liquidity metrics.
Unsecured wholesale funding (UWF) monitoring by currency, maturity, counterparty, and country risk. Oversight of short-term/wholesale funding dependence and concentration risk.
Encoded treasury policies and limits for secured vs. unsecured funding types. Cross-currency exposure monitoring including USD reliance and northbound limits.
Repo/reverse-repo, securities lending/borrowing, collateral positions, and unencumbered asset tracking with eligibility, transformations, and market-liquidity reporting.
Currency-bucketed maturity ladders (0–7, 8–30, 31–90, 91–180, 181–365, >365 days). Identification of structural liquidity gaps and funding mismatches.
RWA and Adjusted Assets trending by business unit (FICC, I&CB, GTM). Dashboards, trend analysis, drill-downs, and ad hoc analytics for treasury and risk teams.
Multi-source data ingestion (IBUK Canada/London/USA, FRN, BDN). Automated validation, exception handling, archival, and publish/unpublish workflows ensuring completeness and accuracy.
Historical tracking of guideline breaches with remediation workflows and action management. Operational tooling and administrative support for treasury and risk operations.
This system provides market-risk governance, limit management, VaR aggregation, and authorized-product control, with supporting operational and audit capabilities. It focuses on the reference data, hierarchies, controls, and reporting structures that underpin market-risk management. The platform enables a financial institution—such as an investment bank or asset manager—to define and govern market-risk limits, aggregate VaR exposures, enforce authorized-product policies, and organize risk data across multiple dimensions with full auditability.
Configure how positions and P&L roll up through VaR hierarchies. Maintain dynamic VaR trees for aggregation across portfolios, desks, legal entities, regions, and business units with multi-dimensional risk organization.
Maintain hierarchical risk-limit structures (desk/book/LOB/dimension). Manage formal limit letters (board, regulatory, internal) with support for split limits, version comparisons, and limit change tracking over time.
Govern which instruments or product lines are approved for trading. Manage APL reference data including product hierarchies, asset-class mappings, and line-of-business associations for regulatory compliance.
Track positions at portfolio and desk levels with override capabilities. Provide position-level filtering for risk views and VaR aggregation across multiple organizational dimensions.
Organize risk data across entity, region, date, currency, market definitions, and line-of-business mappings. Apply VaR tree filters to select the appropriate slice of the book for management vs. business-unit views.
Control when risk processes run including business-date selection and regional cutovers. Manage snapshots, manual runs, and operational metadata required for auditability of VaR and limit checks.
Provide audit trails for reference data changes (limits, VaR trees, APL, hierarchies). Maintain risk snapshots and run histories with reporting specifications and compliance-driven traceability.