New York, NY
New resources are tied to items requiring new analysis.
The main allocation of these 2 resources are:
1. Investigation of current SIMM model limitations and resulting IM discrepancies, remediation actions, development, implementation and testing. This partially includes coverage of P&L and VaR for these products;
2. Perform all the necessary UAT tests and analysis front to back for Murex deployment, including Murex capabilities testing, and complete flow process with aggregation between Murex and non-Murex environments for phase 1. (Charles remember phase 1 Murex go-live only considers are Rates derivatives business; FX is phase 2)
One additional point MCM will want to think about:
- Once all bilateral products are on Murex, we will more likely want to start trading them against phase 1, phase 2 and phase 3 Reg IM counterparties. More specifically this is regarding Bermudan options. As we haven't looked at how they would behave before and evaluated any associated impact on SIMM performance monitoring or IM calculation, we will more likely need to do such analysis. As a note, we need to monitor and evaluate on a daily basis why our IM may depart from counterparty's IM by more than 10%; we currently haven't investigated much as the current team have been focused on generating analysis and report for NFA and for developments, but options (mainly FX, but still to a lesser extend swaptions) are current source of such discrepancies. We expect that additional FX exotic and Bermudans will also be a source to proactively consider and analyze.