Securities FMUS credit compression

New York, NY

Posted: 09/13/2018 Industry: FIN Consulting Job Number: 11306774
Securities FMUS routinely extends intraday credit with no explicit cap. In order to collateralize this intraday credit line, the Bank prefunds these with HQLA 1 securities (mainly treasuries) daily. In order to reduce the costs (Buffer, Daylight overdraft fees) and better monitor our liquidity in time of stress we need to assess the driver of the consumption of intraday credit extended by FMUS. In this exercise, following activities are expected:

1) Compile the data on Credit Usage and Daylight Overdraft (DoD) Fees
a. Identify systematically the drivers of DoD usage at Securities FMUs, spot those which are under the control of the Bank and assess options in terms of implementation. Reduce usage of DoD though settlement throttling: assess what would be feasible, while sticking to market practices.
b. Review the booking process for Repo transactions between foreign affiliate and the Bank, to ensure lower usage of the DoD. Check precise impact on DoD usage. Also check that the similar change made for Repo transactions between the Headquarter office and the Bank have brought benefits.
2) Substitution Cash
a. Review the need for substitution cash (when some securities are used from the Tri-party pool), in case this mechanism would sterilize long cash balance.
3) Triparty Prefunding
a. Study the process of prefunding and optimize the cash amount to be sent daily based on accurate projections.

Required Deliverables:
- Understand fully all factors contributing to credit usage at a given moment in the day.
- Formulate remediation plan for urgent actions to reduce DOD.
- Propose setup for Intraday follow up of Intraday usage at FMUs.
- Propose SLA change for Client involvement.

Required Skills:

Experience with Intra-Day Credit
Triparty prefunding knowledge
Able to draft remediation plans and propose Intrday credit setup
Ability to work with external vendors on product SLA changes

Seth Friedland

Send an email reminder to:

Share This Job:

Related Jobs:

Login to save this search and get notified of similar positions.