Case Studies

Programme: BCBS Margin Programme

Role: Lead Business Architect



Design and implement a solution to the global margining requirements for a tier 1 UK bank, for the BCBS/IOSCO published final guidelines in Nov 2013.  There was a prolonged period of time between the guidelines being published and the actual regulations so it was agreed that the design was to be made on the understanding we had at the time.



  • Successful implementation fully operational from day 1 in all locations
  • Repapering with limited counterparties outstanding due to issues at the counterparty end – complete ability to trade all products with a variety of counterparties, including all those deemed critical
  • Client won business from competitors due to client’s full trading capability which was not replicated across the industry


Key Decisions:

  • The different regulators had slightly different takes on the guideline document issued by BCBS/IOSCO. This made the interaction between parties subject to different regimes difficult, more so when a single entity is subject to multiple regimes.  The assumption made was that there would be no penalty for requesting a higher margin than that required under a margin regime.
  • As a new concept for OTC trades, initial margin required a new CSA to be created. However, variation margin was a volume issue given that not all entities requiring a CSA had documentation in place.  Counterparties were provided to the client for prioritisation to enable focus to be on the more important counterparties and allowing appropriate and timely escalation should there be any issues
  • In order to price in the costs of the new margining requirements a model was created to provide a suitable approximation of the margining cost at the point of trade. Indicative tools were provided to give an approximation with the view that this could be refined over time
  • There were a range of tools available to reduce/eliminate any in-house build for margin. In order to retain the ability to calculate margin – in the event that either the utility wasn’t ready in time or fell over once in production – a calculator was built internally.  However, in order to utilise the market innovations, such as sensitivity reconciliation, the client also used an industry tool
  • All the risk factors and sensitivities required for the initial margin calculation (delta, vega and curvature at inception). In order to obtain this data in a way suitable for the calculation the way trade data was gathered and presented needed to be redesigned



  • BCBS/IOSCO guidelines used and adapted as and when regulatory regimes published their rules
  • Understand strategic requirements for a solution/direction of the client
  • Designed the process in a modular way in order to be able to swap, add or amend the process as and when rules were finalised
  • Solution agreed and signed off. Subsequent amendments to be passed through a formal change request process
  • Design working group formed. Alternated between US and APAC timezones with minutes issued globally. Issues identified within the programme were discussed by a group of seniors with the view that agreement was made ideally within the meeting, but failing that, within the following week.  The same issue shouldn’t be presented at the meetings twice.
  • Liaison with ISDA and other market participants in order to create a harmonised methodology for the calculation of initial margin



Programme: Post-merger Integration

Role: Project Manager/Business Analyst



Two global banks entered into a merger.  The collateral operations teams were required to be integrated into a single unit as part of the wider integration work.  This work was conducted under the backdrop of the financial crisis and a compressed timeline in order to realise the cost and organisational benefits.



  • Successful integration measured by being open for business, monitoring and management of risks and seamless client interaction
  • Savings from decommissioning legacy systems meaning reduced licencing fees, a single set of technology staff, integrated collateral and inventory management
  • Visibility of aggregate collateral positions over both entities providing a better overall understanding of the stock and allowing for enhanced inventory management
  • Funding improvements from both the alignment of collateral terms and visibility of the collateral positions
  • Clearer sight of counterparty credit risk over both entities giving a more holistic picture of the counterparties
  • Superior customer service by providing a single point of contact for collateral management for all entities facing a counterparty
  • Improved and consistent management reporting provided from a single system, with the same metrics and in the same format
  • Reduction of operational risk by having the same policies and processes regardless of the principal entity


Key decisions:

  • Complexity was increased due to the volatile markets causing frequent and large collateral movements and the reduced availability of BAU staff assistance. Therefore, involvement of line staff was reduced and time-boxed to ensure that the maximum amount of time was given to day to day activities but there was still suitable involvement and approval of the project activities and direction
  • The two entities had different approaches to broadly the same processes. The alignment of cultures was a significant challenge but the decision of the approach to take was crucial and required a consistent adoption by management in order for it to cascade down to the team members
  • Poor state of static data held in the various systems caused significant issues, not only in terms of the accuracy of the day to day running of the collateral processes but also ran reputational risk and the risk of under calling margin. A team was brought in to both transfer over data between systems but also review and amend the data already within the system
  • Many counterparties had a relationship with both entities but differing terms were negotiated. There was a desire to harmonise to a single set therefore needing decisions to be made as to which set of terms to negotiate/align to



  • Comparative analysis of both current state systems and processes to identify the preferred collateral solution
  • Integration of collateral teams, systems, clients and accounts
  • Decision of what set of terms to align the overlapping clients to
  • Maintenance of separate entities to manage risk within a single system
  • Internal front to back transfer of collateral positions from legacy to strategic systems for both variation margin and independent amount
  • Movement of collateral held positions between custodian accounts – fixed income and cash
  • Harmonisation of the look and feel of client interaction
  • Staff integration and training into the consolidated team and the strategic system
  • Transfer/onboarding of clients to the strategic collateral solution
  • Management of ongoing disputes and settlement tracking to ensure that the visibility is retained for management reporting and the aging of the disputes carries over to maintain accuracy
  • Selection and onboarding of consultants to manage the client documentation codification into the strategic system