Fund Manager – Compliance Limits Monitoring
Scenario
Charteris designed and developed a system to help this fund manager to monitor and compare exposure against various market limits.
Situation
The client was concerned with their pre-trade compliance, as well as counterparty and price exposure, arising as a result of marking-to-market of unsettled deals.
They required an application that would allow them to run an end-of-day report that automatically calculated and checked exposure against limits, as well as notifying interested parties. In order to fulfil internal and external audit and compliance, the system needed to be robust and capable of recording and storing breaches of limits, as well as any remedial action taken. In addition, the information produced had to be accessible to a number of different business areas, including investment, trading and compliance, and formed an important element of the overall risk monitoring process.
Charteris Role
Charteris was asked to design and develop a system that would allow the client to meet its investment criteria and risk parameters but also provide the flexibility required to meet the changing requirements of the portfolio as set by the credit/investment committee.
Solution
The development process included entering and storing the rules in a matrix, based on the limits produced by the credit committee. These rules were compiled into SQL and run at end of day by a batch process, producing an HTML page of exceptions that allowed multiple accesses across the business.
The rules and criteria were all table driven. This allowed maximum flexibility, enabling new asset classes and funds to be added and existing limits to be modified or deleted, thereby ensuring that pre-trade positions were compliant with risk parameters.