To implement an FTP and Liquidity Risk measurement capability for all divisions at a Tier 1 global bank. This would involve determining the liquidity characteristics of all aspects of the bank’s on balance sheet items and using those to select a rate on a funding curve which could be used to determine funding charges and rebates.
Divisions did not agree their own data sets within Treasury reporting systems.
Treasury reporting systems did not reconcile to financial and risk data.
Current Treasury reporting systems did not contain sufficient data for FTP purposes.
Granular historic data used to price the back book was unavailable.
Strategic Treasury transformation programme would deliver enhanced Treasury technical landscape in 3 years.
Solution Design and Benefits
As a result of the constraints the agreed approach involved divisions supplying their own granular data that met defined standards. This approach had the following benefits:
Defined ownership and greater understanding. Detailed operating model and control framework documentation clearly stated responsibilities that divisions owned data in Treasury system, whilst Treasury performed data quality reviews and relied on divisions control framework for data assurance.
Defined data quality standards. Treasury defined and communicated minimum standards. e.g. Divisional transfers must agree on both sides before processing.
Solution design ensured reconciliation to golden source. Golden source balances were overlaid with granular data that highlighted gaps.
Divisions motivated to fix data quality issues. Data quality gaps were priced using most prudent assumptions which quantified cost to division of data quality failings.
Flexible change framework. As division feeds were separated a division was able to enhance its own feeds with no subsequent knock on effect to other divisions.
Realistic data expectations e.g. historic data was required to assess the back book which was unavailable. A solution was devised to infer the historic data that would achieve a broadly similar outcome without creating a cottage industry in recalculating history.
Solution sharing. Many data enrichment solutions created by Treasury that were later embedded within divisions.
Common data used for multiple purposes with Treasury. Data shared with funding plan and cost allocation solutions.
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