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Multicurve Frame Work
A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.
The Riskworx team delivered a TOM covering all aspects of the Global Market business relating to interest rate curves: organization (including people and skills requirements), governance and control, functions and processes, and technology. The main purpose of the TOM is to enable an efficient multicurve framework, to allow for an accurate reflection of collateral and funding costs in the valuation of derivatives. The project also included a business and technical architectural blueprint for implementation. Implementation started 8 months after the delivery of the TOM.
“The main purpose of the TOM is to enable an efficient multicurve framework, to allow for an accurate reflection of collateral and funding costs in the valuation of derivatives.”
The TOM enables the client to work towards the optimal infrastructure to accurately represent the costs of scarce resources that are funding, collateral and liquidity. This in turn ensures the appropriate management and optimisation of these resources. This improves the efficiency of the Global Market business which can better leverage its funding and liquidity capabilities to support the development of additional activities.