Introduction
These case studies discuss testing of a collateral and liquidity management system for a leading global rates and multi-asset clearing house and a multi-national central counterparty.
Case Study 1: Testing Collateral and Liquidity Management for a Global Clearing House
Challenges:
- To identify the impact across all available reports & outputs from Calypso;
- To identify the expected result — several reports based on multiple days’ market data;
- To secure proper coverage with a set of input data (for instance, account structure, its roles, collateral types, cover preferences, markets, products, rates, place of custody) which allows emulating all required combinations and cases;
- To simulate a cover distribution model keeping in mind the coverage matrix above in order to derive the expected behavior and outputs for actual results reconciliation.
Case Study 2: An End-to-End Scenario for Collateral Fee Charge to Verify that Clearing House Charges Set for Custodians are Accurate
Case Study 3: An End-to-End Scenario for Cash Withdrawal Flow
End-to-End business flow steps covering emulation and validation of the flow:
- Cash Withdrawal instruction via Web UI;
- Cash Withdrawal authorization via Web UI;
- Calypso side: validation of related Margin Call, Transfers and Messages and relevant limit breaks on the task station;
- Verifying generated MT202;
- Emulating ACK message;
- Checking that transfers are settled and Instruction completion message appears in Web UI;
- Emulating MT950.