UC-396
Margin Call & Collateral Dispute Triage
Recomputes each margin call against the credit support terms, explains a dispute and proposes the cheapest collateral to deliver.
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The Challenge
Disputed margin calls are settled by phone while exposure stays uncovered and the desk delivers cash by default. CSA terms, valuations and eligibility schedules sit in three different systems.
How It Works
- Reads margin call notices, CSA and eligibility schedules, valuations and collateral inventory.
- Recomputes exposure and required margin per agreement and locates the trades causing the gap.
- Gives the desk a call-by-call disposition with the disputed trades named and a delivery plan.
What It Removes
- Rebuilding the counterparty's margin figure by hand
- Delivering cash because eligibility is unclear
- Emailing valuation extracts back and forth on a dispute
Input Data RequirementsMargin call notices, credit support annex terms, eligibility and haircut schedules, trade valuations, collateral inventory, funding cost curves
Output FormatDaily call disposition list with recomputed amounts, named disputed trades, a proposed cheapest-to-deliver asset and an ageing view of open disputes
“Half our disputes are one trade priced differently, but it takes two days of emails to find out which one.”