Reconciliation Across Risk Applications

Rick and Greg,

I met with Sally and Beth on August 24th to discuss the operational risk management initiative requiring a reconciliation across all major risk applications. This reconciliation is necessary to validate the transfer of all data from
source systems, i.e. risk books, into risk applications which calculate VAR, provide credit exposures, feed Infinity with daily cash flows and ultimately the DPR.

Sally and Beth, along with IT, have initiated a project to improve and monitor the accuracy and efficiency of these daily interfaces. The scope includes a review of the processes which impact the accuracy of information, timing of interfaces, production performance issues, inventory of books and improved controls over changes to book attributes, and the officialization process. They have agreed to add a requirement to provide, on a daily basis, this reconciliation across all major risk applications.

The projected timeline to complete this project, including the reconciliation initiative, is 60 to 90 days. We will need to reassess the decision to combine these initiatives, if the GRMO timeline slips.

This daily risk applications reconciliation will provide four key metrics not currently available:

1) the ability to track data "accuracy" in terms of the percentage of information which transferred and processed correctly, vs. just unique "failures". How complete is the data?

2) the ability to validate the accuracy of exception reporting (are all failures included on the exception reports?)

3) the ability to validate Infinity cash flows

4) Reconciliation of values (volumes, PRMA &PRML and cash flows), not # of books processed.

Please call me if you would like to discuss.

Wanda Curry