OTC Derivatives Securities Services

Post execution

Part I

Bilateral trades Middle Office Management

  • Pre-trade and Trade execution
  • ISDA master agreement
  • Trade capture and booking
    • Controls
    • Routing to Fund Administration
    • Client reporting
  • Affirmation / confirmation on electronic platforms
    • Affirmation process
    • Confirmation process
    • Routing of trade status to Administration teams
    • Client reporting
    • Exemple of workflow
  • Manual affirmation / confirmation
    • Affirmation
    • ISDA paper confirmation monitoring
  • Cash flows
    • Cash flow calculation
    • Reconciliations with counterparties
    • Swift payment messages
    • Client reporting
    • Nostro accounts
  • Event management
    • Early terminations
    • Assignment / novations
    • Up-front payments
    • Credit event monitoring on CDS
    • Options
      • Premium
      • Option exercise
      • Client reporting

Depositary Function

  • AMF requirements
  • Storage of ISDA master agreements
  • Position reconciliations Middle Office vs Fund administration
  • Client reporting
  • Position certification
  • Annual reconciliations

OTC Valuation

  • Introduction to OTC valuation
  • Present value / future value
  • Concrete example : mark to market calculation of an interest rate swap

OTC Collateral Management

  • Counterparty risk
  • Collateralisation mechanism
  • Concrete example : collateral management of a swap portfolio

Part II: Cleared Trades

The New Regulation on OTC Derivatives

  • The G20 commitments and the regulatory response
  • Mechanism of OTC Clearing
  • Impacts on Middle office

Middle Office Management

  • Trade execution through electronic platforms
  • Trade receipt and booking
  • New regulatory identifiers
  • Affirmation / Confirmation
  • Give up / Clearing consent
  • Regulatory reporting to Trade repositories / Public dissemination
  • Valuation and collateral management
  • Daily margin calls
  • Trade routing to Fund administration
  • Depositary Function : towards a service evolution

Example of Workflow


Dominique Iroz

Dominique Iroz

Dominique began his career in 1985 at BNP in the Back Office of Derivatives OTC Trading Room where he held the position of Deputy Head. He then joined the subsidiary BNP Paribas Securities Services in 2000 to develop the activity of outsourcing of OTC Derivatives Middle Office for French and foreign institutional clients. Since 2008, he is in charge of the Strategic Operating Model on OTC derivatives and has expertise in OTC reform, on which he conducts training sessions in France and Europe.

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