CITIBANK

GCATS-AT (Global Collateral Aggregation Tool System) Aggregation Tool enhancements

October 2008

Company overview:

Citi is today's pre-eminent financial services company and was built to create a highly diversified financial services company that could act as one to deliver solutions to clients throughout the world.
With the most diverse array of products and the greatest distribution capacity of any financial firm in the world, our 350,000 employees manage 200 million customer accounts across six continents in more than 100 countries.

Industry:

Financial Services

Solution:

Citi’s Global Collateral Aggregation Tool (GCATS AT) enhancement

Citi’s reporting and management of financial collaterals throughout the bank was problematical: accuracy of data was questionable and the bank was not maximizing the benefits of collateral.

This issue left Citi in a hard position to comply with Basel II requirements as well as with the new “CMB Collateral Policies and Procedures” intended to improve allocating collateral by switch to the “pre-allocated” method of reporting collateral.

Enhancements were also critical for Citi to recognize collateral eligible for beneficial regulatory capital treatment, and needed to be accomplished in two months time.

To address this inconsistency, Citi requested Business Vision to enhance GCATS AT - Citi’s Global Collateral Aggregation Tool system designed to collect and aggregate Collateral information firm wide with the purpose to feed the Basel Wholesale Credit Data Warehouse (GRR).

In two months time, Business Vision accomplished Citi’s requirements to:

• Leverage GCATS-AT to include new fields required for the implementation of the Collateral Policies & Procedures and new fields identified from the Collateral Monitoring Worksheet.
• Establish a revision of 30-day data bump-out (revaluation frequency new field and functionality, 30 days rule changes, new revaluation frequency report).
• Include field for haircut amount related to correlation between borrower and collateral, per Collateral PP&C, to be consistent with CMW.
• Add Error Handling Reporting functionality.
• Capability to “Link” and “Unlink” multiple GFRNs to one or more Assets in the File Upload functionality.

DEVELOPMENT TOOLS & TECHNOLOGIES MATRIX

Server Technologies:

• Operating System Sun Solaris Version 10
• Web server servlets Iplanet
• Oracle Database 9.0.2.5 or higher
• JDK 1.4.2_(04 +)
• eSat Client 1.0_A0
• NDM Connect Direct
• SFTP server TBD
• SSH server TBD
• SMTP Client TBD
• Scheduler TBD

Development Environment Technologies:

• CVS (Win) Client TBD
• CVS Server TBD
• JDK 1.4.2_(04 +) or higher
• JSP 1.2
• Servlets 2.3
• Websphere Studio 5.1
• Log4J 1.29
• Struts 1.2.7

GCATS-AT enhancements allowed Citi to comply with Basel II Accord requirements by:

• Ensuring collateral data aggregation for all secured credit facilities that support non-traded products, so that the risk mitigating effect of collateral may be included in regulatory capital calculations.
• Improving firm wide risk reporting and risk management practices.
• Better understanding of PD/LGD correlations