One of our clients, based at Hong Kong, had new financial products to be issued, where new reporting was required to comply. We established a financial resources rules (FRR) reporting system based on SFC (Securities and Futures Commission) requirements.
The client has an existing middle-office trade-booking system, which has graphic interface to allow users to browse the trades and positions. Our approach was to output trade and position reports from the system, in order to utilize existing resources, and build new modules to output reports.
Next we had to calculate liquid assets (LA) and ranking liabilities (RL) accordingly. The main challenge is to pairing up principal instrument and hedging instrument, then applying different FRR rules accordingly.