The brief

A leading European bank (‘the client’) needed to extract key terms from Netting Summary documents, across 60+ jurisdictions. Many banks struggle to understand whether they are entitled to net trades in the derivative market. This forces institutions to make expensive decisions in terms of RWA. Providing systematic netting data to a wide range of stakeholders is a widespread problem, and one which the client was faced with. The client was looking to build a “Golden Source” of netting data, which maps these summaries to the underlying master agreement and then generates reports on netting applicability.

Netting data

What we delivered

60+ jurisdictions linked to 1,000+ ISDA Agreements

  • Rapidly created and customised the data model by adding new terms, attributes and enumerations without product development and collected 150+ data points per document.
  • Collected data across counterparty type, in scope transactions and all netting carveouts to provide a completed view of netting viability by counterparty and product for each jurisdiction.
  • Managed data model enhancements without impacting previously captured data.
  • Linked Netting Summaries to their related ISDA Master agreements to create a view of codification showing whether the ISDAs had followed the recommendations of the Netting Summaries.
  • Created a template for Netting Summaries to allow for straight through processing of future updates.
  • All new clauses that were identified in the system, were automatically added to the Clause Library for re use.

What is next

We are engaged to deliver an extended service to cover all 120 jurisdictions and a wider range of master agreements such as CSA, Repos, Sec Lending etc. We are now providing a business as usual (“BAU”) service to manage updates to netting opinions and their summary sheets to ensure all users have the most up to date information.

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