Contracts back on the radar – Counterparty Credit Risk
The 2007-8 global financial crisis is starting to dim into distant memory, but such is the slow pace of regulatory change that initiatives inspired by these events are still only just coming to maturity.
The FRTB is one such change, aimed at addressing weaknesses in market risk. The latest deadline is January 2027, although this has been moved several times.
Why should you care?
The reforms significantly increase the amount of required market risk capital held to cover potential loses.
If you plan to use the Internal Models Method (IMM), you need to have a robust back-testing framework, underpinned by high quality data, including exposure value for netting sets subject to a margin agreement.
Relying on existing manually captured low quality data, with no link to the signed agreements is not an option. Scrubbing data manually is also unrealistic to meet the relevant deadlines and there’s certainly no time to start building new software.
We help you identify relevant terms across your global contract portfolio, neatly organised by your own trading entities and those of your counterparties. All data can be linked back to the underlying signed agreement, meaning a full audit trail between your model and a PDF scan of a signed contract exists. A “Click-to-Source” solution containing risk sensitive fields from termination triggers, through netting, MTA and eligibility.
Onboard your agreements rapidly into a well organised, consistent platform, ensuring that every desk has a full digital audit trail.