Internal Model Method Digitisation

Case Study

Strategic capital markets contract digitisation 

Transforming Global Derivatives, Repo, and Sec Lending Portfolios into Structured Data to Power Internal Model Method (IMM) Risk Engines

BENEFITS

  • IMM Compliance: Delivers the audit-ready data lineage required for regulatory Internal Model Method approval.
  • Capital Optimization: Drives precise RWA calculations to unlock significant capital efficiencies.
  • Risk Mitigation: Institutionalizes legal logic, ensuring absolute precision in netting enforceability and close-out rules.
  • Zero Leakage: Automates tracking of granular MTAs, Rounding, and Collateral terms across ISDA, GMRA, and GMSLA portfolios.

Contracts processed

Contract Types

languages

CHALLENGE
A Global Systemically Important Bank (G-SIB) required a comprehensive, high-fidelity data foundation to support the implementation of its Internal Model Method (IMM) framework. To accurately model Counterparty Credit Risk (CCR) and optimize regulatory capital, the bank needed to transform its entire capital markets legacy contract architecture—spanning thousands of complex, bilateral legal frameworks—into actionable, structured risk data.

SOLUTION

We successfully digitized the G-SIB’s entire global capital markets contract portfolio, ensuring absolute data lineage from complex legal text to the risk engine. Our specialized implementation covered the full spectrum of trading documentation, including:
    • Derivatives: ISDA Master Agreements, Credit Support Annexes (CSAs), and custom variations.
    • Securities Finance & Repo: Global Master Repurchase Agreements (GMRAs) and Global Master Securities Lending Agreements (GMSLA).
    • Structured Amendments: All associated side letters, netting agreements, and jurisdiction-specific addenda.

IMPACT & OPERATIONAL LOGIC

KEY BUSINESS BENEFITS

N

Onboarding thousands of legacy contracts

N

Extracting key data in multiple languages

N

Integrated with banks SSO & entity data

N

Complex Umbrella structures

N

API feed to bank's data lake