The ECB recently published its assessment methodology for banks using the internal model method (IMM) for calculating counterparty credit risk and credit valuation adjustment risk.
Given the very large differences IMM has on regulatory capital versus standard methods this is a useful guide for those looking to adopt IMM but also those already using it to stay compliant.
Streamlining your contract data management of key collateral terms, netting agreements and close out provisions is an integral part of this.
- regulatory capital
- close out netting reviews
- collateral management
- collateral optimisation
- regulatory reporting (such as BRRD and QFC)
Trying to ‘make do’ with second hand data manually captured in your collateral operations systems really isn’t appropriate for most of these needs, lacking the granularity, accuracy and traceability, not to mention being polluted with operational overrides.
Full ECB guide link