Developing Collateral Agreement Data Standards

Unlike the ISDA Master agreement, the collateral documentation (Credit Support Annex) is a very operational document and drives regular activity often daily or even intra day.

The consumers of the data are often the XVA/Credit risk groups. It is essential for the data to be defined and categorised in a manner that can be consumed by downstream applications, which in turn, can lead to effective margin calling and risk management. Many arrangements have rating dependent thresholds which need to be updated when ratings of counterparties or their credit support providers change.

The ability to use collateral agreements to drive effective business process is predicated on defining the documentation standards of collateral agreements so that they can be consumed effectively.

D2LT have worked with clients to define data standards and to configure existing technology to consume the data standards thereby increasing the effectiveness of the whole collateral process.