Major Canadian Bank - Derivative Agreements

Client Issue

A major Canadian bank wanted to provide their front office with a data feed from their relationship documents to price their derivative transactions accurately. The client had over 2,000 derivative agreements (approximately 7,500 documents which include amendments) and required nearly 500,000 data points to be extracted.

PwC Approach

Given the amount of data to be captured for this task, PwC utilised their property document extraction tool (eBAM) to complete this task.

The team undertook a variety of tasks in the engagement.

To begin PwC ran a series of workshops between its SMEs and the client in order to define the data model required for capturing the key terms in the derivatives contracts.

Technical analysts then built the data model and configured the eBAM technology to programmatically extract key terms. To validate the logic, the team created a “playbook” which was verified by the client. Once the system had extracted the data, the team set up a four cell structure and “two eye review” process using the secure delivery centre in Belfast to perform quality control the data output across all agreements through a defined process.

Once the data was validated through the quality control process, the data was passed back to the bank for a final affirmation and to validate the data was in the format defined in the pre-agreed playbook. Once the data was affirmed, the team provided a data feed in JSON so the data can be consumed directly in the pricing engine. PwC completed the task in approximately three months and following an audit from the client, the data was over 99% accurate.

Outcome and Benefit to Client

The client now has a set of defined data models relating to their ISDA and CSA derivatives contracts as well as having a database for all of the terms in these agreements.

Using the processes and data models PwC defined, the client can now run a seamless BAU process to extract data from any new or amended ISDA contracts.

Through the use of technology, we were also able to assist the bank in identifying non-standard language used in their contracts and provide a summary of the most common terms used in their contracts.

Throughout the process, the client felt confident that the utilisation of a proprietary contract remediation tool, and PwC's secure delivery centre in Belfast, gave them a professional, efficient and personalised service.

Contact us

Michael Lines

Michael Lines

Contract Solutions Lead, PwC United Kingdom

Tel: +44 (0)7826 946177

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