Cross Product Master Agreements

We may need to enhance ACR to have the ability to group netting agreements under 'Cross Product Master Agreements' (CPMA). Apparently such agreements exist to allow netting across different legal agreements with the same Legal Entity, e.g. across ISDA and GMRA (etc.). This would most likely be designed as:

• A new 'Cross-Product Master' Class of Agreement with a rather simple set of attributes (yet to be determined)

• A new 'Cross-Product Master' attribute on Agreements pointing to the new class mentioned above

• Adjustment to the ACR-AA mapping to take into account this feature. Apparently AA already supports such a scenario.

• Possibly consider an adjustment to the ACR non-analytic measures to cater for netting across multiple agreements.

• Our understanding is that the effect of collateral remains strictly confined to the Agreement level.