Every misread CSA term has a price. Review the expensive ones first.
CSA Lens reads Credit Support Annexes with an LLM, checks every answer against the document, then prices each possible misread in SA-CCR exposure and today's margin call. The review queue is ordered by money at risk, not by how unsure the model sounds.
Scorecard
How fast review catches the costly errors
Share of the total EUR error caught as a reviewer works down the queue, in three orders.
Show as a table
Review queue
The first 10 terms a reviewer would check, across all twelve CSAs. Click one to open it.
Inspect a CSA
The document, every extracted term with its checks, and what the terms do to exposure. Click a term to see its quote. A red dot marks CSAs with a wrong term.
Extracted terms
Confidence = agreement across samples × quote check. Impact = largest EUR move in EAD or margin call from a plausible misread.
Exposure under these terms
SA-CCR for the netting set behind this CSA, with the extracted terms and with the answer key.
How it works
The model reads; deterministic code checks, calculates and ranks. The regulatory number never comes from the model.
Extract
Gemini reads each CSA several times with a collateral analyst's rules, returning sixteen terms in a fixed format, each with a verbatim quote.
Verify
Confidence comes from checks, not from the model: do the samples agree, is the quote really in the document, can the value be seen in the quote, is a required term missing.
Price
A Basel SA-CCR engine, tested against every worked example in BCBS 279, plus CSA margin call mechanics, measure what each plausible misread would do in EUR.
Prioritise
Priority = chance of being wrong × EUR impact. The chance never drops below 2%, so a confident answer on a term that moves millions still gets checked.
Limits, stated plainly
- The twelve CSAs are synthetic, written for this project with traps taken from real collateral work: amendments, one-way annexes, rating-based thresholds, cross-default "Threshold Amount" decoys, missing terms. They are not ISDA forms.
- Trade books are generated (interest rate swaps, FX forwards, an equity option, a CDS index), and so are the collateral balances.
- SA-CCR follows Basel CRE52. National variations (EU CRR3 alpha relief, SIMM initial margin) are out of scope. Collateral haircuts use supervisory haircuts for AA- or better sovereigns.
- Twelve documents is enough to show the method, not to claim production accuracy.