DTCC Delivers Beta Version of FRTB Data Service to Provide Real Insight on the Potential Impact of New Capital Framework

DTCC Delivers Beta Version of FRTB Data Service to Provide Real Insight on the Potential Impact of New Capital Framework
18.11.2019 10:24 am

DTCC Delivers Beta Version of FRTB Data Service to Provide Real Insight on the Potential Impact of New Capital Framework

Data , Infrastructure

The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced the availability of a beta version of its FRTB Real Price Observations Data Service. The service will enable the mapping of risk factors to a pool of global derivatives data to gain insight on modellability results in accordance with the Fundamental Review of the Trading Book (FRTB) framework. DTCC developed the FRTB service in collaboration with over 30 pilot members, including every leading bank that trades over-the-counter (OTC) derivatives around the world.  

FRTB, released by the Basel Committee on Banking Supervision (BCBS), updates the minimum capital requirements for market risk to address shortcomings of the current Basel III market risk capital framework. FRTB requires banks to evidence enough market liquidity for the positions in their trading book that are capitalized using an approved internal model approach (IMA). Without empirical trade data and tools to interact with it, banks are struggling to understand the impact on capital charges and the quantitative benefits of IMA. Failure to secure robust, high quality price observation data to assist with non-modellable risk factor (NMRF) analysis may subject firms to significant capital inefficiencies, which could threaten the viability of trading in certain asset classes and the withdrawal of liquidity from the market.

DTCC is uniquely-positioned to assist the industry with its FRTB data needs for OTC derivatives and cash instruments to test modellability of illiquid instrument classes. The release of DTCC’s FRTB beta application represents the first phase in the firm’s efforts to deliver a pooled data solution that will help banks obtain greater insight into modellability results and build the business case for IMA.

“We are excited to launch the beta version of our new FRTB data service in order to deliver the data and tools banks need to adequately measure modellability and capital impacts. Our service leverages DTCC’s global data collection infrastructures to pool observable transaction data, helping banks meet requirements for internal model approval, thereby maximizing risk capital charge efficiencies,” said Tim Lind, Managing Director, Head of DTCC Data Services.

To deliver the service, DTCC partnered with ActiveViam’s flagship in-memory analytics technology, ActivePivot, in order to provide full insights on the impact FRTB will have on market risk capital charges. ActiveViam is a leading provider of data analytics software solutions designed to meet the significant speed and data volume demands of financial service applications. The DTCC FRTB service pilot will continue until Q2 2020.

“We are delighted DTCC chose to partner with us and we look forward to bringing this project to life,” said Kathy Perrotte, Co-Founder and Managing Director, ActiveViam. “This service will help banks move beyond uncertainty and conjecture related to IMA and position them to achieve the actual insight necessary to make strategic plans to address the challenges created by the FRTB framework.”

Mr. Lind added, “We were committed to finding the best consulting and technology partners to deliver our solution and selected ActiveViam because of its reputation in the industry, experience with FRTB and speed to market.”

 

Related News

SIX and Nasdaq Partner to Provide Greater Access to Market Data Using Microwave Technology

The Swiss Stock Exchange and the operator of Nasdaq´s Nordic exchanges have signed a partnership in the first quarter of 2020 to expand the current European microwave... Read more »

TIBCO Identified as a Leader in the 2020 Digital Business Platforms Report by Aragon Research

TIBCO Software Inc., a global leader in enterprise data, empowers its customers to connect, unify, and confidently predict business... Read more »

BMLL selects EOSE to Bolster Distribution of their Derived Data Product

EOSE, provider of outsourced market data solutions, today announced that the firm has entered into an agreement with BMLL Technologies, the data engineering and analytics firm... Read more »

SIX partners with Crux Informatics to deliver core datasets in a cloud-based platform

SIX, the Swiss financial data expert, announces its partnership with Crux Informatics to provide a state-of-the-art managed market data solution which removes... Read more »

Spectra Helps Customers Modernise IT Architectures with StorCycle Software 3.0 and Enhancements to its Data Storage Portfolio

Spectra Logic, a leader in data storage and data management solutions, today announced that StorCycle, its new Storage... Read more »

Beyond.pl Data Center 2 is re-certified for Rated 4 Standard

Beyond.pl (www.beyond.pl), a leading data center operator based in Poznan, Poland,  has successfully been recertified as Rated 4 according... Read more »

Magazine
ALL
Free Newsletter Sign-up
+44 (0) 208 819 32 53 +44 (0) 173 261 71 47
Download Our Mobile App
Financial It Youtube channel