GoldenSource, the leading independent provider of Enterprise Data Management (EDM) and Master Data Management (MDM) solutions for the securities and investment management industry, has launched a new data management solution for the Fundamental Review of the Trading Book (FRTB).

Coming into force on January 1st 2019, FRTB is a prescriptive set of rules which force banks to calculate how much capital to set aside to protect themselves when prices fall sharply.  The GoldenSource solution pulls together market, position and risk data, ensuring that FRTB calculations are fully auditable and more efficient to carry out. 

A key component of the solution is a curve-shift methodology, which uses risk sensitivities to give risk and finance officers the ability to deliver different types of control and regulatory calculations. The essence of the approach is the assumption that most of these calculations can be viewed as the quantification in P&L or capital terms of differences between two market data points.  For example, a bank may well have a portfolio of interest rate positions with exposures at different points along a tenor structure. At each point of the curve, banks can deliver IPV, prudent valuation, P&L attribution, reserving and FRTB calculations by quantifying the impact of the difference between two curves, whether those curves are measured in basis points, volatility points or credit spreads.

Charlie Browne, head of Market Data and Risk Solutions division at GoldenSource said: “The intricate detail underpinning FRTB will make calculating market risk capital charges far more burdensome. The challenge is that most of the calculations require the marriage of market and risk data, which historically, banks have struggled to achieve without introducing data error. This is why the foundation of our new FRTB offering was the integration of our market data and risk solutions for multiple data sets, including who the contributor of the market data is, its sensitivity, and exactly when it was distributed.”

The GoldenSource FRTB solution, which is available to banks from January, comprises pricing connections and standardised and IMA calculations and reports. The solution is an application of RiskHub, its risk data management and analytics capabilities, combined with GoldenSource EDM, its data management suite, version 8.7 of which was released in September.