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Asset Control Extends AC Risk Data Manager to Support FRTB

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Asset Control has made an early start to developing a solution for Fundamental Review of the Trading Book (FRTB) regulation that is due to take effect in January 2019. The solution builds on the AC Risk Data Manager software introduced by the company a year ago and focuses on market data management requirements required by the Basel Committee regulation.

To meet FRTB requirements, the company has extended the AC Risk Data Manager data model to manage FRTB market data and calculations, and added a new user interface for business rules that can be set by users for functions such as stress testing. An early release of the software is on beta test with a handful of Asset Control clients, ahead of market availability in the third quarter of this year.

Martijn Groot, vice president of product management at Asset Control, explains: “Since the final text of FRTB was published in January 2016, the regulation has become an agenda item for sell-side firms. We started a requirements phase with some of our clients late last year. We already had independent pricing functionality, but have built out the AC Risk Data Manager data model and added business rules to meet FRTB requirements such as configuring and monitoring proxy rules, screening and completing time series histories, and managing stress scenarios.”

As well as providing a solution for FRTB, Asset Control expects the extended AC Risk Data Manager to play into the market data management and price requirements of Markets in Financial Instruments Directive II (MiFID II) and any other forthcoming regulations that include market data integration and calculation.

Considering the scale of FRTB, Groot warns: “It is critical that institutions start assessing what process and system changes are needed in order to address FRTB today. A structured market data management process is required, from efficient sourcing and integration, to risk factor mapping, proxy rule management and the tracking of quality metrics.”

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