About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

DTCC Delivers Beta Version of FRTB Data Service

Subscribe to our newsletter

The Depository Trust & Clearing Corporation (DTCC) has launched a beta version of its FRTB Real Price Observations Data Service. The service enables 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.

FRTB, released by the Basel Committee on Banking Supervision (BCBS) and with a current implementation deadline of January 2022, updates the minimum capital requirements for market risk to address shortcomings of the current Basel III market risk capital framework. The complex regulation requires banks to demonstrate and prove adequate levels of market liquidity for the positions in their trading book that are capitalized using an approved internal model approach (IMA).

Yet 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’s FRTB application, which has been developed in partnership with around 30 pilot members (primarily banks that trade OTC derivatives), represents the first phase in the firm’s efforts to deliver a pooled data solution that will help banks to build a 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,” says Tim Lind, Managing Director and Head of DTCC Data Services. “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.”

To deliver the service, DTCC partnered with ActiveViam’s in-memory analytics technology, ActivePivot, to explore the impact FRTB will have on market risk capital charges.

“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,” notes Kathy Perrotte, Co-Founder and Managing Director of ActiveViam.

The DTCC FRTB service pilot will continue until Q2 2020.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: ESG: A Growth Opportunity and a Regulatory Challenge

Date: 16 May 2023 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes ESG investing, regulation and compliance are central concerns for financial institutions, although not all jurisdictions are equal. In the US, ESG has become a partisan issue making SEC regulation uncertain; the EU is on good form and has already...

BLOG

Firms Need a Robust Technology Framework to Manage the Challenges of Market Abuse

By James Causton, Regulatory Sales Consultant, and Darren Lawrence, Compliance Sales Specialist, at SIX. In recent months, the FCA has fined several firms with regards to breaches of market abuse regulation. The increasing focus of the UK’s FCA and other national competent authorities in the EU demonstrate a coordinated focus on improving standards and operational...

EVENT

ESG Data & Tech Summit London

The ESG Data & Tech Summit will explore challenges around assembling and evaluating ESG data for reporting and the impact of regulatory measures and industry collaboration on transparency and standardisation efforts. Expert speakers will address how the evolving market infrastructure is developing and the role of new technologies and alternative data in improving insight and filling data gaps.

GUIDE

GDPR Handbook

The May 25, 2018 compliance deadline of General Data Protection Regulation (GDPR) is approaching fast, requiring financial institutions to understand what personal data they hold, why they process it, and whether it is shared with other organisations. In line with individuals’ rights under the regulation, they must also provide access to individuals’ personal data and...