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

Markit Mixes Old and New to Deliver FRTB Compliance Solution

Subscribe to our newsletter

Markit is pulling together existing products and new developments to deliver a compliance solution for the market risk capital requirements of the Fundamental Review of the Trading Book (FRTB), which comes into force in 2019.

The solution is based on a modular platform, allowing banks to supplement existing infrastructure and processes as needed, and is designed to enable banks to model and manage market data and risk factors, generate scenarios, and perform capital calculations in line with the regulatory framework.

The platform includes four integrated modules of which two are existing products and two are new developments. The existing products are Markit Analytics Risk Engine, an evolution of Markit Analytics that provides market risk calculation and a stress testing framework, and Markit FRTB Data Service, which includes transaction and historical pricing datasets from MarkitServ and will be used to supplement bank data to meet modellability requirements.

The new elements of the solution are Markit Risk Factor Utility, a software-as-a-service offer for managing and deriving risk factors and generating scenarios for backtesting, profit and loss attribution, and expected shortfall, and Markit FRTB Studio, a lightweight, interactive and intraday aggregation capability that will provide a consistent view of trading book risk and capital measures to support business decisions.

Yaacov Mutnikas, managing director and cohead of Solutions at Markit, explains: “FRTB will potentially have a dramatic impact on banks’ trading operations. Most banks will be challenged to produce the datasets necessary to demonstrate modellability and to manage and validate proxy decisions under new Non Modellable Risk Factor (NMRF) guidelines. Markit’s solution leverages our core strengths across capital modelling, transaction processing and data aggregation to help solve these issues. Recent Markit research on the impact of improved data on capital and NMRFs suggests our aggregated transaction data can result in a 40% reduction in capital requirements compared to banks using only their own data.”

The Markit FRTB solution will be hosted with options to deploy the Analytics Risk Engine and FRTB Studio within a client’s infrastructure. Markit expects to engage development customers in the third or fourth quarter of this year, fitting in with Tier 1 banks that are likely to make decision on FRTB strategies and solutions over the next few months.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: How to ensure employees meet fit and proper requirements under global accountability regimes

Date: 17 September 2024 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Fitness and proprietary requirements for employees of financial institutions are not an option, but a regulatory obligation that calls on employers to regularly assess employees’ honesty, integrity and reputation, competence and capability, and financial soundness. In the UK, these...

BLOG

SteelEye Survey Finds Compliance Investment Falling while Regulatory Demands Continue to Rise

Compliance teams are facing escalating pressures driven by greater regulatory scrutiny and macroeconomic challenges, according to the 2024 Annual Compliance Health Check Report from SteelEye’. This is the third Annual Compliance Health Check report which surveyed over 400 senior compliance decision makers at financial institutions across major financial centres in the US, UK, APAC, and...

EVENT

Buy AND Build: The Future of Capital Markets Technology, London

Buy AND Build: The Future of Capital Markets Technology London on September 19th at Marriott Hotel Canary Wharf London examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

GUIDE

Regulatory Data Handbook 2022/2023 – Tenth Edition

Welcome to the tenth edition of A-Team Group’s Regulatory Data Handbook, a publication that has tracked new regulations, amendments, implementation and data management requirements as regulatory change has impacted global capital markets participants over the past 10 years. This edition of the handbook includes new regulations and highlights some of the major regulatory interventions challenging...