Markit has integrated the Quartet FS ActivePivot in-memory aggregation engine into its analytics platform to offer real-time, pre-trade decision support to the front office. The addition of ActivePivot extends an initial in-house development of real-time capability to calculate pre-trade counterparty exposures on the Markit platform and will support real-time visualisation of risk calculations including risk weighted assets, credit valuation adjustment (CVA) and initial margin.
ActivePivot will also aggregate thousands of vectors generated by the Markit Analytics platform in real time, delivering sub-second marginal netting node and impact analysis for initial margins. This will enable users to calculate margins for cleared and uncleared products in real time across multiple central counterparties.
Markit ran a competitive analysis in the search for a data aggregation engine and chose ActivePivot on the basis of its ability to support multi-dimensional aggregation and its scale to manage data volumes running into many terabytes. The company will continue to use its in-house built, real-time counterparty exposure solution, which delivers sub-second responses, but acknowledges that ActivePivot is more flexible, offering broader aggregation and wider application opportunities.
Justin Forrest, managing director for sales at Markit Analytics, says: “A commoditised solution rather than an in-house build gave us good time to market. The business value is in the underlying calculations in Markit Analytics rather than the data aggregation.”
The ActivePivot software and its graphical user interface sit on top of the analytics platform, which has a component-based design and open application programming interfaces to support third-party solutions. Markit will license the Quartet FS solution as a component of the analytics platform and expects to attract both existing and new clients with the integrated solution.
To date, two global investment banks, one in the UK and one in North America are implementing the combination of ActivePivot and Markit Analytics, and the software is production ready for other clients and prospects. Forrest says that while initial interest in the solution has come from large banks, he expects ultimately that all banks will need this kind of capability to compete and remain informed.
While the arrangement to integrate ActivePivot into the Markit Analytics platform adds significantly to Markit’s capability, it also marks the second partnership made by Quartet FS in as many months after Numerix signed up to embed ActivePivot in its CrossAsset Server in May.