DTCC has teamed up with ActiveViam’s ActivePivot to upgrade its Fundamental Review of the Trading Book (FRTB) real price observations data service.
The new version enables the mapping of risk factors to a pool of global derivatives data to provide insight on modellability results n accordance with the FRTB. DTCC’s FRTB service pilot will continue until Q2 2020.
FRTB, released by the Basel Committee on Banking Supervision (BCBS), updates the minimum capital requirements for market risk to address shortcomings of the current Basel III market risk capital framework.
It requires banks to evidence enough market liquidity for the positions in their trading book that are capitalised using an approved internal model approach.
Tim Lind, managing director, head of DTCC data services, commented: “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.”
He added: “Our service leverages DTCC’s global data collection infrastructures to pool observable transaction data, helping banks meet requirements for internal model approval, thereby maximising risk capital charge efficiencies.”
Kathy Perrotte, co-founder and managing director, ActiveViam, said: “We are delighted DTCC chose to partner with us and we look forward to bringing this project to life. 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.”
