DTCC is uniquely positioned to help banks reduce operational implementation burdens and market risk capital charges as they work to comply with the Basel Committee on Banking Supervision’s Fundamental Review of the Trading Book (“FRTB”) by providing a comprehensive “real” price observation data solution. As the premier post-trade market infrastructure for the global financial services industry, DTCC has unsurpassed data collection capabilities across multiple asset classes, including the more illiquid securities in the opaque OTC derivatives market.
The FRTB Real-Price Observations Data Service will leverage DTCC’s existing global data collection infrastructures to assist banks with implementation of the risk factor modellability assessment framework, including critical non-modellable risk factor (NMRF) assessment. The solution will allow users to configure their own instruments by taking into account risk factor mapping and bucketing that could be tailored to their trading portfolio by accessing the industry pooled data to achieve modellability for those instruments. Users can then enter an instrument query through the service and the service will return either a pass or fail value. If an instrument fails, they can easily re-configure and re-run their query to make another attempt at modellability.
Features & Benefits
• Configurable definition of “real” price event” and application of filters to identify the transactions only associated to the defined “real” price events such as new trade, assignments, and full or partial trade termination
• Configurable definition of “instrument” that takes into account the risk factor mapping and bucketing
Pooled “Real” Price Data:
• Reduce market fragmentation by creating a primary source of “real” price observation data from a global source of derivatives and cash product transactionsAssessment of continuous availability of “market observable trades” to evidence instrument-level modellability based on a set of criteria
• Deduplication of contributed data across the entire dataset
- Early Alerts for Trade Volume Changes: • Trade volume monitoring function enables monitoring of trade volume changes for a specified instrument and will notify the users with an early indicator or alert
- Filtering and Drill-down Capabilities: • Business rules based filtering and drill-down capabilities allow users to specify the level of granularity needed in order to map the instruments to risk factors. Audit capabilities to allow regulators to review and analyze observation results across all asset classes
- Standardized Product Taxonomy: • Promote standard product and sub-product taxonomy by aligning with the ISDA Product Taxonomy
Key data sources by asset class, trade volume, and location:
How It Works
- Configure their own instruments by taking into account risk factor mapping and bucketing that is tailored to their trading portfolio.
- And, access to industry pooled data to achieve modellability for those instruments.
- Web-based user interface to query instrument level data and modellability results
- Support MDX querying through API messaging
- Flat files delivered through a secure FTP site
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