Email Contact Phone Company Visit Website

New York Office

40 Fulton Street 11th Floor
New York
NY
US

Location Office

Charlotte House, 47-49 Charlotte Road
London
GB

London Office

Broken Wharf House 2 Broken Wharf High Timber Street
London
GB

Hong Kong Office

Central Building Level 9 1-3 Pedder Street
Hong Kong
HK

Bangalore Office

Symphony Infospace 6th Floor, Block VA Pritech SEZ Park Outer Ring Road, Belandur
Bangalore
IN

Hauppauge, New York Office

102 Motor Parkway, Suite 250 Hauppauge
New York
NY
US

Amsterdam Office

UN Studio - 11th Floor Parnassusweg 823
Amsterdam
NL

Boulder Office

5718 Central Ave
Boulder
CO
US

Calgary Office

Suite 225, 3553 - 31st Street NW
Calgary
Alberta
CA

Chicago Office

1560 Wall Street #334
Chicago
IL
US

Dallas Office

13455 Noel Road LB #22 Suite 1100
Dallas
TX
US

Edinburgh Office

41 Thistle St Lane SW
Edinburgh
GB

Frankfurt Office

Walther-von-Cronberg-Platz 6
Frankfurt
DE

Hong Kong Office

Suite 2128 Level 21 The Center 99 Queen’s Road Central
Central, Hong Kong
HK

London (Ropemaker) Head Office

4th and 5th Floor Ropemaker Place 25 Ropemaker Street
London
GB

London (Henley-on-Thames) Office

Ground and First Floor Videocom House Newtown Road Henley-on-Thames
Oxon
GB

New Delhi Office

New Delhi GYS Heights, 5th and 6th Floor Plot no. 10 and 11 Sector 125
Noida
IN

New York (Times Center) Head Office

620 8th Avenue, 35th Floor
New York
NY
US

New York (Park Avenue) Office

101 Park Avenue 7th Floor
New York
NY
US

New York (Valley Cottage) Office

711 Executive Blvd Valley Cottage
New York
NY
US

Singapore Office

1 Raffles Place #15-61 One Raffles Place
Singapore
SG

Sydney Office

Level 20 1 Market Street
Sydney
AU

Tokoyo Office

26F Atago Green Hills MORI Tower Atago 2-5-1
Minato-ku
JP

Toronto Office

40 King Street West Suite 2706
Toronto
CA

Vancouver Office

Suite 1005, 1095 West Pender Street
Vancouver
CA

Telephone

020 7890 5094

Contact

Teresa Chick
[email protected]
Back to all IHS Markit announcements

Markit Announces FRTB Solution to Help Reduce Capital Impact

New modular solution and data sets address NMRFs and P&L attribution 

Markit (Nasdaq:MRKT), a global provider of financial information services, is announcing a comprehensive solution for compliance with the new market risk capital requirements in the Fundamental Review of the Trading Book (FRTB) standards. Markit has worked with a number of customers worldwide to define a modular platform that will enable banks to model and manage market data and risk factors, generate scenarios and perform capital calculations in line with the new framework.

“FRTB will potentially have a dramatic impact on banks’ trading operations,” said Yaacov Mutnikas, managing director and cohead of Solutions at Markit. “Most banks will be challenged to produce the data sets necessary to demonstrate modellability and to manage and validate proxy decisions under new NMRF guidelines. The solution leverages our core strengths across capital modelling, transaction processing and data aggregation to help solve these issues. Markit’s capital impact research indicates our aggregated transaction data can result in a 40% reduction in capital requirements compared to banks using only their own data1.”

The solution, which is designed to leverage a bank’s existing infrastructure, will be comprised of four modular, integrated components:

  • Markit FRTB Data Service: transaction and historical pricing data sets to supplement banks’ data for meeting modellability requirements
  • Markit Risk Factor Utility: a hosted utility for managing and deriving risk factors and generating scenarios for backtesting, P&L attribution and Expected Shortfall
  • Markit Analytics Risk Engine: a market risk calculation engine and stress testing framework
  • Markit FRTB Studio: a rapidly deployed, impact analysis tool which combines full drill down and intraday views of risk and capital measures across CVA (Credit Valuation Adjustment) and Market Risk (for Standard Approach and Internal Model Approach)

FRTB standards require access to comprehensive transaction data for use in Non Modellable Risk Factor (NMRF) assessment. Markit captures a large percentage of OTC derivative transactions through MarkitSERV, which processes interest rate, credit, equity and FX derivatives on a global basis. Markit is working with the banks to utilise and supplement this data to demonstrate modellability across all asset classes.

Effective management of risk factors will be critical for FRTB compliance. Markit’s approach focuses on increasing the ease with which banks can manage risk factors, delivering significant advantages in impact analysis, model approval and capital management. Using the latest advances in technology architecture, Markit provides a scalable solution that can keep up with the added volume and complexity of calculations under FRTB, which comes into force in 2019.

1Recent Markit research on the impact of improved data on capital and NMRFs under the new standards