Boston, April 26, 2018 – The Fundamental Review of the Trading Book is designed to address the shortcomings of the market risk capital reforms in Basel 2.5. FRTB will require banks globally to prove that the prices underlying their approved internal models are sufficiently liquid, or “real.” Since the sourcing of “real” data has presented substantial challenges, banks are able to supplement their own transactions and committed quotes with real prices from market data vendors that pool, clean, and aggregate additional data.
This report focuses exclusively on solutions that aim to increase the modellability of trading book exposures by providing supplementary pooled data and profiles Bloomberg, DTCC, FIS, IHS Markit, The Intercontinental Exchange (ICE), and Thomson Reuters. Based on a Q1 2018 survey of six global market data vendors, this report captures the present state of data vendor utility offerings and solutions and is intended to be part of a series dedicated to this topic.
This 32-page Impact Report contains four figures and eight tables. Clients of Aite Group’s Institutional Securities & Investments service can download this report, the corresponding charts, and the Executive Impact Deck.