On 18th November 2019, The Depositary Trust and Clearing Corporation (DTCC) announced the availability of a beta version of its Real Price Observations Data Service (RPODS).
The pilot, which is reported to have involved every bank that trades in over the counter derivatives, is expected to conclude in the second quarter of 2020.
RPODS is aimed at “helping banks meet requirements for internal model approval (IMA),” according to Tim Lind, Head of DTCC Data Services. The release is “the first phase in the firm’s efforts to deliver a pooled data solution that will help banks build the business case for IMA.”
In launching RPODS, officials for DTCC confirmed that it is leveraging ActivePivot, an in-memory data analytics product from ActiveViam, a specialist vendor to high-frequency trading firms.
This announcement by DTCC and ActiveViam is timely, according to Accenture in its 2017 report Fundamental Review of the Trading Book: From Theory to Action and reconfirmed by Eugene Stern, Head of Market Risk Products for Bloomberg in March 2019.
“A majority of FRTB rules have a direct or indirect impact on banks’ data management strategies,” according to the authors of the Accenture report. “A key concern is the non-availability of market data for non-modellable risk factors. Banks are considering a number of solutions, including the pooling of data.”
Financial institutions need to have adequate data reporting capabilities in place by December 2019, according to Stern. This urgency is recommended to allow enough time for “data management testing and model approval prior to the Fundamental Review of the Trading Book implementation deadline.”
“Some of the larger institutions are going to have to do a sizeable amount of work to align [existing] data infrastructure across different asset classes and across the P&L attribution test,” says Stern. “In many cases, rebuilding data architectures [is] required.”
So, the coming six months hold critical test data management challenges for financial firms. Time will tell whether solutions such as RPODS from DTCC prove suitable.
