Sell-Side Technology Awards 2017: Best Sell-Side Newcomer (Vendor or Product)—IHS Markit

Over the past 18 months, one risk management issue has overshadowed all others across the capital markets: the Fundamental Review of the Trading Book (FRTB), a revised market risk framework introduced by the Basel Committee on Banking Supervision to ensure firms’ “standardized and internal model approaches to market risk deliver credible capital outcomes and promote consistent implementation of the standards across [its] jurisdiction.” 

In 2016, IHS Markit launched a suite of FRTB tools, designed to help banks comply with the above-mentioned requirements, due to come into effect on January 1, 2019. The suite, currently being trialed by a number of tier-one banks, includes the firm’s risk calculation engine and new software developed from the ground up using a blend of risk analytics and big-data technologies, combined with the firm’s proprietary sources of cross-asset transaction and historical pricing data. The suite offers sell-side firms a platform for modeling and managing market data, risk factors, scenarios and capital calculations. It comprises a set of analytics required for the standard approach (SA) and internal models approach (IMA) to market risk management, underpinned by three applications: an FRTB “modellability” service—a combination of data and analytics for assessing and managing risk factor modellability, including  transaction datasets and a bucketing application programming interface (API) for cross-asset modelabillity reports; an FRTB scenario service featuring cross-asset historical pricing derivation, from time-series gap-filling to proxying and configurable scenario generation; and an FRTB capital analytics tool featuring a high-performance risk platform, providing analytics for IMA and SA requirements across trading desks, supporting roll-up to the enterprise level. 

These offerings can be implemented on a standalone basis or in combination to provide end-to-end support for FRTB. According to IHS Markit, a tier-one bank processed a portfolio of 1 million trades in seven seconds using FRTB Studio, an intra-day aggregation tool, running on hardware costing approximately $20,000. This allowed it to understand the capital implications of business decisions in near real time in relation to FRTB. The bank was up and running on Studio in two days. Past recipients of this category include Torstone Technology (2013), Markit (2014), Symphony (2015) and AcadiaSoft (2016).