Canada’s banks go it alone with FRTB data utility

Local lenders reject advances of major data utilities to build own solution

Going solo: six Canadian banks developing standalone data utility

Canada’s largest banks are creating their own data pool in response to new market risk rules, rebuffing the overtures of third-party vendors to develop and run the utility, Risk.net has learned.

The banks intend to compile their trade data in a bespoke utility to help them incorporate hard-to-model risk factors as pricing inputs. Under the Fundamental Review of the Trading Book, institutions face punitive add-ons to market risk capital requirements if the risk factors used for their internal mo