manipulated and analysed has grown enormously, with the challenge in large part due to the real-time nature of today’s requirements. BNP Paribas reflects the scale and complexity of the task. It has a three-layer database, using SAP’s Sybase IQ, in its Paris data centre, with three days of data in the first layer, 50 days in the second and five years of history in the third, amounting to around 40 terabytes of data. Input data is handled by a Java/Python-based in-house developed scripting engine, then moved in file format into a reconciliation engine (around 90,000 jobs per day), and is then loaded into the three- day layer (it is only loaded into the second layer if there are any adjustments to be made). The bank has an event engine to trigger calculations as soon as possible, with data extracted, calculated and input back into the database. The platform supports 2000 users in 40 sites, generating around 50,000 requests per day. There is an internal business intelligence layer, dubbed MRflex, a bespoke Java-based wrapper. In terms of what within this set-up needs to be real-time,
BNP Paribas had identified a number of areas, for compliance and control. These were pre-trade checks against counterparty limits; compliance with trading mandates; detection and prevention of abnormal trading patterns; incremental initial margin requirements from central counterparties (CCPs); and control of market risk exposures per counterparty, net of collateral. Banks ‘need to make decisions about how to blend real-time processing with end-of-day’, said BNP Paribas’ head of risk systems, Mikael Sorboen, in September 2014. There are a lot of organisational challenges, including the need to synchronise trades and hedges. There is a need for a different architecture and to clarify who does what. His advice was that banks should seize this as an opportunity to simplify. He was doubtful at this time (Q3 2014) that Sybase IQ would be able to cope with the real-time requirements so, among other options, the bank was evaluating SAP’s in-memory platform, HANA.
One other potentially pertinent question related to data
is around the role of standards. After all, if the world spoke the same language, it would be much easier for institutions to communicate internally as well as externally. There is a need for consistent naming conventions and identification of counterparts and instruments for use across pre-trade, reporting, clearing and settlement and so on. The EDM Council appears influential, working with a range of other bodies, including central banks, in areas such as business entity identification and a semantics repository. Head of the Council,
Risk Management Systems & Suppliers Report |
www.ibsintelligence.com 171
Mike Atkin, believed there was a great deal more urgency as a result of the crisis. Indeed, he felt ‘the financial crisis is the best thing that could have happened to data management’. It had given impetus to a number of collaborative initiatives and had focused minds within financial institutions and regulators alike. Only when a systemic crisis comes along, he argued, is attention paid to things that were previously subservient to business objectives. ‘It will only happen when it is forced to happen.’
While describing himself as optimistic, Atkins felt that
what might still defeat the standards efforts was lack of coordination and communication. Some conversations were in one country, others were in another, some were behind closed doors in conference rooms, others were at regulatory agencies. There are a lot of stakeholders and not all of them are connected. A key question is whether there will be effective communication with the ISO governance mechanisms, he felt, but he believed that ISO and other regulatory authorities were ‘fully engaged’ and would ‘step up’. ‘Everyone wants global standards, maintained by a legislated standards process, with transparency and governance.’
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