Financial institutions face significant challenges in meeting regulatory requirements like IFRS 13 and FRTB, particularly around obtaining reliable price and trade data in opaque OTC markets. Compliance with fair value measurement and prudent valuation standards requires access to large amounts of observable market data, which is often difficult to source for Total Return Swaps (TRS).

Our Solution

Wematch’s Data Contribution Service addresses these challenges by providing weekly firm quotes from leading financial institutions, pooling live liquidity on 12 TRS structures and 4 terms. Through our contribution sessions, we deliver more than 10,000 real price observations (RPOs) annually, ensuring better observable marking of books and supporting Risk & Valuation Control Units in their Independent Price Verification (IPV) processes.

This reliable dataset allows banks to move away from less transparent Level 2 or Level 3 valuations under IFRS 13, offering greater confidence in fair value measurements through observable market inputs.

Key Benefits

• Regulatory Compliance: Our service helps institutions comply with IFRS 13 by providing Level 1 data for TRS, reducing reliance on model-based (Level 2) or unobservable (Level 3) inputs.
• Enhanced Transparency: Each session defines mid-levels, making quotes observable and tradable within the community, fostering greater transparency in TRS funding curves.
• ECB Compliance: Financial institutions are leveraging our service to meet the ECB’s recommendation on equity vrac repo valuation, which emphasises transparency and the use of accurate market data. The service plays a key role in helping banks comply with this recommendation, with a deadline set for November 31st 2024.
• Customised Data Access: Historical data, collected over 64 sessions in EMEA, is available via API or in multiple formats, tailored to meet institutional needs. The service has been live in the US since May 2024 and will launch in APAC by mid-October 2024.

Unlocking TRS Data Transparency

By enhancing price transparency and supporting compliance with valuation controls, our Data Contribution Service enables financial institutions to meet regulatory demands while improving operational efficiency. As regulatory scrutiny increases, Wematch provides the tools to navigate these evolving challenges and deliver transparent, reliable market data for Total Return Swaps.

To learn more about our Data & Contribution Service, please reach out.

Photo by Scott Webb on Unsplash

The views and opinions expressed are for informational and educational purposes only as of the time of the writing/production and may change at any time. The material may contain “forward-looking” information that is not purely historical in nature. Such information may include, among other things, projections, forecasts, estimates of market returns, and proposed or expected portfolio composition. All information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. There is no representation or warranty as to the current accuracy, reliability or completeness of, nor liability for, decisions based on such information and it should not be relied on as such.