1. Home
  2. Fundamental Review of the Trading Book (FRTB)

Fundamental Review of the Trading Book (FRTB)

Register for our FRTB early access program

Our new Refinitiv Trade Discovery solution supports our customers with the Risk Factor Eligibility Test (RFET), and we are currently conducting an early access program.  Participation will provide you with evidence of "real" observations across a range of asset classes from which you can commence your RFET testing.

Our take on FRTB in 60 seconds

Fundamental Review of the Trading Book (FRTB) addresses the shortcomings of the current (Basel 2.5) market risk framework, with the objective of making the financial system more robust whilst not unduly inhibiting the efficiency of the market.

The regulation introduces a wide range of changes, including:

  • creation of a basic standard, which all banks need to adopt
  • more stringent requirements to get approval to use internal models
  • and an improved risk governance framework.  

With the rules finalized in January 2019, there is no better time for a bank to progress implementation of new systems and processes for this regulation. Although these new rules don’t come into effect until Jan 2022, the complex nature of these new rules means banks have much work to do, so need to commence their implementation imminently.

This is particularly true for any bank seeking to gain or retain internal model status due to the complex nature of both the P&L attribution requirements and introduction of the Risk Factor Eligibility Test (RFET).

FRTB RFET challenges

What are the challenges of FRTB RFET?

Jacob Rank-Broadley (Director of Regulatory and Market Structure Propositions) and Fausto Marseglia (Head of Product Management, FRTB, Regulatory Propositions) - both at Refinitiv - discuss the biggest challenges that financial firms are facing with regards to implementing the Risk Factor Eligibility Test (RFET), part of the Fundamental Review of the Trading Book.

02:29

Passing the FRTB RFET

FTRB Bucketing approach video
02:35

The bucketing approach

FRTB "one observation per month" video
02:11

"One observation per month" requirement

What issues did Refinitiv identify with the FRTB RFET by the delayed publication of MiFID II data video
03:25

Delayed publication of MiFID II data

What are the challenges that financial firms are facing while implementing FRTB RFET video
04:03

Implementing FRTB RFET

Key takeaways

Here are the essentials

Prepare ahead

With the FRTB rules finalized in Jan 2019 there is no better time to accelerate your implementation program. This is particularly true for those banks seeking IMA, as there is much work to do prior to the Jan 2022 deadline.

Think strategically

The demands of FRTB are considerable. Working with the right partner is essential, not only for compliance but to build a solid foundation from which to build your business.

Engage a trusted partner

We are your trusted partner, providing you with the knowledge, data and tools to put you in control of the outcome.