- Home
- Fundamental Review of the Trading Book (FRTB)
Fundamental Review of the Trading Book (FRTB)
FRTB Data Solutions
Obtain the data you need for the Standardised and Internal Models Approaches, to perform FRTB analytics in-house or through a market risk engine.
What are the biggest FRTB implementation challenges?
Around the world, banks are finding the implementation of the Fundamental Review of the Trading (FRTB) requirements – with an international deadline of January 2023 – very challenging. Top issues include:
- Standardised Approach capital calculations demand three different metrics, and the Sensitivities Based Method is particularly complex. Banks need to apply the relevant risk class, risk weight, and risk bucket metrics to calculate their capital.
- Within the Standardised Approach, the Funds Look-Through Approach and the Index Look-Through Approach both require lots of detailed price and reference data about individual funds and index constituents.
- To pass the Risk Factor Eligibility Test (RFET), under the Internal Models Approach, banks must obtain “real price observations” (RPOs) for 12 months, attribute RPOs to individual risk factors, and check if there is enough activity to pass liquidity thresholds. This requires large amounts of data, sometimes from opaque markets.
For most banks, the biggest FRTB data gap is in over-the-counter (OTC) products. Legacy technology infrastructure, data governance issues, and other challenges can mean that working with a trusted data partner will reduce the time and resources needed to achieve FRTB compliance.
Useful links
-
The harmonisation of FRTB data compliance requirements by local jurisdictions is crucial
-
FRTB fact sheet- Refinitiv’s data solution for the Standardised Approach
-
FRTB fact sheet - Refinitiv trade discovery
-
Expert Talk: Banks urged to take actions as FRTB implementation nears
-
Blog - Are banks going to miss the FRTB Standardised Approach deadline?
Our Solutions
Internal Models Approach
Refinitiv can help you comply with the Risk Factor Eligibility Test by providing regulatory compliant Real Price Observations (RPOs) data for cross asset class financial instruments traded in both regulated and over-the-counter (OTC) markets.
Our Trade Discovery solution delivers data from a variety of sources, that include regulated markets, “transparent” OTC markets and “opaque” OTC markets by partnering with the most established market infrastructure providers, such as the London Clearing House and Tradeweb.
Through our extended coverage of regulated markets and our partnerships with the London Clearing House, Tradeweb and other leading market infrastructure providers, you get access to billions of processed RPOs across exchange-traded and OTC derivative instruments covering rates, credit, FX and equities in multiple jurisdictions.
The instrument terms and conditions across 60+ attributes sit within a single data model, allowing easy mapping of RPOs to risk factors.
Standardised Approach
Sensitivities Based Method Data – Refinitiv provides the data fields at the instrument level that banks need to calculate their capital requirements under the Sensitivities Based Method, including risk class, risk bucket, and risk weight. Refinitiv also delivers full transparency by providing the data fields necessary to calculate these three fields.
Funds Look-Through Approach Data – Banks can access an up-to-date list of individual constituents and weights for the relevant funds in their portfolios. This includes identification of UCITs and alternative funds.
Index Look-Through Approach Data: –Banks can access to individual constituents and weights for listed equity or credit indices.
Webinar
Experts across the industry explore how to prepare for - and comply - with the Fundamental Review of the Trading Book (FRTB) regulation in 2023 and beyond.
Why Refinitiv?
Deploy high-quality and transparent data that is compliant with FRTB regulatory obligations.
Use Refinitiv data in the bank’s in-house FRTB analytics, or within a third-party FRTB calculation engine.
Purchasing FRTB data from Refinitiv is often easier and less expensive than trying to harvest that data internally.
Engage with the expertise of Refinitiv Professional Services around the globe for FRTB data implementation projects
Refinitiv Support Teams are available 24/7/365 around the world, to help with firms with their FRTB data queries
Refinitiv helps firms acquire and manage the data needed to meet the demands of regulatory change.
Expert Interviews
Refinitiv's overall response to the FRTB regulation
Key Takeaways
Find out more
Request details
Call your local sales team
Americas
All countries (toll free): +1 800 427 7570
Brazil: +55 11 47009629
Argentina: +54 11 53546700
Chile: +56 2 24838932
Mexico: +52 55 80005740
Colombia: +57 1 4419404
Europe, Middle East, Africa
Europe: +442045302020
Africa: +27 11 775 3188
Russia and CIS: +7 495 775 1200
Middle East & North Africa: 800035704182
Asia Pacific (Sub-Regional)
Australia & Pacific Islands:
+612 8066 2494
China mainland: +86 10 6627 1095
Hong Kong & Macau: +852 3077 5499
India, Bangladesh, Nepal, Maldives & Sri Lanka:
+91 22 6180 7525
Indonesia: +622150960350
Japan: +813 6743 6515
Korea: +822 3478 4303
Malaysia & Brunei: +603 7 724 0502
New Zealand: +64 9913 6203
Philippines: 180 089 094 050 (Globe) or
180 014 410 639 (PLDT)
Singapore and all non-listed ASEAN Countries:
+65 6415 5484
Taiwan: +886 2 7734 4677
Thailand & Laos: +662 844 9576
We're here for you
Have questions? We're here to help. Talk to a real person and get the answers that matter most.