Fundamental Review of the Trading Book

A customized approach to a global challenge

FRTB presents a global challenge, but a one-size-fits-all approach will not suffice. Banks of all sizes and regions have unique needs when it comes to complying with FRTB regulations. To help you navigate the complexities of FRTB, Bloomberg delivers customized enterprise data and analytics solutions. Our team of regulatory specialists understand the nuances of FRTB implementation across jurisdictions, ensuring you have the right tools to meet your specific requirements with confidence.

Bespoke Solutions

Whether you require FRTB-ready market data, a reliable risk analytics engine or a full end-to-end workflow, Bloomberg can customize a package to meet your needs.

Interconnected FRTB-Ready Data

We provide scalable, enterprise access to high-quality, comprehensive data covering both the Standard Approach and Internal Model Approach to help banks gain approval for their models while minimizing add-on capital charges.

Bloomberg’s FRTB Data Solution spans regulatory data, funds data, pricing data and reference data which are necessary to compute the impact of FRTB across the entirety of banks’ portfolios and operations. Firms can access this solution via Data License for enterprise-wide use at data.bloomberg.com

Regulatory Data

• Asset category and risk weight per SA bucketing rules
• Default risk weight for DRC calculation
• Fund data points to assess Look-Through eligibility
• Fund data points to apply Index Benchmark Approach
• Index data point for opt-out Look-Through approach
• RFET data on Trades/Committed Quotes to assist with IMA

Reference data

• Terms & conditions data
• Classifications data
• Corporate structure and credit risk information
• Index constituent and fund-holdings data

Pricing & derivatives data

• Bloomberg’s Evaluated Pricing service (BVAL) for fixed income
• Issuer and sector curves based on BVAL pricing
• OTC derivatives data & analytics
• Listed derivatives from all global exchanges

MARS Risk Analytics

Bloomberg’s Multi-Asset Risk System (MARS) provides analytics to measure risk and calculate capital requirements for the Standardized Approach and the Internal Models Approach, tailored to your specific jurisdiction.

Standardized Approach - Analytics

• Risk Factors in line with FRTB guidelines
• Consistent Delta, Vega, and Curvature via Bloomberg pricers
• Jump to Default scenarios for Default Risk Charge (DRC)
• Exotics and notional for Residual Risk add-on (RRAO)

Standardized Approach - Capital Models

• Capital models for all major jurisdictions
• Flexible capital framework to incorporate regulatory changes
• Validated through unit tests and regulatory benchmarking

Internal Models Approach

• Expected shortfall (ES) at multiple horizons
• Risk Factor Eligibility Test (RFET) coverage
• Rigorous backtesting and model validation

Watch the video below to hear our regulatory experts explain how FRTB works and discuss the benefits and challenges of using the Standardized Approach and the Internal Models Approach to calculate market risk.

Download our product guides to learn more

Thought leadership

Expert FRTB analysis and commentary.

Awards

Recognised excellence in FRTB solutions.