ICE Data Services’ flexible data and technology solutions to help navigate FRTB compliance

In January 2019, the Basel Committee on Banking Supervision (BCBS) published its final framework related to the minimum capital requirements for market risk under the Fundamental Review of the Trading Book (FRTB).

The rule, which takes effect January 2022, is focused on strengthening capital standards and creating a more resilient banking sector. While the final standards are more accommodative with regard to the capital surcharges imposed on banks, they still include stringent market data requirements as part of the internal model approach (IMA) and for identification of risk factors that are eligible for internal modelling i.e. the Risk Factor Eligibility Test (RFET).

An integrated service combining expertise and infrastructure from ICE Data Services to help tackle FRTB data challenges:

Extensive Historical Data & Analytics

More than 10 years of historical data and coverage across all broad asset classes. Our end-of-day evaluated pricing offering (including volatility surfaces and cubes), Liquidity Indicators TM service, historical tick history data and other transparency tools support a variety of FRTB related use-cases such as back-testing, independent price verification and market liquidity assessments

Modellable Risk Factor and Observation-Level Data Service

Our market information infrastructure includes transaction and committed quote data for cross-assets. Get access to full year of real price observation level data and RFET specific analytics

User Flexibility

Users can configure risk factor buckets to match and commingle observation level data with their internal data and requirements

Find out more about our FRTB Alpha service
for Interest Rates, Credit Default Swaps and Foreign Exchange