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).