Regulatory Data

LSEG Trade Discovery (FRTB)

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  1. Overview
  2. Features & benefits
  3. How it works
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An overview of LSEG Trade Discovery (FRTB)

Fundamental Review of the Trading Book (FRTB) is the revised global market risk framework defined by the BCBS (Basel Committee on Banking Supervision) to address known issues in the current regulatory framework. FRTB requires banks adopting their own models (Internal Models Approach) to pass the Risk Factors Eligibility Test (RFET), this compliance test aims to assess the level of liquidity associated with risk factors used in their market risk models. The Trade Discovery product supports banks adopting their own models to comply with the RFET by providing trade and committed quote observations for cross-asset class instruments, both exchange traded and OTC, sourced from exchanges, regulated trading platforms, and market infrastructure providers.

Key Facts 

  • Geographical coverage
    Global
  • History
    From 2019
  • Data format
    JSON
  • Delivery mechanism
    API
  • Data frequency
    Daily

Features & Benefits

What you get with LSEG Trade Discovery (FRTB)

  • Our Trade Discovery delivers cross-asset trade observations at instrument level including both exchange traded and OTC. Each such trade or quote observation include trade data fields, such as the trade execution and publication dates, the underlying instrument identifiers (RIC and ISIN) and a unique observation permanent identifier, as well about 60 T&Cs attributes, that include issuer details, product classification, maturity, optionality, rates and credit attributes.
  • Trading Venues include a selection of Exchanges, MiFID II venues, MSRB, FINRA and OTC cross asset classes packages with trade data sourced from the main global Market Infrastructure Providers (LCH, Tradeweb, LSEG FXALL, BGC Fenics).
  • Data is delivered either via the Trade Discovery product via daily output files for each relevant content package in scope. In addition, Trade Discovery provides access to 1 year of historical data for each content package in scope.
  • Customer can get access to the output files stored into the Client Files Store via the related API.

RELEVANT USE CASES

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How it works

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

DETAILED DATA SUPPORT

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