Regulatory Data

LSEG Trade Discovery (FRTB)

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
  • History
    From 2019
  • Data format
  • Delivery mechanism
  • Data frequency

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 data direct from Brokers.
  • Data is delivered either via the Trade Discovery GUI or daily via output files stored into the LSEG Data Platform Client File Store, whereby each daily file contains the trade observations published by a given content package. 1 year of historical data is additionally provided for each content package in scope. Historical data is also stored in the Client File Store as output files and each such file contains the trade observations published on a given day of the history.
  • Customer can get access to the output files stored into the Client Files Store via the related API.

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.

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