Content & Data Solutions Regulation
Data consumed Data consistently firm across Consistent & aligned Consistent sourced datasets Bloomberg from lake” Bank “data
Finance/IPV Transparency Transparency data for RFET FRTB “RFET” transparency data “RFET” transparency FRTB with pricing data augments its award-winning Bloomberg to apply banks enabling data, transparency FRTB-specific rules: to FRTB according Test Eligibility the Risk Factor quote counts + committed • Eligible trade information and other • Seasonality pass/fail• RFET flags Risk Pricing data Pricing Bank Enterprise data store Bank Enterprise data Front officeFront Reference data Reference — Terms and conditions, industry classifications, industry classifications, and conditions, Terms — — 10+ years depending on asset class — 10+ years — Listed instruments, bond prices, credit curves, curves, credit bond prices, — Listed instruments,
Internally
derivatives data derivatives Historical data Market data data Market Reference data data Reference structure corporate generated data generated Consistent & aligned datasets sharing a common symbology enable banks to confidently feed multiple a common symbology enable banks sharing & aligned datasets Consistent systems across front-, middle- & back-offices • • • Reference & pricing data & pricing Reference asset classes including: across delivers data Bloomberg Bloomberg offers a suite of data solutions to assist banks with FRTB implementation including comprehensive Test. reference Eligibility to assist with the new Risk Factor data observability FRTB and released recently along with pricing data; award-winning Both SA & IMA approaches present their own challenges, and in order to effectively implement FRTB banks must examine and enhance their risk architecture and governance processes. They will also reconsider the ways in which they acquire, align, and use their reference and marketdata if they are to satisfy some of the more stringent requirements relating to data. In settingthe global standards for Minimum Capital Requirements for Market Risk, the Basel Committee on Banking Supervision has (BCBS) overhauled the Standardized Approach while (SA) also presenting a revised framework for the Internal Models Approach (IMA). A Professional Bloomberg Services Offering FRTB-ready datasets to ease implementation to ease datasets FRTB-ready
of theBook. Trading Fundamental Review Data contributions from clients TRACE, exchanges, etc. Existing contributions + From BBG electronic FRTB related pooling trading systems Data availability surveys and proof-of- concepts have shown that pooling can Public trade Contributed Committed Source alleviate the problem of sparse data repositories trade data quotes data in many markets and thereby minimize the impact of risk factors being deemed non-modellable under FRTB rules. Data processing Advanced Bloomberg is uniquely positioned to Validation, de-duplication, outlier detection, consistency checks, etc. algorithms take a leadership role in industry-wide pooling by leveraging our existing contributions platform.
Benefits include: BVAL pricing Accounting FRTB (IFRS 13, ASC 820) data processing • Industry-wide acceptance + logic Pricing & • Strong governance procedures transparency • Ease of on-boarding data FRTB outputs
Illustrative FRTB use-cases for Bloomberg data Classifications Historical data Bloomberg classification products (BICS, BLCASS) enable industry Bloomberg historical data for cash, listed instruments, and and risk classification of both securities and legal entities, and can derivatives data & analytics provides the history needed for be used to assist with SA bucketing. The same classifications data both bank developed stress-testing scenarios and to enable can be used across IMA for risk aggregation, and as inputs into risk banks to identify the 12-month period used in calculation of factor mapping, and identification of proxies. Expected Shortfall.
Corporate structure Pricing & derivatives data Bloomberg legal entity data can be used across FRTB workflows Enabling clients to feed their systems in a consistent manner to gain insight and enable risk aggregation using instrument- Bloomberg provides: to-entity linkage, issuer/parent, and obligor relationships; and • Bloomberg’s Evaluated Pricing Service (BVAL) provides country of risk. Data can also be used in risk factor mapping, evaluated pricing on 2.5m+ instruments multiple times a day. and identification of proxies. • BVAL OTC for derivatives provides derivatives data and Terms & conditions and other fields analytics across all asset class. Bloomberg provides the data necessary for consistent security • Other pricing sources available including CBBT, BGN, identification across FRTB that aligns with classification, corporate BMRK and prices from all global exchanges. structure, pricing and other data. Bloomberg provides additional datasets and fields to identify securities by relevant economic Learn more and risk characteristics. Learn how we can help your firm automate your data needs. Visit bloomberg.com/FRTB or contact us at [email protected]. FRTB RFET data Bloomberg transparency data provided at the instrument and risk factor level delivers corresponding RFET results, and when used in conjunction with classification, corporate structure and other terms & conditions data, enables clients to map instruments to corresponding risk factors and identify proxies for instruments with sparse observation data.
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