FRTB Implementation & Structured Products (LUKB)

As part of the FRTB rollout, our client faced the task of implementing regulatory requirements consistently across asset classes. Parts of the calculation logic were developed by an offshore vendor, which increased the need for validation, quality assurance and business alignment. At the same time, structured products such as BRCs, autocallables and soft callables had to be valued correctly and integrated into trading, risk, accounting and core banking systems.

The focus was on optimising capital requirements through a precise business and regulatorily robust implementation. Sound validation of FRTB calculations and sensitivities enabled realistic risk measurement and avoided unnecessary capital backing. Consistent system integration also reduced alignment effort between trading, risk and finance. The business case: regulatory security, greater transparency and more efficient capital use with a direct impact on profitability and steering capability.

The FRTB transformation offered the chance to harmonise valuation models, sensitivity logic and data flows across all asset classes. Challenges lay in coordinating with the external vendor, validating complex model assumptions and in comprehensive interface and regression testing. Particularly demanding was the regulatorily consistent treatment of structured products across trading, market risk and accounting.

We took on central FRTB coordination and ensured consistent implementation across all asset classes. Regulatory calculations were reviewed in detail, sensitivities validated and end-to-end tests carried out across all interfaces. Valuation logic for structured products was sharpened from a business perspective and implemented robustly in the systems. The result: a regulatorily robust, integrated FRTB solution in production.

We combined deep FRTB and product understanding with technical validation and implementation expertise. From business analysis through vendor steering and testing to productive rollout, we supported the project end-to-end – as the link between business, risk, finance and IT.

If you want to implement FRTB not only formally but in a regulatorily optimised and systemically clean way, talk to us. We ensure your capital requirements are reflected in a business-sound and technically robust manner.