Refinitiv Trade Discovery

FRTB (Fundamental Review of the Trading Book) is set by the central bankers’ banker (BCBS) and has worldwide global applicability. The objective of FRTB is to provide strict guidelines for capital requirements calculation for offsetting risks that banks have in their “Trading Book”. The scope of the regulation applies to all instruments in the “Trading Book” – essentially if it’s traded the product is in scope of the regulation, so it covers both securities and derivatives across all major asset classes (Rates, Credit, Equities, FX, Commodities). The largest global and regional banks will implement FRTB by using their own market risk models (Internal Models Approach) and all the relevant eligible desks will have to pass a liquidity test  for their risk factors named “Risk Factor Eligibility Test” (RFET), which aims to ensure that any given risk factor shows a sufficient trading activity and as such it is considered “Modellable”.

Refinitiv Trade Discovery is the LSEG solution for helping customers to comply with the RFET test, by delivering processed Real Price Observations at instrument level for:

  • OTC markets subject to transparency initiatives, which include MiFID II APAs and Trading Venues, FINRA TRACE in the US
  • OTC markets not transparent, mainly APAC and Americas markets, via direct contributions provided by the biggest global market infrastructure providers, such as LCH, Tradeweb, the Refinitiv FXALL trading platform and the biggest global Inter Dealer Brokers
  • A number of select exchanges supported in Refinitiv, from which the product sources exchange traded derivatives and securities related to emerging and developed markets. 

The Trade Discovery solution has the following features:

  • It delivers RPOs at instrument level that include many instrument Terms and Conditions attributes. This approach provides the maximum  level of flexibility as customers can use instrument attributes to implement their own methodology for instruments to risk factor mapping as well as for risk factors bucketing. The Trade Discovery GUI allows users to implement bespoke bucketing rules based on different attributes of the RPOs data model.
  • RPOs data are packaged in different output data packages available for customer subscription, each related to a specific asset class.
  • RPOs are “processed”, meaning that the Trade Discovery solution handles trade events (cancellations) and it delivers a single RPO for any given instrument and any given day.



“ To get started, visit the Refinitiv Data Platform APIs for instructions on how to access the platform services”. In addition, the “Documentation” tab on this page includes a guide that provides details on the News API working environment and supporting resources. It is intended for software engineers and users of RDP who are familiar with the general principles of APIs.