FRTB CIU Classifier
FRTB CIU Classifier analyzes fund documentation and regulatory disclosures to determine the appropriate FRTB classification for Collective Investment Undertakings. It applies regulatory decision logic, produces a confidence score, and generates a transparent rationale supported by collected evidence. The agent assists insurance firms in preparing consistent, auditable classifications while keeping the final decision under human review.
Purpose
This agent supports the classification of Collective Investment Undertakings (CIUs) under the Fundamental Review of the Trading Book (FRTB). It automates evidence collection, applies regulatory decision logic, and generates a proposed classification with full traceability to support expert review and regulatory compliance.
Primary users
The primary users are insurance investment teams, risk management teams, regulatory reporting teams, Solvency II specialists, and financial institutions responsible for fund classification and capital calculations.
Where it fits (process/stage/trigger)
It fits during regulatory reporting, fund onboarding, investment portfolio reviews, Solvency II assessments, and FRTB classification exercises. It is triggered whenever a new fund must be classified or an existing classification must be reviewed.
Key capabilities / workflow
The agent extracts mandate and instrument characteristics from fund prospectuses and regulatory disclosures, assesses liquidity and trading intent indicators, evaluates FRTB eligibility and constraints, applies an Article 104-style decision logic, and proposes a classification with a confidence score. It also generates a detailed rationale using all available evidence and supports human-in-the-loop validation when additional review is required.
Inputs
Inputs include fund prospectuses, regulatory disclosures, mandate documentation, instrument characteristics, liquidity information, trading indicators, and supporting regulatory references.
Outputs / Deliverables
Outputs include a proposed FRTB classification, confidence score, eligibility assessment, evidence-based rationale, regulatory traceability report, and human review recommendations.
Value
The agent reduces manual regulatory analysis, improves consistency of FRTB classifications, strengthens auditability, and helps insurers prepare for evolving Solvency II and external audit requirements while maintaining expert oversight.