FRTB CIU Classifier
Purpose
FRTB CIU Classifier supports the classification of collective investment undertakings by extracting mandate and instrument characteristics from official fund documentation, assessing liquidity and trading-intent indicators, evaluating FRTB eligibility and constraints, and producing a proposed Trading Book or Banking Book classification for review.
Primary users
The primary users are external client-facing users working with banking or fund data provider contexts, with a noted possible adaptation for insurance use cases related to identifying CIU classification across Solvency 2 asset classes.
Where it fits (process/stage/trigger)
The agent fits into regulatory classification and review processes for funds where a lookthrough is not applied, including contexts relevant to insurers regulated under Solvency 2 and potentially becoming particularly relevant from 2027 onward with the external audit of the MVBS.
Key capabilities / workflow
The workflow extracts key fund evidence from prospectuses, KIID/KID documents, factsheets, and regulatory disclosures; assesses liquidity features and trading-intent indicators; evaluates FRTB eligibility and applicable constraints; applies an article 104-style decision logic; and supports human-in-the-loop additions before producing a final proposed classification.
Inputs
Typical inputs are an ISIN identifier and official provider documentation such as prospectuses, KIID/KID documents, factsheets, and regulatory disclosures.
Outputs / Deliverables
The output is a structured JSON containing key fund characteristics, referenced source evidence, liquidity profile analysis, FRTB eligibility assessment, final Trading Book or Banking Book classification, and a confidence score with detailed regulatory rationale.
Value
The agent helps structure and evidence the CIU classification process by combining document-based extraction, regulatory logic, confidence scoring, and explicit rationale, supporting review-ready decisions while allowing human additions when needed.
