FRTB CIU Classifier

Purpose

Determine the appropriate Trading Book or Banking Book classification for a fund position, supported by traceable evidence and regulatory reasoning.

Primary users

Market risk teams, regulatory reporting teams, trading book governance committees, model risk or control functions, and front-office support for book strategy.

Where it fits (process/stage/trigger)

Used during onboarding of new fund positions, periodic review cycles, pre-trade governance checks, or remediation when classification is challenged by audit or supervisors.

Key capabilities / workflow

It reads prospectus and regulatory disclosures, extracts mandate and instrument characteristics, evaluates liquidity and trading intent indicators, checks FRTB eligibility and constraints, applies Article 104-style criteria logic, then produces a final classification with a confidence score and explicit rationale tied to cited evidence.

Inputs

ISIN identifier and official provider documentation such as prospectus, KIID/KID, factsheets, and other regulatory disclosures.

Outputs / Deliverables

Structured JSON with 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 reasoning.

Value

Improves consistency and auditability of book classification decisions, reduces manual review time, and standardizes evidence-based rationale for governance and regulatory scrutiny.