Under the Fundamental Review of the Trading Book (FRTB) regulation, banks opting to use an own-models approach to calculating market risk capital requirements will need vast amounts of historical data on the markets they trade for their model inputs. Where risk factors are deemed non-modelable—because they trade infrequently, or cannot be traded—banks face punitive add-ons to their capital requirements. Smaller markets, where liquidity can be thin or patchy, are likely to be responsible for the