On June 11, 2021, ISDA and the Association for Financial Markets in Europe (AFME) submitted a joint response to the European Banking Authority (EBA) on its consultation on draft regulatory technical standards on gross jump-to-default (JTD) amounts in the default risk charge (DRC) component of the Fundamental Review of the Trading Book standardized approach. The consultation paper specifies how gross JTD amounts are to be determined for exposures in the trading book under the alternative standardized approach for market risk in scope of the DRC for non-securitizations.
The industry is grateful to the EBA for proposing standards that align with the Basel Committee on Banking Supervision. However, it highlights the lack of clarity on the treatment of equity and credit indices and an inconsistency in the treatment of these indices between sensitivity based method and DRC calculations.
Documents (1) for ISDA and AFME Respond to EBA on JTD Amounts
Latest
Trading Book Capital: Scott O'Malia Remarks
Trading Book Capital: Capital Conundrum, Navigating Basel III Endgame February 5, 2026 Welcoming Remarks Scott O’Malia, ISDA Chief Executive Good afternoon, and welcome to ISDA’s Trading Book Capital event – it’s great to be here in New York. We...
ISDA In Review – January 2026
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in January 2026.
ISDA Responds to RBI Unique Transaction Identifier (UTI) Proposals
On November 14, 2025, ISDA submitted comments to a Draft Circular from the Reserve Bank of India (RBI) proposing to mandate the global Unique Transaction Identifier (UTI) for all transactions in OTC markets for Rupee interest rate derivatives, forward contracts in Government...
How and Why Pension Funds Use Derivatives
With over $58 trillion in assets globally, pension fund managers are major participants in financial markets and play a vital role in helping to provide post-retirement incomes for plan employees. Meeting such an important goal requires careful consideration of investment...