On June 20, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted the industry response to the Basel Committee on Banking Supervision’s consultation on proposed revisions to the market risk framework (known as the Fundamental Review of the Trading Book (FRTB)). The changes proposed in the consultation improve the FRTB’s operational robustness, mitigate potentially adverse impacts, and address many of the issues with the FRTB’s initial calibration, particularly for the standard rules.
The revised standardised approach (SA) addresses many shortcomings of the earlier standard. However, the industry believes further changes are necessary – in particular on non-modellable risk factors (NMRFs), which remain an area of concern as the associated capital is still excessive.
Click on the PDF below to read the full submission.
Documents (1) for Industry Submits FRTB Consultation Response
Latest
Expanding Legal Agreement Coverage in the CDM
This paper examines the recent extension of the Common Domain Model (CDM)1 to represent two of the most significant, and previously undeveloped, areas of its legal agreement model: umbrella agreements and contract amendments. Umbrella agreements are widely used to document...
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...