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
Joint Response on RBA Consultation
On August 11, ISDA and FIA submitted a joint response to the Reserve Bank of Australia (RBA) on its consultation on guidance for Australia’s clearing and settlement facility resolution regime. The associations welcome publication of the draft guidance, which provides...
SwapsInfo H1 2025 and Q2 2025
Interest rate derivatives (IRD) trading activity increased in the first half of 2025, driven by continued interest rate volatility, evolving central bank policy expectations and persistent macroeconomic uncertainty. Trading in index credit derivatives also rose, as market participants responded to...
ISDA Response to IFSCA Consultation
On August 5, ISDA responded to the International Financial Services Centres Authority’s (IFSCA) consultation on reporting and clearing of over-the-counter (OTC) derivatives contracts booked in International Financial Services Centres (IFSC). In the response, ISDA provided the following recommendations: Not mandating...
ISDA Response to BIS on Tokenization
On July 30, ISDA submitted a response to a Bank for International Settlements (BIS) consultation on leveraging tokenization for payments and financial transactions. In the response, ISDA focused on the legal, regulatory and documentation issues relevant to the derivatives market,...