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
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