ISDA and AFME Respond to EBA on JTD Amounts

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

ISDA response to ESMA MiFIR Review Consultation

On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...