On October 13, 2023, ISDA and the Association for Financial Markets in Europe (AFME) submitted a joint letter responding to the European Banking Authority (EBA) on its report on the standardized approach for counterparty credit risk (SA-CCR).
The letter states the associations’ concerns about the significant impact on capital requirements from the current SA-CCR calibration and provides feedback on some of the points raised by the EBA in its report on May 30, 2023. In particular, the letter identifies the impact of a reduced alpha factor for the output floor calculation and how the assessment conducted by the EBA unduly impacts banks that have permission to use the internal model method. Due to the issues in the methodology chosen by the EBA, the letter expresses concerns about the conclusions of the report and urges policymakers to reconsider the SA-CCR calibration.
Documents (1) for Letter to the EBA on SA-CCR
Latest
Steps to a Vibrant Derivatives Market: SOM Remarks
Steps to a Vibrant and Resilient Derivatives Market December 4, 2025 Remarks at the Mediterranean Partnership of Securities Regulators Scott O’Malia ISDA Chief Executive Officer Good afternoon and thank you to the Mediterranean Partnership of Securities Regulators (MPSR) for...
ISDA Response to BoE on Gilt Market Resilience
On November 28, ISDA responded to the Bank of England’s discussion paper on gilt market resilience. ISDA encourages the Bank of England, before introducing any significant policy changes that would affect the functioning of the gilt repo market, to consider...
Addressing Termination Troubles
When Enron announced a shock $618 million loss on October 16, 2001, it took a further 47 days until it filed for bankruptcy. For Bear Stearns, it took 266 days between its bailout of a structured credit fund run by...
ISDA In Review – November 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in November 2025.