On January 16, ISDA and the Securities Industry and Financial Markets Association (SIFMA) submitted a joint response on the US Basel III ‘endgame’ notice of proposed rulemaking (NPR). The response focuses on the Fundamental Review of the Trading Book (FRTB), the revised credit valuation adjustment (CVA) framework, the securities financing transactions requirements and elements of the standardized approach to counterparty credit risk rules.
Based on an industry quantitative impact study with input from eight US global systemically important banks, the proposed FRTB and CVA framework would result in a 129% increase in market risk and CVA risk-weighted assets under the new expanded risk-based approach versus the current US standardized approach.
In the response, the associations propose a number of calibration changes to ensure the rules are appropriate and risk sensitive and avoid adverse consequences to US capital markets.
Documents (1) for ISDA and SIFMA Response to US Basel III NPR
Latest
ISDA AGM Studio: Jacques Vigner, BNP Paribas
Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...
ISDA AGM Studio: Future Leaders in Derivatives
Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...
Australian Superannuation Funds Use of Derivatives
The funds under management (FUM) of Australian superannuation funds have grown substantially since legislation was introduced in 1992 requiring employer contributions. Over the past five years, total FUM has climbed from approximately A$2.3 trillion ($1.44 trillion) to A$4.1 trillion and...
ISDA AGM Studio: Caroline Pham, CFTC
Caroline Pham, acting chair at the US Commodity Futures Trading Commission, speaks to ISDA CEO Scott O’Malia about her first 100 days in the role and the uncertainty in global markets following recent volatility.