Climate scenario analysis has become a central focus for banks and financial institutions, with regulatory expectations becoming more stringent and firms required to understand and assess both short- and long-term financial risks associated with climate change.
Publication of this Phase II paper follows the development of a conceptual framework published by ISDA in 2023 to identify the main building blocks needed to develop climate risk scenarios for the trading book.
During the second half of 2023, ISDA tested the framework in collaboration with more than 30 member banks and developed three climate scenarios (physical, transition and combined). The output of this initiative includes a detailed set of scenario parameters covering a range of market risk factors, including country and sectors.
Click on the attached PDF to read the full report.
Documents (2) for Climate Scenario Analysis in the Trading Book – Phase II
Latest
Response on Proposed Changes to Transaction Rules
On May 22, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association submitted a joint response to the Australian Securities and Investments Commission's (ASIC) consultation on proposed changes to the ASIC Derivative Transaction Rules (Reporting)...
EBA FRTB-ASA Benchmarking Support for Newly In-scope Banks
A new regulatory requirement is expected to bring additional EU banks into scope for submitting Fundamental Review of the Trading Book (FRTB) Alternative Standardized Approach (ASA) capital as part of the European Banking Authority’s (EBA) benchmarking exercise. ISDA Capital Models...
Joint Letter on Sunset of Swaps TR Rules
On May 20, ISDA, FIA and the Securities Industry and Financial Markets Association (SIFMA) submitted a joint letter to US Commodity Futures Trading Commission (CFTC) to request the CFTC to sunset large trader reporting rules (LTR) rules for physical commodity...
ISDA, SIFMA Letter on SEC-CFTC Harmonization
On May 19, ISDA and the Securities Industry and Financial Markets Association (SIFMA) submitted a joint letter to the US Securities and Exchange Commission (SEC) and the US Commodity Futures Trading Commission (CFTC) on SEC and CFTC harmonization, as part...