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
ISDA Omnibus Canadian Representation Letter
On September 2, ISDA published the Omnibus Canadian Representation Letter, which combines previously published representation letters drafted to assist firms in compliance with Canadian trade reporting, business conduct, regulatory margin and clearing classification rules. The Omnibus Canadian Letter is designed...
Joint Response on Cross-margining
On August 31, ISDA and FIA submitted a letter to the US Commodity Futures and Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) on the agencies’ joint request for comment on the implementation of portfolio margining and cross-margining...
Accounting for Carbon Credits: Latest Developments
This paper updates and extends the analysis set out in ISDA’s October 2023 paper on accounting for carbon credits. While preserving the original focus on the accounting treatment of voluntary carbon credits (VCCs) and compliance carbon credits (CCCs), it expands...
Response to SEC on FICC Guaranty Fund
On September 1, ISDA and FIA submitted a joint response to the US Securities and Exchange Commission (SEC), supporting the Fixed Income Clearing Corporation’s (FICC) proposal to establish a dedicated guaranty fund at its government securities division (GSD). FICC had...