On February 29, ISDA and the Association for Financial Markets in Europe (AFME) submitted a joint response to the European Banking Authority’s (EBA) consultation on draft regulatory technical standards on the conditions for assessing the materiality of extensions and changes to the use of internal models under the Fundamental Review of the Trading Book (FRTB).
The associations highlight the importance of having qualitative and quantitative criteria in the rules that are proportionate and do not lead to unnecessary operational burdens that reduce the adoption of the internal models approach (IMA). The qualitative and quantitative criteria aim to determine whether model changes or extensions are material and require further review from the competent authorities.
The associations believe the suggested thresholds for both material model changes and extensions for changes in the subset of modellable risk factors require further review and provide recommendations for the thresholds. In addition, the suggested qualitative criteria for material model changes, particularly those related to a change to the structure of a desk or a change in the business strategy of a desk, should be placed under the additional information category. The associations also suggest the assessment and ex-ante notification period should be shortened.
Documents (1) for ISDA Responds to EBA on Changes to IMA under FRTB
Latest
Recognition of Cross-product Netting is Critical
US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...
ISDA, GFXD Response to FCA on SI Regime
On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...