On March 14, 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 (RTS) relating to specific elements of the standardized approach for counterparty credit risk (SA-CCR).
In the response, the associations highlight their concerns about the fragmentation of regulatory requirements relating to SA-CCR across jurisdictions and believe it is crucial to perform a holistic review of the SA-CCR framework at the international level to improve SA-CCR risk sensitivity and minimize the risk of market fragmentation.
The draft RTS provides options to calculate the supervisory delta of commodities. However, there are instances where negative values of the instrument or risk factors underlying an option contract can occur in other asset classes as well. The associations recommend an extension to the application of the λ shift to all asset classes. Furthermore, the associations propose the use of actual front office (FO) deltas or deltas derived from FO prices, such as in the Fundamental Review of the Trading Book. They also highlight that US agencies have proposed an extension of the λ shift to all asset classes, not only commodities. The associations recommend the EBA aligns with the US agencies and extends the scope to all asset classes.
Documents (1) for ISDA Responds to EBA on Standardized Approach for Counterparty Credit Risk
Latest
ISDA Response – ROC Consultation on Revised CDE Version 4
The International Swaps and Derivatives Association, Inc. (ISDA) response to the Regulatory Oversight Committee (ROC) consultation on the harmonisation of critical OTC derivatives data elements (CDE) revised CDE Technical Guidance – version 4, submitted to the ROC on January 24,...
ISDA response to ESMA MiFIR Review Consultation
On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...
Canadian Transaction Reporting Party Requirements
These Reporting Party Requirements establish the hierarchy and tie-breaker logic to determine a single reporting counterparty for Canadian provincial reporting. By leveraging the existing reporting party standard established for reporting to the CFTC, in most cases these rules facilitate submission...
ISDA In Review – June 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in June 2025.