ISDA Paper on FRTB Rules in Brazil

On March 24, ISDA submitted a paper to Banco Central do Brazil’s (BCB) on its implementation of the revised market risk framework under the Fundamental Review of the Trading Book (FRTB), which represents an important step toward strengthening prudential standards and enhancing supervisory comparability.

At the same time, certain jurisdiction specific methodological choices, limited optionality and prescriptive implementation requirements could materially increase operational and technological complexity, particularly for internationally active institutions operating global trading books. While such features may appear limited in isolation, their combined effect can require parallel calculation frameworks, reduce economies of scale and increase operational risk, without delivering commensurate improvements in risk sensitivity or supervisory insight.

This paper identifies specific aspects of the Brazilian FRTB implementation where refinements could support a more effective and sustainable framework. These include the treatment of alternative sensitivities and curvature risk, calendar and tenor conventions, foreign exchange shock calibration and several other technical and drafting issues. The recommendations outlined are intended as targeted adjustments that remain consistent with the Basel framework and international practice and would materially improve international alignment, operational efficiency,# and the ongoing resilience of market risk capital implementation in Brazil.

Documents (1) for ISDA Paper on FRTB Rules in Brazil

Expanding the Universe of Eligible VM

ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...

ISDA Response on Hedge Accounting Guidance

On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...

Joint Response to EBA Consultation

On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act  under Article 8 of...

Response to JSCC on Clearing Fund Consolidation

On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...