On October 13, 2023, ISDA and the Association for Financial Markets in Europe (AFME) submitted a joint letter responding to the European Banking Authority (EBA) on its report on the standardized approach for counterparty credit risk (SA-CCR).
The letter states the associations’ concerns about the significant impact on capital requirements from the current SA-CCR calibration and provides feedback on some of the points raised by the EBA in its report on May 30, 2023. In particular, the letter identifies the impact of a reduced alpha factor for the output floor calculation and how the assessment conducted by the EBA unduly impacts banks that have permission to use the internal model method. Due to the issues in the methodology chosen by the EBA, the letter expresses concerns about the conclusions of the report and urges policymakers to reconsider the SA-CCR calibration.
Documents (1) for Letter to the EBA on SA-CCR
Latest
The ISDA Notices Hub: One Year On
In times of war, armed forces are often required to mobilize over large distances at short notice. The most dreaded response to the question of how they are to be transported is ‘by LPC’, meaning ‘leather personnel carrier’ – the...
ISDA Response to OSC Call for Feedback
On June 26, ISDA responded to the Ontario Securities Commission’s (OSC) consultation on facilitating access to its regulatory framework and reducing the burden for capital markets participants by publishing a machine-readable dataset of regulatory instruments. ISDA's comments are supportive of...
ISDA Comments on EP's MISP Draft Reports
On July 15, ISDA shared comments with policymakers in the European Union on the European Parliament’s (EP) draft reports by Member of the European Parliament (MEP) Markus Ferber and MEP Eero Heinäluoma on the Market Integration and Supervision Package (MISP)....
Building Markets, Creating Opportunity
Deep and liquid derivatives markets are fundamental to the development of well-functioning financial markets and healthy economies. They support lending, investment and financial stability, creating the certainty needed for economic growth. But strong derivatives markets do not emerge by chance....