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
Marking a Milestone - IQ January 2025
It was a different time and a very different market, but 1985 remains a seminal year in the history of over-the-counter (OTC) derivatives – the year that ISDA was established and the very first industry standard document was published. While...
Response to FCA on SI Regime
On January 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association (GFMA) responded to questions from the UK Financial Conduct Authority (FCA) on the future of the systematic internalizer (SI) regime. In the response,...
Response to CSA on Clearing Obligation
On December 19, ISDA submitted a response to the Canadian Securities Administrators (CSA) consultation on proposed amendments to the clearing obligation in Canada. The CSA invited comments on the proposed amendments and on the specific question set out in Annex B...
Derivatives Regulations and Usage in Japan
Japan’s regulatory landscape has generally been supportive of derivatives use by various segments of the buy side. While there are some guidelines on the purposes for which derivatives can be used by certain entities, which are not unique to Japan,...