On January 31, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Basel Committee on Banking Supervision’s proposed technical amendment on counterparty credit risk (CCR) hedging exposures. The associations believe the proposed changes to the treatment of CCR hedges are unnecessary, as the current substitution method is already very conservative and the new calculation would be complex and burdensome. The associations also believe the calibration of the potential future exposure (PFE) multiplier in the standardized approach to counterparty credit risk (SA-CCR) is too conservative and should be recalibrated before imposing changes in the technical amendment. In addition, the proposed alignment between collateral and credit derivatives fails to establish consistent treatment. The associations are concerned that the technical amendment may discourage the use of credit risk mitigation instruments, which are crucial for managing counterparty credit risk exposures.
Documents (1) for ISDA and IIF Response on Counterparty Credit Risk Hedging
Latest
ISDA Response to ESMA on CCP Model Validation
On April 7, ISDA responded to the European Securities and Markets Authority’s (ESMA) consultation on draft regulatory technical standards (RTS) under article 49(5) of the European Market Infrastructure Regulation (EMIR), on the conditions for an application for validation of model...
Scott O'Malia Testimony on US Treasury Clearing
On April 8, ISDA CEO Scott O'Malia testified on the implementation of mandatory US Treasury clearing before the US House of Representatives Committee on Financial Services Task Force on Monetary Policy, Treasury Market Resilience, and Economic Prosperity. “The US Treasury...
Joint Letter on Changes to French General Tax Code
On March 31, ISDA, the Association for Financial Markets in Europe (AFME) and the International Securities Lending Association (ISLA) sent a letter to the French tax authority about changes being made to Articles 119 bis A and 119 bis 2...
Cross-product Netting Under US Capital Rules
ISDA, FIA and the Securities Industry and Financial Markets Association (SIFMA) have developed a discussion paper to: (i) provide an overview of cross-margining programs developed by clearing organizations and their importance in the context of implementing recent market reforms with...