Risk Management

ISDA’s Risk Management Team works with members, regulators and policy makers to develop rules which ensure that appropriate, prudent and risk sensitive capital charges are applied uniformly to the various financial risks faced by the industry. The group continually seeks to define best practice in each area and assist all stakeholders in achieving this.

Click here for additional and archived risk management materials.


DateTitle / DescriptionDocuments
August 22, 2014
ISDA letter to the ESAs on Estimates of numbers of accounts affected by IM segregation requirements, to demonstrate operational challenges
The margin rules proposed by the European Supervisory Authorities (the "ESAs") require IM to be segregated from proprietary assets on the books and records of a third party holder or custodian, or via other legally effective arrangements. In addition, the rules require cash IM to be segregated individually, unless other legally effective arrangements are in place to segregate it from proprietary assets. Several additional clarifications and issues are described in the letter sent by ISDA to the ESAs in July 20143. As proposed, we illustrate below the unintended consequences arising from the IM segregation requirements.
ESAs Deliverable_IA Seg Estimates_ 08222014v2 (2).pdf
August 22, 2014
ISDA letter to the ESAs on Proposed Margin Rules
ISDA is concerned about the practical consequences of certain provisions of the margin requirements under the Draft RTS on risk-mitigation techniques. These concerns were raised in brief in the letter we sent to the ESAs on 14 July commenting generally on the Draft RTS (the “July Letter”). This letter is intended to provide further detail and we would welcome the opportunity to discuss this further with the ESAs.
ICM-#20179443-v8-ISDA_Letter_-_Margin_RTS (2).pdf
August 18, 2014
ISDA letter to BCBS/IOSCO on timing issues for margin rules for uncleared derivatives
ISDA member firms participating in the industry-led WGMR implementation initiative are concerned about the market’s ability to meet an implementation date of December 2015. This concern is based not only on the significant infrastructural changes required of market participants but also due to the significant coordination effort required of global regulators. In summary, ISDA proposed that rules become effective two years after rules are clarified and finalized in Europe, Japan, and USA. ISDA also proposed a phase-in schedule for upcoming Variation Margin (VM) requirements and urged regulators to avoid imposition of implementation dates during the year end code freeze periods. Based on the above, the practical start date of the WGMR requirements would be April 2017.
WGMR MarginTiming final 18082014 (2).pdf
August 18, 2014
ISDA letter to the ESAs on Proposed Margin Rules: Documentation Requirements
ISDA is concerned about the documentation that is required for parties to qualify for exemptions from the margin requirements under the Draft RTS on risk-mitigation techniques. This documentation is not required by Regulation (EU) No 648/2012 ("EMIR") and imposing such requirements would result in very significant administrative and operational burdens. In the letter, we set out proposed alternative language that could be used to permit exemptions without documentation requirements. This letter is a supplement to the letter we sent to the ESAs on 14 July commenting generally on the Draft RTS.
ISDA_Letter_re_EU_Margin_Documentation 18082014 final (3).pdf
August 17, 2014
ISDA letter to the ESAs on Proposed Margin Requirements: Analysis of Currency Mismatch Haircut
ISDA is concerned about the haircut for a currency mismatch that is proposed in the Consultation Paper on margin and has prepared the attached analysis and counter-proposal.
EMIR_Margin_RTS_Response_-_FX_Haircut_Cover_Letter 17082014.pdf ISDA_-_EMIR_Margin_-_FX_Haircut_examples final 17082014.pdf
July 31, 2014
ISDA/GFMA/IIF further response to the BCBS’s TBG on sensitivity based approach (firm wide quantitative impact study)
On July 31 ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted to the Trading Book Group (TBG) of the Basel Committee on Banking Supervision (BCBS) a technical paper on the sensitivity based approach as a further response to the firm-wide quantitative impact study (QIS) instructions on the Fundamental Review of the Trading Book (FRTB). This letter followed a detailed industry response submitted on July 17.
Trading Book QIS instructions_BCBS_20140731_SBA-Negative Variance.pdf
July 17, 2014
ISDA/GFMA/IIF response letters to the BCBS’s TBG on the firm-wide FRTB QIS instructions
On July 17, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted to the Trading Book Group (TBG) of the Basel Committee on Banking Supervision (BCBS) a detailed response letter to the firm-wide quantitative impact study (QIS) instructions on the Fundamental Review of the Trading Book (FRTB). This letter followed a preliminary industry response submitted on July 8.
Trading Book QIS instructions_BCBS_20140717_detailed response.pdf Trading Book QIS instructions_BCBS_20140708_preliminary response letter    .pdf
June 4, 2014
ISDA/GFMA/IIF further response to the BCBS’s TBG on non-modellable risk factors (second consultative document on the FRTB)
On June 4, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted to the Trading Book Group (TBG) of the Basel Committee on Banking Supervision (BCBS) a discussion paper on the modellability of risk factors as a further response to the second consultative document on the Fundamental Review of the Trading Book (FRTB).
BCBS_FRTB_Non modellable risk factors_Final.pdf
May 22, 2014
ISDA/GFMA/IIF letter to the BCBS’s TBG on the timeline for a firm-wide QIS in support of the FRTB
On May 22, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted a letter to the Trading Book Group (TBG) of the Basel Committee on Banking Supervision (BCBS) to express industry concerns regarding the proposed timeline for running an industry-wide quantitative impact study (QIS) on firms’ actual portfolios, in support of the Fundamental Review of the Trading Book (FRTB). ISDA, GFMA and IIF propose an implementation framework and additional steps before the launch of a firm-wide QIS.
FRTB QIS timeline note_Final.pdf
May 9, 2014
ISDA/AFME response to the EBA's 'Draft RTS on the margin periods of risk used for the treatment of clearing members’ exposures to clients'.
ISDA/AFME response to the European Banking Authority’s (EBA) Draft regulatory technical standards on the margin periods of risk used for the treatment of clearing members’ exposures to clients. Also attached for reference is ISDA’s response to an EBA survey on capital requirements for clearing members’ exposures to clients.
Joint Letter EBA Consultation re RTS on MPOR for Client Exposures (9May1....pdf ISDA Response to EBA Survey re CRR Art 304.pdf