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
March 26, 2014
Standard Initial Margin Model for Non-Cleared Derivatives: White Paper and Appendix
A whitepaper discussing a Standard Initial Margin Model (SIMM) for Non-Cleared Derivatives was published by ISDA in December 2013. An appendix to the paper discussing Risk Factors and Idiosyncratic Risk was added in March 2014.
SIMM for Non-Cleared Paper & Appendix.pdf
January 31, 2014
ISDA, GFMA & IIF Letter to the Trading Book Group of the Basel Committee on Banking Supervision, providing consolidated industry response to the Second Consultative Document on the Fundamental Review of the Trading Book (FRTB).
This response consolidates prior industry responses (issued successively on Jan 3rd, 6th and 19th, 2014, and listed separately at the ISDA website), by summarizing the main points from previous submissions and interactions, clarifying some of the industry’s positions, and by including a list of questions regarding securitization for further discussion. The major concerns of the industry are with the feasibility of the QIS timetable as currently envisioned, the proposed Standardized Approach and the liquidity horizon component of the Internal Model Approach (which pose significant implementation challenges), and the proposed treatment of credit and model-independent approval process. As such, the letter asks that BCBS consider the industry’s proposals and, if significant revisions in the proposed methodologies were to be undertaken, the industry would greatly appreciate, i) to be informed as soon as possible since significant changes may affect the banks’ ability to participate in the QIS, and ii) the opportunity to comment on such revised proposals.
Jan 31 2014 FRTB Final Response.pdf Attachment 4 - List of GFMA questions regarding Securitization.pdf
January 19, 2014
ISDA, GFMA & IIF Letter to the Trading Book Group of the Basel Committee on Banking Supervision regarding the Second Consultative Document on the Fundamental Review of the Trading Book – capturing market illiquidity, the treatment of credit, the trading book/banking book boundary, the model independent approval process, disclosure requirements and floors
On January 19, the International Swaps and Derivatives Association, Inc. (“ISDA”), Global Financial Markets Association (“GFMA”) and the Institute of International Finance ("IIF") (together “the Associations”), submitted a further industry comment letter on proposed revisions to the Fundamental Review of the Trading Book regarding the capturing of market illiquidity, the treatment of credit, the trading book/banking book boundary, the model independent approval process, disclosure requirements and floors. From an industry standpoint, factoring in market liquidity and the Standardized Approach are the most pressing topics, followed by the treatment of credit and the model independent approval process. This letter discusses the various components of the Associations’ alternative proposals to the Basel Committee on Banking Supervision’s framework. **Updated on January 22**
Industry Letter to the TBG - BCBS 265 Alternative Industry Proposals - 20 01 14.pdf
January 6, 2014
ISDA, GFMA & IIF Letter to the Trading Book Group (“TBG”) of the Basel Committee on Banking Supervision (“BCBS”) re. the Fundamental Review of the Trading Book (FRTB): Request to Revise the FRTB and Quantitative Impact Studies (“QIS”) Timelines
On January 6, the International Swaps and Derivatives Association, Inc. (“ISDA”), Global Financial Markets Association (“GFMA”) and the Institute of International Finance ("IIF") wrote to the TBG of the BCBS to request an extension of the FRTB and QIS timelines amid concerns that the announced timeline for the industry to run QIS and for the FRTB to be completed by the TBG is insufficient to properly strengthen the trading book framework, given the magnitude of the required changes to existing infrastructures and the wide ranging objectives of the TBG.
060114_Joint trade letter to TBG final.pdf
January 3, 2014
ISDA, GFMA & IIF initial Industry Comment Letter to the Basel Committee on the Proposed Revised Standardized Approach of the BCBS Second Consultative Document Fundamental Review of the Trading Book
On January 3, the International Swaps and Derivatives Association, Inc. (“ISDA”), Global Financial Markets Association (“GFMA”) and the Institute of International Finance ("IIF") (together “the Associations”), submitted their initial response on the Proposed Revised Standardized Approach of the Basel Committee on Banking Supervision (“BCBS”) Second Consultative Document Fundamental Review of the Trading Book dated October 2013 (“Fundamental Review” or “FRTB”). The letter focuses solely on the proposed revised standardized framework.
Industry Letter to the TBG - BCBS 265 Revised Standard Approach Proposal.pdf
December 13, 2013
ISDA response to CPSS-IOSCO Consultative report: Public quantitative disclosure standards for CCPs
ISDA responded to the CPSS-IOSCO consultative report on Public quantitative disclosure standards for CCPs issued for comment on October 15. The consultation aims to increase the depth and consistency of quantitative disclosure related to CCPs to allow stakeholders to more comprehensively understand, evaluate and manage the risks inherent with their participation at any given CCP. The ISDA response comments to particular questions detailed in the consultation supporting overall that more detailed and standardized quantitative data, available consistently across CCPs, will foster greater interaction between CCPs and their clearing participants that will promote more robust risk management practices and allow clearing participants to more effectively assess, monitor and manage CCP risk exposures. The Disclosure Framework, issued as response to key consideration 5 of principle 23 of the CPSS- IOSCO Principles for financial market infrastructures (PFMIs), will underpin clearing participant due diligence and risk assessment of CCPs.
ISDA Response to CPSS114 Quantitative Disclosures for CCPs (18Dec13)-.pdf
December 10, 2013
Standard Initial Margin Model for Non-Cleared Derivatives
In order to facilitate the introduction of final BCBS-IOSCO guidelines for margin requirements for non-centrally cleared derivatives, ISDA is proposing a standard initial margin model (SIMM) which could be used by market participants. A common methodology would have several key benefits to the market, such as permitting timely and transparent dispute resolution and allowing consistent regulatory governance and oversight. This whitepaper discusses the model.
SIMM for Non-cleared 20131210.pdf
November 21, 2013
ISDA response to HMT consultation on Secondary Legislation for Non-Bank Resolution Regimes
On November 21, ISDA responded to the HMT consultation that seeks to widen the Special Resolution Regime (SRR) established by the Banking Act 2009 to include central counterparties, among others, as provided by the Financial Services Act 2012. ISDA additionally submitted a response specific to investment firms and banking group companies. The draft secondary legislation accompanying the consultation will be laid before Parliament. Once Parliament has approved those instruments that require approval, the secondary legislation will be made and the new SRR powers will come into force shortly after.
ISDA response to HMT consultation on Secondary Legislation for Non-Bank Resolution Regimes - Investment Firms & BGC (21Nov13).pdf ISDA response to HMT consultation on Secondary Legislation for Non-Bank Resolution Regimes (21Nov13).pdf
November 14, 2013
ISDA, GFMA & IIF further response to the BCBS Consultative Document "The non-internal model method for capitalizing counterparty credit risk exposures"
On November 14, the International Swaps and Derivatives Association, Inc (“ISDA”), the Global Financial Markets Association (“GFMA”) and the Institute of International Finance (“IIF”) (together “the Associations”) sent a further response to the Basel Committee on Banking Supervision (BCBS) Consultative Document "The non-internal model method for capitalizing counterparty credit risk exposures" (June 2013) related to the Definition of Notional Amounts.
BCBS 254 NIMM - Further Response Notional Definitions.pdf
November 8, 2013
ISDA, GFMA & IIF initial Industry Comment Letter on the QIS of the BCBS Second Consultative Document Fundamental Review of the Trading Book
On November 8, the International Swaps and Derivatives Association, Inc (“ISDA”), Global Financial Markets Association (“GFMA”) and the Institute of International Finance ("IIF") (together “the Associations”), submitted their initial response on the Quantitative Impact Study (“QIS”) of the Basel Committee on Banking Supervision (“BCBS”) Second Consultative Document Fundamental Review of the Trading Book dated October 2013 (“Fundamental Review” or “FRTB”). A full and detailed evaluation of the QIS feasibility will follow prior to the January 31, 2014 deadline.
Industry Letter to the TBG - BCBS 265 QIS.pdf