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
October 15, 2015
Consideration of Accounting Analysis for CCP Recovery and Continuity Tools
This paper examines some factors that central counterparties (CCPs) should consider in structuring partial tear-up methodologies so as not to contravene rules on offsetting under the applicable accounting standards, which would render cleared derivatives uneconomical. The paper notes that CCPs can structure partial tear-up in a number of ways. Whatever the structure, the CCP’s methodology for partial tear-up should be transparent, written in its rule book, available to all potentially affected parties and should respect US GAAP and IFRS accounting standards.
ISDA Accounting Committee_CCP Recovery tools White Paper -  Oct 13 2015 FINAL.pdf
October 5, 2015
Joint associations’ response to BCBS consultation on IRRBB
On September 11, ISDA responded jointly with the other associations (IIF/IBFed/GFMA) to the BCBS consultation on interest rate risk in the banking book (IRRBB). The response supports the goal of ensuring that banks continue to manage IRRBB effectively, and that appropriate transparency is achieved to properly gauge banks’ IRRBB exposure. However, it reiterates these goals can be pursued within a Pillar 2 and Pillar 3 frameworks. Given the nature of IRRBB, the industry does not believe that a Pillar 1 approach is appropriate.
BCBS IRRBB response - Final.pdf
October 5, 2015
Joint associations’ response to BCBS consultation on the CVA review
On October 1, ISDA responded jointly with other associations (GFMA/IIF) to the Basel Committee on Banking Supervision consultation on the review of the credit valuation adjustment (CVA) framework. In the response, the industry i) welcomes the BCBS decision to revisit the current CVA framework and to incorporate CVA into the revised market risk framework (ie, within the Fundamental Review of the Trading Book); and ii) believes that the proposed framework is a step in the right direction towards achieving the BCBS goals of risk sensitivity and simplicity, subject to certain modifications. The response then provides a number of recommendations that, if considered together, will facilitate the swift and smooth finalization of the CVA framework review.
Trade Associations Response - BCBS CVA CP - FINAL.pdf
July 13, 2015
CCP Resilience: Letter to CPMI-IOSCO on CCP Stress Testing
May 14, 2015
ISDA/GFMA/IIF letter on the Fundamental Review of the Trading Book
On May 1, 2015, the joint associations (ISDA/GFMA/IIF) submitted a letter on the Fundamental Review of the Trading Book (FRTB) to the Chairman of the Basel Committee on Banking Supervision (BCBS) and the Chairman of the Group of Governors and Heads of Supervision (GHOS). The letter highlights the Importance of assessing the impact of the design and calibration of the FRTB in advance of finalizing the framework.
ISDA GFMA IIF Letter on FRTB.pdf
April 27, 2015
ISDA/AFME letter on the EBA CVA report recommendation 15
On April 27, ISDA and AFME submitted a letter to the European Banking Authority (EBA) and the Basel Committee on Banking Supervision regarding recommendation no. 15 of the EBA’s credit valuation adjustment (CVA) report on the framework under development at the Basel level. In general, the industry is very supportive of the EBA’s policy recommendation no. 15, and our members are keen to engage with the regulatory community on the different aspects of the framework as soon as possible.
20150427 - Trade Associations Letter on EBA CVA Report re Basel Recommen....pdf
April 23, 2015
Briefing Notes: Fundamental Review of the Trading Book
ISDA has published Briefing Notes on the Basel Committee's Fundamental Review of the Trading Book (FRTB), which summarises the main components of the FRTB and highlights areas where further attention may be required. In particular, ISDA believes an additional quantitative impact study is required to comprehensively evaluate the impact of the rules and ensure they are consistent and coherent before finalisation of the policy framework.
FRTB Briefing Notes FINAL.pdf
April 17, 2015
ISDA letter on IM haircutting
CCP recovery and continuity is essential for systemic stability and is preferable to clearing service termination. ISDA believes initial margin haircutting undermines the objective of CCP recovery and continuity, as it creates the wrong incentives for clearing participants.
IM Haircutting Letter - April 17 2015.pdf
April 1, 2015
Joint Association response to the BCBS capital floors consultation
On March 27, ISDA responded jointly with other associations (IIF/GFMA/CREFC) to the Basel Committee on Banking Supervision consultation on capital floors.
Standardized Approach Capital Floors Final Comment Letter.pdf
March 23, 2015
ISDA/GFMA/IIF letter on the net stable funding ratio (NSFR)
On March 20, the associations (ISDA/GFMA/IIF) submitted a joint letter to both the co-chairs of the Basel Committee on Banking Supervision working group on liquidity and the Financial Stability Board, supporting the further review of the treatment of margining of derivatives in the NSFR and encouraging regulators to conduct additional quantitative analysis and consider alternative approaches, if necessary.
letter to co-chairs BCBS Working Group on Liquidity 20 March 15.pdf