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 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
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.
March 26 - 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