ISDA revises licensing program for SIMM. The International Swaps and Derivatives Association announced revisions to the licensing program for its Standard Initial Margin Model for non-cleared derivatives that will allow any market participant to license ISDA SIMM to calculate initial margin for its own or its clients’ non-cleared derivatives transactions, subject to an annual licensing fee. (4/5/2016) ISDA press release.
IOSCO updates information repository for central clearing requirements for OTC derivatives. The International Organization of Securities Commissions updated its information repository for central clearing requirements for OTC derivatives in different jurisdictions. (4/1/2016) IOSCO press release.
Basel Committee report analyzes variability of risk-weighted assets. The Basel Committee on Banking Supervision published its second report on risk-weighted assets in the banking book, which examines the variability of risk-weighted assets in banks that use internal models to calculate their credit risk regulatory capital requirements in an effort to ensure effective implementation of the Basel III framework. The report found greater variation between parameters estimated using credit risk models and actual outcomes at the individual bank level as well as wide variation in bank practices in estimating exposure at default for all asset classes. (4/1/2016) BIS press release.
ISDA concludes Determinations Committees selection process and announces outcome. ISDA announced the firms recently selected to serve on the five regional Determinations Committees. The firms will serve on the DCs effective April 29, 2016. (4/1/2016) ISDA press release.
FSB discusses 2016 priorities at Tokyo meeting. The Financial Stability Board met in Tokyo on March 30-31, 2016, to discuss its approach to its 2016 priorities, which include implementing post-crisis reforms, addressing new and emerging vulnerabilities in the financial system, and promoting robust financial infrastructure. The FSB agreed to undertake a public consultation later this year regarding policy recommendations to address structural vulnerabilities from asset management activities. (3/31/2016) FSB press release.
ISDA OTC Derivatives Compliance Calendar. ISDA issued an updated OTC Derivatives Compliance Calendar. (3/31/2016)
Basel Committee consults on changes to internal ratings-based approaches to address excessive variability in credit risk-weighted assets. The Basel Committee published a consultative document that proposes changes to the advanced internal ratings-based approach and the foundation internal ratings-based approach under the Basel framework. The proposed changes would remove the option to use the internal ratings-based approaches for certain exposure categories, including loans to financial institutions; adopt exposure-level, model parameter floors; and provide greater specification of parameter estimation practices. Comments are due on or before June 24, 2016. (3/24/2016) BIS press release.