This letter contains the response of the International Swaps and Derivatives Association, Inc. (“ISDA”) and the Association forFinancial Markets in Europe (“AFME”) to the European Banking Authority’s (“EBA”) Consultation Paper on Draft RTS on non- delta risk of options in the standardised market risk approach under Articles 318(3), 341(6) and 347(4) of the draft Capital Requirements Regulation. The accompanying response is the result of a thorough three month industry consultation process involving a wide range of industry representatives. It is reflective of the industry consensus on this topic and aims at being asconstructive as possible in seeking a proportionate outcome.
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