Publication of this Phase II paper follows the development of a conceptual framework published by ISDA in 2023 to identify the main building blocks needed to develop climate risk scenarios for the trading book.

During the second half of 2023, ISDA tested the framework in collaboration with more than 30 member banks and developed three climate scenarios (physical, transition and combined). The output of this initiative includes a detailed set of scenario parameters covering a range of market risk factors, including country and sectors.