Response to consultation on draft RTS on IRRBB supervisory outlier tests

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Respondents are also kindly requested to express whether they find an inclusion of market value changes in the calculation of the NII SOT clear enough.

The common modelling and parametric assumptions for the EVE SOT and the NII SOT in Articles 4 and 5 are clear enough and operationally manageable. Some minor changes could be made to improve clarity about the weight to apply to euro positive changes; the new -1,5% floor for immediate maturity is too low for all currencies (with the only exception of CHF rates). In our opinion, the current EBA floor should not be changed but instead we suggest changing the current rule to be applied when rates are below the floor (we propose an alternative easier to implement). Regarding the NII SOT, we agree on the one-year time horizon and the constant balance sheet assumption, but it should be clarified that the new commercial margins have to be kept constant when calculating the NII sensitivity in order to reflect only the change of risk – free interest rate. We are also in favor of the exclusion of the fair value from SOT NII (and, for coherence, also from the IMS). Moreover, some doubts arise about what element should be considered in assessing the impact on NII. In consideration of the above, we propose to remove the paragraph b of Article 5. Please refer to the attached doument.

Question 2: Do respondents have any comment related to these two metrics for the specification and the calibration of the test statistic for the large decline in Article 6 for the purpose of NII SOT? Specifically, do respondents find the inclusion of administrative expenses in metric 2 clear enough? Do respondents have any comment on the example on currency aggregation for metric 1 and metric 2?

The thresholds proposed by EBA for the NII SOT are too stringent (for the metric 1 it is 2,5% or 3% if fair value is included and 35% or 30% if fair value is included for metric 2). The threshold for the large decline should be set in order to be compatible with EVE SOT, to avoid that an institution may be compliant with the EVE SOT but not with the NII SOT and should be independent from the lower bounds. For this reason we suggest, as a minimum, to calibrate the threshold under the QIS “scenario 2 unconstrained” (parallel down without any floor). Regarding the choice of the metric for the NII SOT, we suggest adopting the metric 1, for the NII SOT, because it is simpler and less volatile. Please refer to the attached doument.

Question 3: Do respondents consider that all the necessary aspects have been covered in the draft regulatory standard? Do respondents find the provisions clear enough or would any additional clarification be needed on any aspect?

The management of the two thresholds (NII SOT and EVE SOT) will be influenced by the introduction of the new accounting framework for macro fair value hedge (currently under construction) which will introduce further constraints on the management of IRRBB. So, we ask for a timeframe coherence between the RTS and new accounting framework date of application. Please refer to the attached doument.

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Name of the organization

Intesa Sanpaolo