Response to consultation Paper on draft RTS on liquidity horizons for the IMA

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Q1. Do you agree with the general methodology? If not, please explain why.

Dear Sir/Madam,

Thank you for the opportunity to comment on the EBA consultation on the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). We welcome the proposals made. At some points we feel that the proposals are far more normative than the Basel text. This could lead to unnecessarily rigid rules. The discretion of supervisors would be too limited. Against this background, we would like to share with you the following reflections that we hope will be considered by the EBA.


We have no objections.

Q2. Besides systemic risk factors (i.e. risk factors capturing the market/systemic component of the modelled risk), are there other risk factors/parameters that would reflect risks embedded in more than one subcategories or more than one categories?


Q3. Do you agree with the treatment reserved for homogenous indices?

We have no objections.

Q4. Do you have any example of other risk factors that should be subject to the treatment specified for indices?


Q5. Are there any other risk factors for which an ad-hoc treatment should be specified?


Q6. What is your preferred option? Please explain why.

We prefer Option B. The inclusion of equities according to Regulation 2016/164610 allows for better reflection of EU capital markets specifics.

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Name of organisation

European Savings and Retail Banking Group

Contact name

Roberto Timpano

Phone number

+32 2 211 11 66