Submission #4

Austrian Federal Economic Chamber, Division Bank and Insurance

Which one of the options do you think is more appropriate (option 1a : Y%=50% and Z%=25% or option 1b: Y%=60% and Z%=30%)? Please provide the rationale for the chosen option.

Both options are fine, we tend to prefer option 1b, as it limits the inclusion of risk factors with small impact.

What are your views about the general quantitative approach methodology, which hinges on FRTB SA sensitivities? Please provide examples of cases where computing FRTB SA sensitivities might raise some issues.

According to our opinion a frequent reconfiguration of mappings based on sensitivities might raise operational concerns. However, aligning the sensitivities with FRTB makes sense to us.

Do you have any views on the appropriateness, for smaller institutions, of the alternative SA CCR add-ons approach (paragraph 2) in overcoming the issues (if any) raised by the general FRTB SA sensitivities approach? n.a.

Do you think the approach outlined here should be applied at currency level (option 3a) or transaction level (option 3b)? Both options are fine for us, but option 3b reduces operational risks.

Which one of the three options (option 4a: 1 bp, option 4b: 0.1% or option 4c: 1%) do you think is more appropriate as a threshold? Please provide the rationale for the chosen option. 0.1% or 1% as it moves the interest regime a bit farther away from zero.

Please provide examples of cases where the possibility to set the shift ? according to the prevalent market conditions (option 4) might: - provide some benefits - raise some concerns

We have operational concerns, e.g. a quoted value of lambda being below the strike of an entered trade.

Do you consider necessary an adjustment to the supervisory volatility parameter ? as defined in Article 5? In the case an adjustment is considered necessary, how should it be carried out?

According our opinion an adjustment is not needed as the prescribed volatility assumptions seems to be a much cruder approximation anyway.

Do you think the specified method for determining whether a transaction is a long or short position in a material risk driver is adequate? If not, please provide an explanation.

The method is fine, but we think we will be able to map long/short by the trade definitions. We want to avoid to have to update the setting based on daily sensitivity computations.
Overall, we tend to prefer the 1st approach proposed.

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Name of organisation Austrian Federal Economic Chamber, Division Bank and Insurance