Submission #9

Intesa Sanpaolo

Q1. Do you agree that a committed quote, to be considered verifiable, should be required to have both a firm bid and offer price? If you think that solely a bid or offer price should be sufficient please provide a convincing rationale. see the attached file

Q2. Please provide an estimation of the impact of requiring solely a firm bid or offer price compared to requiring both. Please provide this impact e.g. in terms of number of non-modellable risk factors, stress scenario risk measure charge or number of eligible committed quotes for different risk factors/ risk factor categories. see the attached file

Q3. How would you define and check for a “non-negligible volume of a transaction or quote, as compared to usual transaction sizes for the bank, reflective of normal market conditions” for the purpose of assessing the validity of a price observation? see the attached file

Q4. How would you define and check for an “unreasonably large bid-offer spread as compared to usual bid-offer spreads, reflective of normal market conditions” for the purpose of assessing the validity of a price observation obtained from a committed quote? In your response, please provide a detailed reasoning. see the attached file

Q5. Do you see any problems with requiring that institutions are allowed to use data from external data providers as input to the modellability assessment only where the external data providers are regularly subject to an independent audit (independent of whether the price is shared with the institution or not)? If so, please describe them thoroughly (i.e. for which data providers and the reasons for it). see the attached file

Q6. Do you have any proposals on additional specifications that could be included in the legal text in order to ensure that verifiable prices provided by third-party vendors meet the requirements of this Regulation? see the attached file

Q7. How relevant are the provisions outlined above for your institution? How many and which curves, surfaces or cubes are (planned to be) represented by a mathematical function with function parameters chosen as risk factors in your (future) internal model? see the attached file

Q8. Do you have a preference for any of the options outlined above? For which reasons? Please motivate your response. see the attached file

Q9. Do you consider any of the options outlined above as impossible or impractical? For which reasons? Please motivate your response. see the attached file

Q10. Do you have alternative proposals to define the consequence on the modellability of the parameters where some buckets of a curve, surface or cube are modellable whilst others are nonmodellable? see the attached file

Q11. Do you intend to apply paragraph 4? If so, for which risk factors will it be relevant? Do you expect any implementation issues related to it? Please explain expected issues thoroughly. see the attached file

Q12. Do you agree with the outlined methodology for the assessment of modellability of risk factors? If not, please explain why. see the attached file

Q13. Do you expect any problems for the modellability assessment arising from the upcoming benchmark rate transition that could be addressed via this regulation? If so, please provide a thorough description and potential solutions if any see the attached file

Q14. How do you intend to integrate the risk factor modellability assessment (i.e. RFET) into the processes of your institution? Do you expect those data to be used for the purpose of the RFET only or do you think those data would increase the data availability used e.g. for the calibration of your internal model (under para 31.26 of 2019 Basel rules)? What percentage of data used for the RFET do you think will be used also for the calibration of your internal model? see the attached file

Upload files Intesa Sanpaolo Response_EBA CP 07 - draft RTS on IMA 2019_10_04.pdf

Contact name Francesca Passamonti