European Savings and Retail Banking Group

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.

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Credit Value adjustments: we do not see relevant for the market risk charge since it is covered by a separate CVA charge. Bid/Ask adjustment is sensitive to the market liquidity of the instrument, but this risk is covered by the Prudent Valuation adjustment which is deducted from CET1.
We do not see any additional adjustments in the fair value of a financial instrument which we consid-er as market risk sensitive.
We support the ISDA/IIF proposal.
We support the ISDA/IIF proposal.
We support the ISDA/IIF proposal.
Based on the survey which was published by ISDA/IIF there is already some kind of market standard how margins and day-one profits/losses are taken into account in the end-of-day valuation process, in the actual P&L and in the hypothetical P&L.
We support the ISDA/IIF proposal.
We support the ISDA/IIF proposal.
We support the ISDA/IIF proposal.
We support the ISDA/IIF proposal.
Roberto Timpano
E