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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We have no objections.
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We have no objections.
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We prefer Option B. The inclusion of equities according to Regulation 2016/164610 allows for better reflection of EU capital markets specifics.
Roberto Timpano
E