Response to consultation Paper on draft RTS on liquidity horizons for the IMA
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for better reflection of EU capital markets specifics.
Q1. Do you agree with the general methodology? If not, please explain why.
We have no objection.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?
n.a.Q3. Do you agree with the treatment reserved for homogenous indices?
We have no objection.Q4. Do you have any example of other risk factors that should be subject to the treatment specified for indices?
n.a.Q5. Are there any other risk factors for which an ad-hoc treatment should be specified?
n.a.Q6. What is your preferred option? Please explain why.
We prefer Option B. The inclusion of equities according to Regulation 2016/164610 allowsfor better reflection of EU capital markets specifics.