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Response to consultation Paper on draft RTS on back-testing and PLA attribution requirements
Go backQ5. Do you agree with the criteria in paragraph 5 allowing institutions to exclude an adjustment from the changes in the trading desk’s portfolio value? Are there any other criteria you deem useful for this purpose?
Please see the attached file.Q6.How do institutions identify client margins and day-one profits/losses in the systems (e.g. as commissions, margins)? Please specify if currently they are taken into account in the end-of-day valuation process, in the actual P and L and in the hypothetical P and L.
Please see the attached file.Q7. Paragraph 4 requires institutions to compute (for the purpose of the backtesting) the value of an adjustment (that is included in the changes in the portfolio’s value) performing a stand-alone calculation, i.e. considering only the positions in trading desks that are calculating the own funds requirements using the internal model approach (i.e. desks meeting all conditions in article 325az(2)). Do you agree with the provision? Do you consider the provision clear?
Please see the attached file.Q8. Do you agree with the possibility outlined in paragraph 5 to include in the portfolio’s changes the value of an adjustment stemming from the entire portfolio of positions subject to own funds requirements (i.e. both positions in standard-approach desks and positions in internal model approach desks)? Or do you think it would not be overly burdensome for institutions to compute adjustments on the positions in trading desks that are calculating the own funds requirements using the internal model approach only?
Please see the attached file.Q8. Do you agree with the possibility outlined in paragraph 5 to include in the portfolio’s changes the value of an adjustment stemming from the entire portfolio of positions subject to own funds requirements (i.e. both positions in standard-approach desks and positions in internal model approach desks)? Or do you think it would not be overly burdensome for institutions to compute adjustments on the positions in trading desks that are calculating the own funds requirements using the internal model approach only?
Please see the attached file.Q9. Do you agree with the criteria outlined in this article for the alignment of input data? Please provide some examples where an institution could use the provision set out in paragraph 2.
Please see the attached file.Name of organisation
Intesa Sanpaolo
