EBA validation rule v4859_m: [C 24.00 (c030;040;050;060)] {r100} <= {r030} + {r060} + {r080} + {r090}

The prevailing implementing technical standards (Commission Implementing Regulation (EU) No 680/2014 of 16th April 2014 as amended by Commission Implementing Regulation (EU) No 2018/1627 of 9th October 2018 provide guidance, about the breakdown of figures relevant for the calculation of market risk, when using internal models. In the Annex II point 5.7.1 - General Remarks, is stated: "142. Generally, the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome". Considering that the separate reporting of specific and generic risk, for equity instruments, would be unduly burdensome and low material, it is not foreseen by the structure of the model applied, therefore we judge that total amounts for general and specific risk should be checked against total positions only. This feature has never been reviewed during the assessments and extensions of the model.

EBA validation rule v4859 requires that detailed requirements for general risk should be more or equal to total requirement for general risk. For the risk category of equity instruments we report only one aggregate requirement both for general and specific risk, therefore we are unable to comply with the rule.