Please confirm whether v0623_m is erroneous (refer to background on question for further detail) and if so, what the correct validation should be.
The validation does not take into account the application of CRR Article 344 which allows 0% risk weight to be applied to Qualifying Equity indices if the treatment was applied prior to 1 January 2014 (per EBA ITS ON Article 344(1)). We believe that this is an error in the validation rule.
Positions in stock-index futures which are treated according to the second sentence of Article 344 (4) of the Regulation (EU) No. 575/2013 (CRR) shall not be included in column 050 (Positions subject to capital charge) of C 21.00 of Annex II of Regulation (EU) No 680/2014 – ITS on Supervisory Reporting . Hence, the validation v0623_m rule is correct.