The Validation rule v09823_m: [C 34.03 (c0030;0040;0050, All sheets)] {r0230} >= {r0250} + {r0260} applies to form CCR3. The EBA sees the validation rule rejected if the sub-total of the equity risk category in row 230 is not greater than or equal to the sum of rows 250 (single-name transactions) and 260 (multi-names transactions) in columns 40 (notional amounts) and 50 (positive current market value, CMV). We have a different interpretation.

While it is correct that the differentiation between single-name and multi-names transactions do not allow multiple assignments, the aggregation logic for current market values (CMVs) allows for netting effects where the sum of positive CMV of single and multi-names transactions is higher than the positive CMV of the equity risk category. The reason for this is the ITS-specification for columns 50 and 60: Sum of the CMV of all hedging sets with positive CMV in the respective risk category.

The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted.

As the differentiation between single and multi-names transactions is on bucket level (below hedging set level which for equity risk equals the risk category) further netting effects can lead to a lower CMV on risk category level.

We think the same thing applies to credit risk. The Validation rule v09821_m: [C 34.03 (c0030;0040;0050;0060, All sheets)] {r0190} = {r0210} + {r0220} applies to credit risk.