When assessing the adequacy of trading limits referred to in Article 103(2), point (b)(ii), Article 104b(2), points (c) and (f), and Article 325bi(1), point (b), of Regulation (EU) No 575/2013, competent authorities shall verify whether:
the institution has a clear breakdown of trading limits that is consistent with the acceptable level of risk set by the institution and the budget of each trading desk;
the choice of the trading limits reflects the trading strategy of the trading desk and the nature of the underlying risks;
the trading limits include the following:
a value-at-risk limit for the maximum level of portfolio aggregation at which the internal model is applied;
a value-at-risk limit for each trading desk for which the institution calculates its own funds requirement for market risk with the internal risk-measurement model;
the institution has a further breakdown in the value-at-risk limits, proportional to the institution’s trading strategies;
all internal limits, including those referred to in point (c), are properly documented and formally approved;
as part of the limit approval and update process, the risk control unit assesses and documents the consistency and compatibility between the value-at-risk limits approved by the management body and the rest of the internal limits not based on value-at-risk, including sensitivities or loss trigger;
the institution properly documents and formally approves an inventory of authorised instruments and underlying risk positions that traders can enter.
For the purposes of point (c)(i), the value-at-risk limit shall be the sum of individual value-at-risk limits when the permission to use the internal model approach, as referred to in Article 325(1), point (b), of Regulation (EU) No 575/2013, has not been granted.