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Capital Requirements Regulation (CRR)
Article 335

Article 335 - Cap on the own funds requirement for a net position

Status
In force
Selected consolidated version from
30/09/2021
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Article 335

Cap on the own funds requirement for a net position

The institution may cap the own funds requirement for specific risk of a net position in a debt instrument at the maximum possible default-risk related loss. For a short position, that limit may be calculated as a change in value due to the instrument or, where relevant, the underlying names immediately becoming default risk-free.

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