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Capital Requirements Regulation (CRR)
Article 67

Article 67 - Deductions of holdings of own Tier 2 instruments

Status
In force
Selected consolidated version from
30/09/2021
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Article 67

Deductions of holdings of own Tier 2 instruments

For the purposes of point (a) of Article 66, institutions shall calculate holdings on the basis of the gross long positions subject to the following exceptions:

(a) 

institutions may calculate the amount of holdings on the basis of the net long position provided that both the following conditions are met:

(i) 

the long and short positions are in the same underlying exposure and the short positions involve no counterparty risk;

(ii) 

either both the long and the short positions are held in the trading book or both are held in the non-trading book;

(b) 

institutions shall determine the amount to be deducted for direct, indirect and synthetic holdings of index securities by calculating the underlying exposure to own Tier 2 instruments in those indices;

(c) 

institutions may net gross long positions in own Tier 2 instruments resulting from holdings of index securities against short positions in own Tier 2 instruments resulting from short positions in the underlying indices, including where those short positions involve counterparty risk, provided that both the following conditions are met:

(i) 

the long and short positions are in the same underlying indices;

(ii) 

either both the long and the short positions are held in the trading book or both are held in the non-trading book.

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