Updated 04/10/2024
In force

Version from: 09/07/2024
Amendments (1)
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Article 72f - Deduction of holdings of own eligible liabilities instruments

Article 72f

Deduction of holdings of own eligible liabilities instruments

For the purposes of point (a) of Article 72e(1), 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 eligible liabilities instruments in those indices;

(c) 

institutions may net gross long positions in own eligible liabilities instruments resulting from holdings of index securities against short positions in own eligible liabilities instruments resulting from short positions in 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.