Article 15f
Calculation of synthetic holdings for the purposes of points (f),(h) and (i) of Article 36(1) of Regulation (EU) No 575/2013
1.
The amount of synthetic holdings to be deducted from Common Equity Tier 1 items as required by points (f), (h) and (i) of Article 36(1) of Regulation (EU) No 575/2013 shall be as follows:
(a)
for holdings in the trading book:
(i)
for options, the delta equivalent amount of the relevant instruments calculated in accordance with Title IV of Part III of Regulation (EU) No 575/2013;
(ii)
for any other synthetic holdings, the nominal or notional amount, as applicable;
(b)
for holdings in the non-trading book:
(i)
for call options, the current market value;
(ii)
for any other synthetic holdings, the nominal or notional amount, as applicable.
2.
An institution shall deduct the synthetic holdings referred to in paragraph 1 from the date of signature of the contract between the institution and the counterparty.