Article 42

Path:
Capital Requirements Regulation (CRR) > PART TWO > TITLE I > CHAPTER 2 > Section 3 > Sub-Section 1 > Article 42
Title:
Article 42
Description: 
Deduction of holdings of own Common Equity Tier 1 instruments
Main content: 

For the purposes of point (f) of Article 36(1), institutions shall calculate holdings of own Common Equity Tier 1 instruments on the basis of gross long positions subject to the following exceptions:

(a)    institutions may calculate the amount of holdings of own Common Equity Tier 1 instruments 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 Common Equity Tier 1 instruments included in those indices;

(c)    institutions may net gross long positions in own Common Equity Tier 1 instruments resulting from holdings of index securities against short positions in own Common Equity Tier 1 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.