Version in force , Inserted +1,404 −0§
Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
Article 72f is a newly inserted provision setting out how institutions calculate holdings of their own eligible liabilities instruments for purposes of Article 72e(1)(a), including rules for using gross versus net long positions, treatment of index security holdings, and netting of long and short positions in own eligible liabilities instruments.
Cited: Art. 72f, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20190627
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.