PART TWO OWN FUNDS AND ELIGIBLE LIABILITIES

TITLE I ELEMENTS OF OWN FUNDS

CHAPTER 4 Tier 2 capital

Section 2 Deductions from Tier 2 items

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.
Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).