+Section 2 Deductions from eligible liabilities items
---+Article 72e Deductions from eligible liabilities items
------+Article 72e 1.
------+Article 72e 2.
------+Article 72e 3.
------+Article 72e 4.
------+Article 72e 5.
---+Article 72f Deduction of holdings of own eligible liabilities instruments
---+Article 72g Deduction base for eligible liabilities items
---+Article 72h Deduction of holdings of eligible liabilities of other G-SII entities
---+Article 72i Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities
------+Article 72i 1.
------+Article 72i 2.
------+Article 72i 3.
------+Article 72i 4.
------+Article 72i 5.
---+Article 72j Trading book exception from deductions from eligible liabilities items
------+Article 72j 1.
------+Article 72j 2.
------+Article 72j 3.

Section 2 Deductions from eligible liabilities items

Section 2 Deductions from eligible liabilities items

1. Overview

,
Article 72e Deductions from eligible liabilities items -
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.
Article 72g Deduction base for eligible liabilities items

Article 72g

Deduction base for eligible liabilities items

For the purposes of points (b), (c) and (d) of Article 72e(1), institutions shall deduct the gross long positions subject to the exceptions laid down in Articles 72h and 72i.
Article 72h Deduction of holdings of eligible liabilities of other G-SII entities

Article 72h

Deduction of holdings of eligible liabilities of other G-SII entities

Institutions not making use of the exception set out in Article 72j shall make the deductions referred to in points (c) and (d) of Article 72e(1) in accordance with the following:

(a) 

they may calculate direct, indirect and synthetic holdings of eligible liabilities instruments on the basis of the net long position in the same underlying exposure, provided that both the following conditions are met:

(i) 

the maturity date of the short position is either the same as, or later than the maturity date of the long position or the residual maturity of the short position is at least one year;

(ii) 

either both the long position and the short position are held in the trading book or both are held in the non-trading book;

(b) 

they shall determine the amount to be deducted for direct, indirect and synthetic holdings of index securities by looking through to the underlying exposure to the eligible liabilities instruments in those indices.
Article 72i Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities -
Article 72j Trading book exception from deductions from eligible liabilities items -

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards