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

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:

1. (a)

   for holdings in the trading book:

   1. (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;

   2. (ii)

      for any other synthetic holdings, the nominal or notional amount, as applicable;

2. (b)

   for holdings in the non-trading book:

   1. (i)

      for call options, the current market value;

   2. (ii)

      for any other synthetic holdings, the nominal or notional amount, as applicable.

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.