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  1. Point in time
    2024-12-19

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

  1. (1)

    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.

  2. (2)

    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.