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Capital Requirements Regulation (CRR)
Article 57

Article 57 — Deductions of holdings of own Additional Tier 1 instruments

For the purposes of point (a) of Article 56, institutions shall calculate holdings of own Additional Tier 1 instruments on the basis of gross long positions subject to the following exceptions:

  1. institutions may calculate the amount of holdings of own Additional Tier 1 instruments on the basis of the net long position provided that both the following conditions are met:
    1. the long and short positions are in the same underlying exposure and the short positions involve no counterparty risk;
    2. either both the long and the short positions are held in the trading book or both are held in the non-trading book;
  2. institutions shall determine the amount to be deducted for direct, indirect or synthetic holdings of index securities by calculating the underlying exposure to own Additional Tier 1 instruments in those indices;
  3. institutions may net gross long positions in own Additional Tier 1 instruments resulting from holdings of index securities against short positions in own Additional Tier 1 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:
    1. the long and short positions are in the same underlying indices;
    2. either both the long and the short positions are held in the trading book or both are held in the non-trading book;