Entire Section
Deductions Relating to Holdings of Own AT1 Capital Instruments
PIB 3.14.5
For the purposes of PIB Rule 3.14.4(a), an
Authorised Firm must calculate holdings of its own AT1 Capital instruments on the basis of gross long positions subject to the following exceptions:(a) anAuthorised Firm must calculate the amount of holdings of own AT1 Capital instruments in theTrading Book on the basis of the net long position provided the long and short positions are in the same underlyingExposure and the short positions involve noCounterparty Credit Risk ;(b) anAuthorised Firm must determine the amount to be deducted for indirect holdings in theTrading Book of own AT1 Capital instruments that take the form of holdings of indexSecurities by calculating the underlyingExposure to own AT1 Capital instruments in the indices; and(c) anAuthorised Firm must net gross long positions in own AT1 Capital instruments in theTrading Book resulting from holdings of indexSecurities may be netted by theAuthorised Firm against short positions in own AT1 instruments resulting from short positions in the underlying indices, including where those short positions involveCounterparty Credit Risk .Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]