Prudential Regulation Authority Rulebook

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 the CRR shall be as follows:

1. (a) for holdings in the trading book:
2. 1. (i) for options, the delta equivalent amount of the relevant instruments calculated in accordance with Title IV of Part III of the CRR;
   2. (ii) for any other synthetic holdings, the nominal or notional amount, as applicable;
3. (b) for holdings in the non-trading book:
4. 1. (i) for call options, the current market value;
   2. (ii) for any other synthetic holdings, the nominal or notional amount, as applicable.

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.

[Note: This rule corresponds to Article 15f of Part 2 of Regulation (EU) No 241/2014 as it applied immediately before revocation by the Treasury.]