Prudential Regulation Authority Rulebook

1.

For the purpose of Article 76(3) of the CRR, operationally burdensome shall mean situations under which look-through approaches to capital instruments holdings in financial sector entities on an ongoing basis are unjustified. In its assessment of the nature of operationally burdensome situations, the institution shall take into account the low materiality and short holding period of such positions. A holding period of short duration shall require the strong liquidity of the index to be evidenced by the institution.

2.

For the purpose of paragraph 1, a position shall be deemed to be of low materiality where all of the following conditions are met:

1. (a) the individual net exposure arising from index holdings measured before any look-through is performed does not exceed 2% of Common Equity Tier 1 items as calculated in point (a) of Article 46(1) of the CRR;
2. (b) the aggregated net exposure arising from index holdings measured before any look-through is performed does not exceed 5% of Common Equity Tier 1 items as calculated in point (a) of Article 46(1) of the CRR;
3. (c) the sum of the aggregated net exposure arising from index holdings measured before any look-through is performed and of any other holdings that shall be deducted pursuant to point (h) of Article 36(1) of the CRR does not exceed 10% of Common Equity Tier 1 items as calculated in point (a) of Article 46(1) of the CRR.

[Note: This rule corresponds to Article 26 of Part 2 of Regulation (EU) No 241/2014 as it applied immediately before revocation by the PRA.]