Template C90.00 and C90.05

For the purpose of determining the " On- and off-balance sheet business subject to market risk" for template C90, is the netting between long and short positions in the same exact instrument allowed?

On page 97 it is stated that:  " The rules as defined for the purposes of the calculation of the threshold of Article 325a CRR apply, in conjunction with the provisions of the ‘RTS on long and short positions’ In accordance with those, ‘netting' of positions in the trading book is only possible between positions (in the same or different instruments) of the same direction (long or short) that have market values with opposite signs. It is not allowed to determine the 'net' position in a specific instrument (by offsetting long and short positions in that instrument). " The interpretation is that it is not possible to net a long and short position in the same exact instrument (e.g., buy and sell positions on the same ISIN). If so, the resulting " On- and off-balance sheet business subject to market risk"  (columns from 0020 to 0050 of template C90) would be artificially inflated as compared to the total assets (column 0080), leading to a biased value under column 0070 (to be compared against the threshold of Article 325a CRR).