CA-4.3.18
Netting across positions in the banking and trading book will only be recognised when the netted transactions fulfill the following conditions:
(a) All transactions are marked to market daily24; and
(b) The collateral instruments used in the transactions are recognised as eligible financial collateral in the banking book.
24The holding period for the haircuts will depend as in other repo-style transactions on the frequency of margining.
Apr 08