CA-4.4.1
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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Where a bank,
(a) has a well-founded legal basis for concluding that the netting or offsetting agreement is enforceable in each relevant jurisdiction regardless of whether the counterparty is insolvent or bankrupt;
(b) is able at any time to determine those assets and liabilities with the same counterparty that are subject to the netting agreement;
(c) monitors and controls its roll-off risks; and
(d) monitors and controls the relevant exposures on a net basis,
it may use the net exposure of loans and deposits as the basis for its capital adequacy calculation in accordance with the formula in paragraph CA-4.3.3. Assets (loans) are treated as exposure and liabilities (deposits) as collateral. The haircuts will be zero except when a currency mismatch exists. A 10-business day holding period will apply when daily mark-to- market is conducted and all the requirements contained in paragraphs CA-4.3.7, CA-4.3.13, and CA-4.6.1 to CA-4.6.4 will apply.
Apr 08