CA-4.3.18
Netting across positions in the banking and trading book will only be recognised when the netted transactions fulfil the following conditions:
(a) All transactions are marked to market daily28; and
(b) The collateral instruments used in the transactions are recognised as eligible financial collateral in the banking book.
28 The holding period for the haircuts will depend as in other repo-style transactions on the frequency of margining.
January 2015