CA-4.4.1
Where a
(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.
January 2015