Title[ Part 2: The First Pillar - Minimum Capital Requirements
Section[ 4. On-balance sheet netting
188. 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 147. 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 151, 169, and 202 to 205 will apply.
Contents
Prev
Next
Last
