Effective from Jan 01 2023 - Dec 31 2022 To view other versions open the versions tab on the right
9.67
A bank may use the net exposure of loans and deposits as the basis for its capital adequacy calculation in accordance with the formula in paragraph 9.46, when the bank:
(1)
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;
(2)
Is able at any time to determine those assets and liabilities with the same counterparty that are subject to the netting agreement;
(3)
Monitors and controls its roll-off risks; and
(4)
Monitors and controls the relevant exposures on a net basis,
9.68
When calculating the net exposure described in the paragraph above, assets (loans) are treated as exposure and liabilities (deposits) as collateral. The haircuts are zero except when a currency mismatch exists. A 10-business day holding period applies when daily mark-to-market is conducted. For on-balance sheet netting, the requirements in paragraphs 9.49, 9.58 and 9.10 to 0 must be applied.
