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  • BANK 4.5.17 BANK 4.5.17 Capital relief from netting agreements

    (1) A banking business firm is able to obtain capital relief from a netting agreement with a counterparty only if the agreement is an eligible netting agreement.
    (2) A banking business firm that has entered into a netting agreement must consistently net all the transactions included in the agreement. The firm must not selectively pick which transactions to net.
    (3) The following kinds of transactions may be netted:
    (a) on-balance-sheet loans and deposits, but only if:
    (i) the firm is able to determine at all times the assets and liabilities that are subject to netting under the agreement; and
    (ii) the deposits satisfy the criteria for eligible financial collateral;
    (b) securities financing transactions;

    Note Securities financing transactions are not included as part of market-related transactions.
    (c) over the counter derivative transactions.
    Derived from QFCRA RM/2014-2 (as from 1st January 2015).

    • BANK 4.5.17 Guidance

      A netting agreement may include the netting of over the counter derivative transactions:

      •   across both the banking and trading books of a banking business firm (if the netted transactions satisfy the criteria in rule 4.5.23); and
      •   across different market-related products to the extent that they are recognised as market-related transactions.
      Derived from QFCRA RM/2014-2 (as from 1st January 2015).