BANK 3.4.8 Effect of trade-date accounting

(1) In calculating its on-balance-sheet exposures, a banking business firm that uses trade-date accounting must reverse out any offsetting that is recognised under the applicable accounting standard between cash receivables for unsettled sales and cash payables for unsettled purchases.
(2) The firm may offset between those receivables and payables (regardless of whether the offsetting is recognised under the applicable accounting standard) if the following conditions are met:
(a) the assets bought and sold that are associated with the payables and receivables are fair valued through income and are included in the firm's trading book;
(b) the contracts are settled on a delivery-versus-payment (DVP) basis.
Inserted by QFCRA RM/2019-6 (as from 1st January 2020).