BANK Part 6.6.14 Criteria for offsetting derivative positions

(1) A banking business firm may offset long and short positions (whether actual or notional) in identical instruments with exactly the same issuer, coupon, currency and maturity; and
(2) A banking business firm may offset a matched position in a futures or forward contract and its corresponding underlying. The net position must be reported.
(3) The firm may offset positions in a futures or forward contract with a range of deliverable instruments and the corresponding underlying only if:
(a) there is a readily identifiable underlying security; and
(b) the price of that security and the price of the futures or forward contract move in close alignment.
(4) The firm must treat each leg of a cross-currency swap or forward foreign exchange transaction as a notional position in the relevant instrument, and must include the position in the calculation for each currency.
Derived from QFCRA RM/2014-2 (as from 1st January 2015).