Past version: effective from 21/10/2015 - 20/10/2015
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(1) Assets (loans) and liabilities (Deposits) subject to recognised on-balance sheet Netting are to be treated as cash Collateral using the formula in A4.3.6, under which an Authorised Person may use zero haircuts for Exposure and Collateral.
(2) When a currency mismatch exists, an Authorised Person must apply the standard supervisory haircut of 8% for currency mismatch.
(3) When a Maturity Mismatch exists between the off-setting items, an Authorised Person must apply the Rules 4.13.14 to 4.13.16 to address the Maturity Mismatch.
(4) Net credit Exposure, after taking into account recognised Netting, will be subject to the applicable CRW for the Counterparty.