Article 429g
Calculation of the exposure value of regular-way purchases and sales awaiting settlement
Institutions may offset the full nominal value of the commitments to pay related to regular-way purchases by the full nominal value of cash receivables related to regular-way sales awaiting settlement only where both of the following conditions are met:
both the regular-way purchases and sales are settled on a delivery-versus-payment basis;
the financial assets bought and sold that are associated with cash payables and receivables are fair valued through profit and loss and included in the institution's trading book.