+Article 162 3.

Article 162 3.

►M17  Where the documentation requires daily re-margining and daily revaluation and includes provisions that allow for the prompt liquidation or set off of collateral in the event of default or failure to remargin, M shall be the weighted average remaining maturity of the transactions and M shall be at least one day for: ◄

(a) 

fully or nearly-fully collateralised derivative instruments listed in Annex II;

(b) 

fully or nearly-fully collateralised margin lending transactions;

(c) 

repurchase transactions, securities or commodities lending or borrowing transactions.

In addition, for qualifying short-term exposures which are not part of the institution's ongoing financing of the obligor, M shall be at least one-day. Qualifying short term exposures shall include the following:

(a) 

exposures to institutions or investment firms arising from the settlement of foreign exchange obligations;

(b) 

self-liquidating short-term trade finance transactions and corporate purchased receivables, provided that the respective exposures have a residual maturity of up to one year;

(c) 

exposures arising from settlement of securities purchases and sales within the usual delivery period or two business days;

(d) 

exposures arising from cash settlements by wire transfer and settlements of electronic payment transactions and prepaid cost, including overdrafts arising from failed transactions that do not exceed a short, fixed agreed number of business days;

(e) 

issued as well as confirmed letters of credit that are short term, that is, they have a maturity below one year, and are self-liquidating.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards