+TITLE V OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK
---+Article 378 Settlement/delivery risk
---+Article 379 Free deliveries
------+Article 379 1.
------+Article 379 2.
------+Article 379 3.
---+Article 380 Waiver

TITLE V OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

TITLE V OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

1. Overview

,
Summary Regulation
Article 378 Settlement/delivery risk

Article 378

Settlement/delivery risk

In the case of transactions in which debt instruments, equities, foreign currencies and commodities excluding repurchase transactions and securities or commodities lending and securities or commodities borrowing are unsettled after their due delivery dates, an institution shall calculate the price difference to which it is exposed.

The price difference is calculated as the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the credit institution.

The institution shall multiply that price difference by the appropriate factor in the right column of the following Table 1 in order to calculate the institution's own funds requirement for settlement risk.



Table 1

Number of working days after due settlement date

(%)

5 — 15

8

16 — 30

50

31 — 45

75

46 or more

100

Article 379 Free deliveries
Article 380 Waiver

Article 380

Waiver

Where a system wide failure of a settlement system, a clearing system or a CCP occurs, competent authorities may waive the own funds requirements calculated as set out in Articles 378 and 379 until the situation is rectified. In this case, the failure of a counterparty to settle a trade shall not be deemed a default for purposes of credit risk.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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