Article 378

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE V > Article 378
Title:
Article 378
Description: 
Settlement/delivery risk
Main content: 

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 — 158
16 — 3050
31 — 4575
46 or more100