Source: https://www.ecfr.gov/cgi-bin/retrieveECFR?gp=&mc=true&r=SECTION&n=se12.2.217_1136
Timestamp: 2020-05-28 04:26:46
Document Index: 164708589

Matched Legal Cases: ['art 217', '§217', '§217', '§217', '§217', '§217', '§217', '§217']

Title 12 → Chapter II → Subchapter A → Part 217 → Subpart E → §217.136
§217.136 Unsettled transactions.
(b) Scope. This section applies to all transactions involving securities, foreign exchange instruments, and commodities that have a risk of delayed settlement or delivery. This section does not apply to:
(2) Repo-style transactions, including unsettled repo-style transactions (which are addressed in §§217.131 and 132);
(3) One-way cash payments on OTC derivative contracts (which are addressed in §§217. 131 and 132); or
(4) Transactions with a contractual settlement period that is longer than the normal settlement period (which are treated as OTC derivative contracts and addressed in §§217.131 and 132).
(c) System-wide failures. In the case of a system-wide failure of a settlement or clearing system, or a central counterparty, the Board may waive risk-based capital requirements for unsettled and failed transactions until the situation is rectified.
(d) Delivery-versus-payment (DvP) and payment-versus-payment (PvP) transactions. A Board-regulated institution must hold risk-based capital against any DvP or PvP transaction with a normal settlement period if the Board-regulated institution's counterparty has not made delivery or payment within five business days after the settlement date. The Board-regulated institution must determine its risk-weighted asset amount for such a transaction by multiplying the positive current exposure of the transaction for the Board-regulated institution by the appropriate risk weight in Table 1 to §217.136.
Table 1 to §217.136—Risk Weights for Unsettled DvP and PvP Transactions
(e) Non-DvP/non-PvP (non-delivery-versus-payment/non-payment-versus-payment) transactions. (1) A Board-regulated institution must hold risk-based capital against any non-DvP/non-PvP transaction with a normal settlement period if the Board-regulated institution has delivered cash, securities, commodities, or currencies to its counterparty but has not received its corresponding deliverables by the end of the same business day. The Board-regulated institution must continue to hold risk-based capital against the transaction until the Board-regulated institution has received its corresponding deliverables.
(f) Total risk-weighted assets for unsettled transactions. Total risk-weighted assets for unsettled transactions is the sum of the risk-weighted asset amounts of all DvP, PvP, and non-DvP/non-PvP transactions.