Source: http://www.bnm.md/en/content/regulation-treatment-settlementdelivery-risk
Timestamp: 2020-07-08 23:01:19
Document Index: 649098128

Matched Legal Cases: ['Art.905', 'Art. 5', 'Art. 11', 'Art. 27', 'Art.44', 'Art. 46', 'Art. 544', 'Art. 71', 'Art.727']

Regulation on the treatment of settlement/delivery risk | National Bank of Moldova
no. 115 of 24 May 2018
on the approval of Regulation on the treatment of settlement/delivery risk
Published in the Official Monitor of the Republic of Moldova no.183-194 of 08.06.2018, Art.905
under no. 1330 of 31 May 2018
Pursuant to Art. 5 par. (1) (d), Art. 11 par. (1), Art. 27 (1) (c), Art.44 (a), Art. 46 (b) of the Law no. 548-XIII of July 21, 1995 on the National Bank of Moldova (republished in the Official Monitor of the Republic of Moldova, 2015, no. 297-300, Art. 544), with subsequent amendments and completions; Art. 71 of the Law no. 202 of 6 October 2017 on the Banking activity (Official Monitor of the Republic of Moldova, 2017, no. 434-439, Art.727), with subsequent amendments and completions, the Executive Board of the National Bank of Moldova
1. To approve the Regulation on the treatment of settlement/delivery risk, as laid down in Annex hereto.
on the treatment of settlement/delivery risk
This Regulation transposes Articles 378 and 379 of the Regulation (EU) No. 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms, amending Regulation (EU) No. 648/2012 (Text with EEA relevance), published in the Official Journal of the European Union L 176 of 27 June 2013, as amended by Commission Regulation (EU) 2015/62 of 10 October 2014.
3. This Regulation lays down rules on the treatment of settlement/delivery risk for the purposes of calculating own funds requirements in accordance with regulations on bank's own funds and capital requirements.
4. Where a system-wide failure of a settlement system, a clearing system or a central counterparty occurs, the National Bank of Moldova may waive the own funds requirements calculated as set out in Chapters II and III of this Regulation 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.
5. 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.
6. The price difference referred to in Article 5 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.
7. To calculate the institution's own funds requirement for settlement risk, the institution shall multiply that price difference by the appropriate factor in column B of Table 1.
8. An institution shall be required to hold own funds, as set out in Table 2, where the following occurs:
1) it has paid for securities, foreign currencies or commodities before receiving them or it has delivered securities, foreign currencies or commodities before receiving payment for them;
2) in the case of cross-border transactions, one day or more has elapsed since it made that payment or delivery.
9. Where the amount of positive exposure resulting from free delivery transactions is not material, institutions may apply a risk weight of 100% to these exposures, except where a risk weight of 1 000% is required in accordance with column 4 of Table 2 in Article 8 of this Regulation.
Up to first contractual payment or delivery leg
From first contractual payment or delivery leg up to four days after second contractual payment or delivery leg
From 5 business days post second contractual payment or delivery leg until extinction of the transaction
No capital charge
Treat as an exposure risk weighted at
10. As an alternative to applying a risk weight of 1 000 % to free delivery exposures according to column 4 of Table 2 in Article 8 of this Regulation, institutions may deduct the value transferred plus the current positive exposure of those exposures from Common Equity Tier 1 items in accordance with the NBM’s regulatory acts on banks’ own funds and capital requirements.
treatment of settlement risk
treatment of delivery risk