Document ID: chunk:federal_register_of_legislation:F2024L01073:front:0:p23
Version: federal_register_of_legislation:F2024L01073
Segment Type: other
Provision Reference: 
Character Range: 61485–65186

sales with recourse[15]                                      100
Lending of securities or posting of securities as collateral                                          100
Forward asset purchases, forward deposits and partly paid shares and securities[16]                   100
Other off-balance sheet items that are credit substitutes                                             100
Unsettled securities, commodities and foreign exchange transactions accounted for at settlement date  100
Other commitments with certain drawdown                                                               100
Note issuance and revolving underwriting facilities                                                   50
Performance-related contingencies                                                                     50
Other commitments                                                                                     40
Short-term self-liquidating trade letters of credit arising from the movement of goods[17]            20
Intraday limits                                                                                       0
Irrevocable standby commitments under industry support arrangements                                   0

 1.              Where an ADI has given a commitment to provide an off-balance sheet exposure, it may apply the lower of the CCFs applicable to the commitment and the off-balance sheet exposure.

Attachment D – Unsettled and failed transactions
 1.              Delivery-versus-payment (DvP) transactions include any transaction settled through a system which provides for the simultaneous exchange of securities or commodities for cash, and expose an ADI to the risk of loss on the difference between the transaction valued at the agreed settlement price and the transaction valued at the current market price. This includes payment-versus-payment transactions.
 2.              An ADI must apply the risk weights in Table 18 to all DvP transactions, excluding SFTs, which remain unsettled after their due delivery dates. The amount that must be multiplied by the relevant risk weight is the positive current exposure amount of the DvP transaction, i.e. the difference between the agreed settlement price of the transaction and the current market price of the transaction where this would result in a loss to the ADI.

 1.         Risk weights for DvP transactions
Number of business days after settlement date  Risk weight (%)
5 to 15                                        100
16 to 30                                       625
31 to 45                                       937.5
46 or more                                     1250

 1.              An ADI must hold Regulatory Capital against a non-DvP transaction which exposes the ADI to the risk of loss on the full amount of cash paid or deliverables delivered, where:
         1.           it has paid for debt instruments, equities, foreign currencies or commodities before receiving them or it has delivered debt instruments, equities, foreign currencies or commodities before receiving payment for them; and
         2.           in the case of a cross-border transaction, one day or more has elapsed since it made that payment or delivery.
 2.              An ADI must calculate the capital requirement for a non-DvP transaction as follows:
         1.           from the business day after the ADI has made its payment or delivery for up to and including four business days after the counterparty payment or delivery is due, the ADI must treat the transaction as an exposure; and
         2.           from five business days after the ADI has made its payment or delivery until extinction of the transaction,