Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
  Version 4 of 4    

Article 379 Free deliveries

1. An institution shall be required to hold own funds, as set out in Table 2, where the following occurs:

(a) 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;

(b) in the case of cross-border transactions, one day or more has elapsed since it made that payment or delivery.

Table 2

Capital treatment for free deliveries

Column 1

Column 2

Column 3

Column 4

Transaction Type

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

Free delivery

No capital charge

Treat as an exposure

Treat as an exposure risk-weighted at 1 250 %

2. In applying a risk weight to free delivery exposures treated according to Column 3 of Table 2, an ins