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
…