Table of Contents
The Basel Framework (updated 27 November 2024)SCO Scope and definitions (updated 17 July 2024)SCO10 Introduction (paras. 10.1-10.5) (effective as of 15 December 2019)SCO30 Banking, securities and other financial subsidiaries (paras. 30.1-30.7) (effective as of 15 December 2019)SCO40 Global systemically important banks (paras. 40.1-40.31) (effective as of 1 January 2027)SCO50 Domestic systemically important banks (paras. 50.1-50.20) (effective as of 15 December 2019)SCO60 Cryptoasset exposures (paras. 60.1-60.131) (effective as of 1 January 2026)SCO95 Glossary and abbreviations (effective as of 1 January 2023)CAP Definition of capital (updated 5 June 2020)CAP10 Definition of eligible capital (paras. 10.1-10.26) (effective as of 15 December 2019) (updated 5 June 2020)CAP30 Regulatory adjustments (paras. 30.1-30.34) (effective as of 15 December 2019)CAP50 Prudent valuation guidance (paras. 50.1-50.14) (effective as of 15 December 2019)CAP90 Transitional arrangements (paras. 90.1-90.19) (effective as of 3 April 2020)CAP99 Application guidance (paras. 99.1 - 99.14) (effective as of 15 December 2019)RBC Risk-based capital requirements (updated 8 November 2023)RBC20 Calculation of minimum risk-based capital requirements (paras. 20.1-20.18) (effective as of 1 January 2028)RBC25 Boundary between the banking book and the trading book (paras. 25.1-25.34) (effective as of 1 January 2023)RBC30 Buffers above the regulatory minimum (paras. 30.1-30.23) (effective as of 1 January 2027)RBC40 Systemically important bank buffers (paras. 40.1-40.23) (effective as of 15 December 2019)RBC90 Transitional arrangements (paras. 90.1-90.2) (effective as of 01 January 2023)CRE Calculation of RWA for credit risk (updated 27 November 2024)CRE20 Standardised approach: individual exposures (paras. 20.1-20.110) (effective as of 1 January 2028)CRE21 Standardised approach: use of external ratings (paras. 21.1-21.18) (effective as of 1 January 2023)CRE22 Standardised approach: credit risk mitigation (paras. 22.1-22.105) (effective as of 1 January 2023)CRE30 IRB approach: overview and asset class definitions (paras. 30.1-30.52) (effective as of 1 January 2023)CRE31 IRB approach: risk weight functions (paras. 31.1-31.45) (effective as of 1 January 2023)CRE32 IRB approach: risk components for each asset class (paras. 32.1-32.60) (effective as of 1 January 2023)CRE33 IRB approach: supervisory slotting approach for specialised lending (paras. 33.1-33.16) (effective as of 15 December 2019)CRE34 IRB approach: RWA for purchased receivables (paras. 34.1-34.12) (effective as of 1 January 2023)CRE35 IRB approach: treatment of expected losses and provisions (paras. 35.1-35.10) (effective as of 1 January 2023)CRE36 IRB approach: minimum requirements to use IRB approach (paras. 36.1-36.148) (effective as of 1 January 2023)CRE40 Securitisation: general provisions (paras. 40.1-40.165) (effective as of 1 January 2023)CRE41 Securitisation: standardised approach (paras. 41.1-41.22) (effective as of 15 December 2019)CRE42 Securitisation: External-ratings-based approach (SEC-ERBA) (paras. 42.1-42.14) (effective as of 15 December 2019)CRE43 Securitisation: Internal assessment approach (SEC-IAA) (paras. 43.1-43.4) (effective as of 15 December 2019)CRE44 Securitisation: Internal-ratings-based approach (paras. 44.1-44.29) (effective as of 1 January 2023)CRE45 Securitisations of non-performing loans (paras. 45.1-45.7) (effective as of 1 January 2023)CRE50 Counterparty credit risk definitions and terminology (paras. 50.1-50.36) (effective as of 15 December 2019)CRE51 Counterparty credit risk overview (paras. 51.1-51.16) (effective as of 1 January 2023)CRE52 Standardised approach to counterparty credit risk (paras. 52.1-52.77) (effective as of 1 January 2023)CRE53 Internal models method for counterparty credit risk (paras. 53.1-53.71) (effective as of 1 January 2023)CRE54 Capital requirements for bank exposures to central counterparties (paras. 54.1-54.42) (effective as of 1 January 2023)CRE55 Counterparty credit risk in the trading book (paras. 55.1-55.4) (effective as of 1 January 2023)CRE56 Minimum haircut floors for securities financing transactions (paras. 56.1-56.13) (effective as of 1 January 2023) (updated 1 July 2021)CRE60 Equity investments in funds (paras. 60.1-60.20) (effective as of 1 January 2023)CRE70 Capital treatment of unsettled transactions and failed trades (paras. 70.1-70.12) (effective as of 15 December 2019)CRE90 Transition (paras. 90.1-90.3) (effective as of 1 January 2023)CRE99 Application guidance (paras. 99.1-99.133) (effective as of 1 January 2023)MAR Calculation of RWA for market risk (updated 26 November 2020)MAR10 Market risk terminology (paras. 10.1-10.35) (effective as of 1 January 2023)MAR11 Definitions and application of market risk (paras. 11.1-11.9) (effective as of 1 January 2023)MAR12 Definition of trading desk (paras. 12.1-12.6) (effective as of 1 January 2023)MAR20 Standardised approach: general provisions and structure (paras. 20.1-20.5) (effective as of 1 January 2023)MAR21 Standardised approach: sensitivities-based method (paras. 21.1-21.101) (effective as of 1 January 2023)MAR22 Standardised approach: default risk capital requirement (paras. 22.1-22.45) (effective as of 1 January 2023)MAR23 Standardised approach: residual risk add-on (paras. 23.1-23.8) (effective as of 1 January 2023)MAR30 Internal models approach (paras. 30.1-30.71) (effective as of 1 January 2023)MAR31 Internal models approach: model requirements (paras. 31.1-31.26) (effective as of 1 January 2023)MAR32 Internal models approach: backtesting and P&L attribution test requirements (paras. 32.1-32.45) (effective as of 1 January 2023)MAR33 Internal models approach: capital requirements calculation (paras. 33.1-33.46) (effective as of 1 January 2023)MAR40 Simplified standardised approach (paras. 40.1-40.86) (effective as of 1 January 2023)MAR50 Credit valuation adjustment framework (paras. 50.1-50.77) (effective as of 1 January 2023)MAR90 Transitional arrangements (para. 90.1) (effective as of 1 January 2023)MAR99 Application guidance (paras. 99.1-99.69) (effective as of 1 January 2023)OPE Calculation of RWA for operational risk (updated 8 November 2023)OPE10 Definitions and application (paras. 10.1-10.9) (effective as of 1 January 2023)OPE20 Basic indicator approach (paras. 20.1-20.5) (effective as of 15 December 2019) (updated 27 March 2020)OPE25 Standardised approach (paras. 25.1-25.26) (effective as of 1 January 2027)OPE30 Advanced Measurement Approaches (paras. 30.1-30.22) (effective as of 15 December 2019) (updated 27 March 2020)LEV Leverage ratio (updated 27 March 2020)LEV10 Definitions and application (paras. 10.1-10.2) (effective as of 1 January 2023)LEV20 Calculation (paras. 20.1-20.7) (effective as of 1 January 2023)LEV30 Exposure measurement (paras. 30.1-30.53) (effective as of 1 January 2023)LEV40 Leverage ratio requirements for global systemically important banks (paras. 40.1-40.5) (effective as of 01 January 2023)LEV90 Transition (paras. 90.1-90.2) (effective as of 01 January 2023)LCR Liquidity Coverage Ratio (updated 5 June 2020)LCR10 Definitions and application (paras. 10.1-10.9) (effective as of 15 December 2019)LCR20 Calculation (paras. 20.1-20.8) (effective as of 15 December 2019)LCR30 High-quality liquid assets (paras. 30.1-30.47) (effective as of 15 December 2019) (updated 5 June 2020)LCR31 Alternative liquidity approaches (paras. 31.1-31.61) (effective as of 15 December 2019)LCR40 Cash inflows and outflows (paras. 40.1-40.93) (effective as of 15 December 2019)LCR90 Transition (paras. 90.1-90.2) (effective as of 15 December 2019)LCR99 Application guidance (para. 99.1) (effective as of 15 December 2019)NSF Net stable funding ratioNSF10 Definitions and applications (paras. 10.1-10.6) (effective as of 15 December 2019)NSF20 Calculation and reporting (paras. 20.1-20.3) (effective as of 15 December 2019)NSF30 Available and required stable funding (paras. 30.1-30.37) (effective as of 15 December 2019)NSF99 Definitions and applications (paras. 99.1-99.6) (effective as of 15 December 2019)LEX Large exposures (updated 27 March 2020)LEX10 Definitions and application (paras. 10.1-10.18) (effective as of 1 January 2023)LEX20 Requirements (paras. 20.1-20.4) (effective as of 15 December 2019)LEX30 Exposure measurement (paras. 30.1-30.59) (effective as of 1 January 2023)LEX40 Large exposure rules for global systemically important banks (paras. 40.1-40.3) (effective as of 15 December 2019)MGN Margin requirements (updated 3 April 2020)MGN10 Definitions and application (paras. 10.1-10.16) (effective as of 15 December 2019)MGN20 Requirements (paras. 20.1-20.44) (effective as of 15 December 2019)MGN90 Transition (paras. 90.1-90.7) (effective as of 3 April 2020)SRP Supervisory review process (updated 27 March 2020)SRP10 Importance of supervisory review (paras. 10.1-10.5) (effective as of 15 December 2019)SRP20 Four key principles (paras. 20.1-20.45) (effective as of 15 December 2019)SRP30 Risk management (paras. 30.1-30.52) (effective as of 15 December 2019)SRP31 Interest rate risk in the banking book (paras. 31.1- 31.129) (effective as of 15 December 2019)SRP32 Credit risk (paras. 32.1-32.59) (effective as of 1 January 2023)SRP33 Market risk (paras. 33.1-33.9) (effective as of 1 January 2023)SRP34 Operational risk (paras. 34.1-34.2) (effective as of 15 December 2019) (updated 27 March 2020)SRP35 Compensation practices (paras. 35.1-35.9) (effective as of 15 December 2019)SRP36 Risk data aggregation and risk reporting (paras. 36.1-36.74) (effective as of 15 December 2019)SRP50 Liquidity monitoring metrics (paras. 50.1-50.92) (effective as of 15 December 2019)SRP90 Transition (paras. 90.1-90.2) (effective as of 15 December 2019)SRP98 Application guidance on interest rate risk in the banking book (paras. 98.1-98.61) (effective as of 15 December 2019)SRP99 Application guidance (paras. 99.1-99.10) (effective as of 15 December 2019)DIS Disclosure requirements (updated 8 November 2023)DIS10 Definitions and applications (paras. 10.1-10.30) (effective as of 1 January 2027)DIS20 Overview of risk management, key prudential metrics and RWA (paras. 20.1-20.5) (effective as of 1 January 2023)DIS21 Comparison of modelled and standardised RWA (paras. 21.1-21.2) (effective as of 1 January 2023)DIS25 Composition of capital and TLAC (paras. 25.1-25.5) (effective as of 15 December 2019)DIS26 Capital distribution constraints (paras. 26.1-26.2) (effective as of 1 January 2023)DIS30 Links between financial statements and regulatory exposures (paras. 30.1-30.4) (effective as of 15 December 2019)DIS31 Asset encumbrance (paras. 31.1-31.3) (effective as of 1 January 2023)DIS35 Remuneration (paras. 35.1-35.4) (effective as of 15 December 2019)DIS40 Credit risk (paras. 40.1-40.2) (effective as of 1 January 2023)DIS42 Counterparty credit risk (paras. 42.1-42.2) (effective as of 1 January 2023)DIS43 Securitisation (paras. 43.1-43.3) (effective as of 15 December 2019)DIS50 Market risk (paras. 50.1-50.2) (effective as of 1 January 2023)DIS51 Credit valuation adjustment risk (para. 51.1) (effective as of 1 January 2027)DIS60 Operational risk (para. 60.1) (effective as of 1 January 2023)DIS70 Interest rate risk in the banking book (paras. 70.1-70.6) (effective as of 15 December 2019)DIS75 Macroprudential supervisory measures (paras. 75.1-75.3) (effective as of 1 January 2027)DIS80 Leverage ratio (paras. 80.1-80.2) (effective as of 1 January 2023)DIS85 Liquidity (paras. 85.1-85.2) (effective as of 15 December 2019)DIS99 Worked examples (paras. 99.1-99.4) (effective as of 15 December 2019)BCP Core Principles for effective banking supervision (updated 25 April 2024)BCP01 Foreword (paras. 01.1-01.5) (effective as of 25 April 2024)(paras. 01.1-01.5) (effective as of 25 April 2024)BCP02 Introduction to the Core Principles (paras. 02.1-02.21) (effective as of 25 April 2024)Introduction (paras. 02.1-02.4) (effective as of 25 April 2024)General approach (paras. 02.5-02.8) (effective as of 25 April 2024)Proportionality (paras. 02.9-02.13) (effective as of 25 April 2024)Revisions to the Core Principles (paras. 02.14-02.21) (effective as of 25 April 2024)BCP10 Explanation of certain terms used in the Core Principles (paras. 10.1-10.) (effective as of 25 April 2024)(para. 10.01) (effective as of 25 April 2024)BCP20 Assessment methodology (paras. 20.1-20.) (effective as of 25 April 2024)(paras. 20.1-20.3) (effective as of 25 April 2024)Use of the assessment methodology (paras. 20.4-20.5) (effective as of 25 April 2024)Assessment of compliance (paras. 20.6-20.12) (effective as of 25 April 2024)Practical considerations in conducting an assessment (paras. 20.13-20.21) (effective as of 25 April 2024)BCP30 Preconditions for effective banking supervision (paras. 30.1-30.8) (effective as of 25 April 2024)(paras. 30.1-30.8) (effective as of 25 April 2024) BCP40 The Core Principles and assessment criteria (paras. 40.1-40.67) (effective as of 25 April 2024)Introduction (paras. 40.1-40.3) (effective as of 25 April 2024)Principle 1 - Responsibilities, objectives and powers (paras. 40.4-40.5) (effective as of 25 April 2024)Principle 2 - Independence, accountability, resourcing and legal protection for supervisors (paras. 40.6-40.7) (effective as of 25 April 2024)Principle 3 - Cooperation and collaboration (paras. 40.8-40.9) (effective as of 25 April 2024)Principle 4 - Permissible activities (paras. 40.10-40.11) (effective as of 25 April 2024)Principle 5 - Licensing criteria (paras. 40.12-40.13) (effective as of 25 April 2024)Principle 6 - Transfer of significant ownership (paras. 40.14-40.15) (effective as of 25 April 2024)Principle 7 - Major acquisitions (paras. 40.16-40.17) (effective as of 25 April 2024)Principle 8 - Supervisory approach (paras. 40.18-40.19) (effective as of 25 April 2024)Principle 9 - Supervisory techniques and tools (paras. 40.20-40.22) (effective as of 25 April 2024)Principle 10 - Supervisory reporting (paras. 40.23-40.24) (effective as of 25 April 2024)Principle 11 - Corrective and sanctioning powers of supervisors (paras. 40.25-40.26) (effective as of 25 April 2024)Principle 12 - Consolidated supervision (paras. 40.27-40.29) (effective as of 25 April 2024)Principle 13 - Home-host relationships (paras. 40.30-40.31) (effective as of 25 April 2024)Principle 14 - Corporate governance (paras. 40.32-40.33) (effective as of 25 April 2024)Principle 15 - Risk management process (paras. 40.34-40.35) (effective as of 25 April 2024)Principle 16 - Capital adequacy xxx (paras. 40.36-40.38) (effective as of 25 April 2024)Principle 17 - Credit risk (paras. 40.39-40.40) (effective as of 25 April 2024)Principle 18 - Problem assets, provisions and reserves (paras. 40.41-40.42) (effective as of 25 April 2024)Principle 19 - Concentration risk and large exposure limits (paras. 40.43-40.45) (effective as of 25 April 2024)Principle 20 - Transactions with related parties (paras. 40.46-40.47) (effective as of 25 April 2024)Principle 21 - Country and transfer risks (paras. 40.48-40.49) (effective as of 25 April 2024)Principle 22 - Market risk (paras. 40.50-40.51) (effective as of 25 April 2024)Principle 23 - Interest rate risk in the banking book (paras. 40.52-40.53) (effective as of 25 April 2024)Principle 24 - Liquidity risk (paras. 40.54-40.55) (effective as of 25 April 2024)Principle 25 - Operational risk and operational resilience (paras. 40.56-40.58) (effective as of 25 April 2024)Principle 26 - Internal control and audit (paras. 40.59-40.60) (effective as of 25 April 2024)Principle 27 - Financial reporting and external audit (paras. 40.61-40.63) (effective as of 25 April 2024)Principle 28 - Disclosure and transparency (paras. 40.64-40.65) (effective as of 25 April 2024)Principle 29 - Abuse of financial services (paras. 40.66-40.67) (effective as of 25 April 2024)BCP98 Update on Committee standards, guidelines and sound practices (paras. 98.1-98.4) (effective as of 25 April 2024)(paras. 98.1-98.4) (effective as of 25 April 2024)BCP99 Structure and guidance for assessment reports prepared by the International Monetary Fund and World Bank (paras. 99.1-99.22) (effective as of 25 April 2024)(paras. 99.1-99.22) (effective as of 25 April 2024)
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Version date: 15 December 2019 - onwards
CRE70 Capital treatment of unsettled transactions and failed trades (paras. 70.1-70.12) (effective as of 15 December 2019)
This chapter sets out the capital requirements that apply to failed trades and unsettled securities, commodities, and foreign exchange transactions.
Version effective as of 15 Dec 2019
First version in the format of the consolidated framework.
Overarching principles
70.1 Banks are exposed to the risk associated with unsettled securities, commodities, and foreign exchange transactions from trade date. Irrespective of the booking or the accounting of the transaction, unsettled transactions must be taken into account for regulatory capital requirements purposes.
70.2 Banks are encouraged to develop, implement and improve systems for tracking and monitoring the credit risk exposure arising from unsettled transactions and failed trades as appropriate so that they can produce management information that facilitates timely action. Banks must closely monitor securities, commodities, and foreign exchange transactions that have failed, starting the first day they fail.
Delivery-versus-payment transactions
70.3 Transactions settled through a delivery-versus-payment system (DvP), [For the purpose of this Framework, DvP transactions include payment-versus-payment transactions.] providing simultaneous exchanges of securities for cash, expose firms to a risk of loss on the difference between the transaction valued at the agreed settlement price and the transaction valued at current market price (ie positive current exposure). Banks must calculate a capital requirement for such exposures if the payments have not yet taken place five business days after the settlement date, see CRE70.9 below.