Reporting on own funds and own funds requirements


C 11.00 – Settlement/Delivery Risk (CR SETT)



Download 1.36 Mb.
Page16/29
Date31.05.2016
Size1.36 Mb.
1   ...   12   13   14   15   16   17   18   19   ...   29

C 11.00 – Settlement/Delivery Risk (CR SETT)

  1. General remarks


93.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR.

94.Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

95.According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR.

96.In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is 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 institution.

97.Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements.

98.According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount.

99.Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

      1. Instructions concerning specific positions


Columns

010

UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article  378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices.



All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

020

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution.

Only unsettled transactions at a loss after the due settlement date shall be reported in column 020


030

OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.



040

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.





Rows

010

Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR).

Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 010/030 the aggregated own funds requirements derived summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).


020 to 060

Transactions unsettled up to 4 days (Factor 0%)

Transactions unsettled between 5 and 15 days (Factor 8%)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75%)

Transactions unsettled for 46 days or more (Factor 100%)

Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.


070

Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR).

Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices.

Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss.

Institutions report in 070/030 the aggregated own funds requirements derived summing the own funds requirements for unsettled transactions by multiplying the “price difference” reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).


080 to 120

Transactions unsettled up to 4 days (Factor 0%)

Transactions unsettled between 5 and 15 days (Factor 8%)

Transactions unsettled between 16 and 30 days (Factor 50 %)

Transactions unsettled between 31 and 45 days (Factor 75%)

Transactions unsettled for 46 days or more (Factor 100%)

Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120.

No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.






    1. Share with your friends:
1   ...   12   13   14   15   16   17   18   19   ...   29




The database is protected by copyright ©essaydocs.org 2020
send message

    Main page