Entire Section

  • Unsettled Transactions

    • PIB A4.6.5

      An Authorised Firm must calculate the Credit RWA for transactions in which debt instruments, equities, foreign currencies and commodities (excluding repos, reverse repos and Securities or commodities lending/borrowing) remain unsettled after their due delivery dates, using the following formula:

      Credit RWA on Unsettled Transactions = E x the appropriate percentage from the second column in the table below:

      Number of business days after due settlement date Percentages used for calculation of Credit RWA on Unsettled Transactions
      0–4 0%
      5–15 100%
      16–30 500%
      31–45 750%
      46 or more 1000%
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.6

      If assets involved in the transaction are to be received by the Authorised Firm and the transaction remains unsettled: E = MV-CV.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.7

      If assets involved in the transaction are to be delivered by the Authorised Firm and the transaction remains unsettled: E = CV-MV. If the values for E calculated above are negative, E = 0.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.8 PIB A4.6.8

      An Authorised Firm must determine E for an unsettled non-DvP transaction as equal to the outstanding receivables after the end of the first contractual payment or delivery date.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.6.8 Guidance

        1. E is the price difference to which the Authorised Firm is exposed, being 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 firm.
        2. In cases of a system-wide failure of a settlement or clearing system, an Authorised Firm need not calculate CRCOM on transactions remaining unsettled till the settlement or clearing system is brought back to normal operations.
        3. In respect of unsettled non-DvP transactions referred to in PIB Rule A4.6.8, if the dates when two payment legs are made are the same according to the time zones where each payment is made, they are deemed to have been settled on the same day.
        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]