Examples of CMSL in a sentence
Where a contract that is settled on a delivery-versus-payment basis has been offset by a contra contract on or before the due date of settlement of the contract, or has been offset by a forced sale or buying-in transaction after the due date of the contract, a CMSL shall calculate a counterparty risk requirement in accordance with paragraphs 5.2.7 to 5.2.11.
Subject to paragraphs 12 to 17, a CMSL shall apply a risk weight to any counterparty exposure to a banking institution or a merchant bank in accordance with Table 5B-5.
A CMSL shall not recognise the effects of netting, collateralisation or other credit risk mitigants in reducing the counterparty exposure if such effects are already reflected in the issue-specific external credit assessment of the counterparty exposure.
A CMSL shall calculate an individual counterparty risk requirement on any positive counterparty exposure calculated in accordance with paragraph 5.2.5 as 8% of the counterparty exposure.
A CMSL may apply a 0% risk weight to cheques, drafts and other items drawn on banking institutions or merchant banks that are either payable immediately upon presentation or that are in the process of collection if the aggregate exposures to a counterparty arising from cheques, drafts and other items drawn on banking institutions or merchant banks that are either payable immediately upon presentation or that are in the process of collection do not exceed $20,000.
A CMSL shall not pick and choose the assessments provided by different recognised ECAIs nor arbitrarily change its choice of recognised ECAIs for each type of exposure after its initial selection.
For the purposes of paragraphs 5.2.1 to 5.2.6, a CMSL shall not offset a positive counterparty exposure against any negative counterparty exposure, whether arising from an open contract or a contract that remains unsettled on or after the due date, to the same counterparty.
Valuation6.1.5 A CMSL shall value, on a daily basis, any position at the current market value of the position.
A CMSL shall not use external credit assessments for a counterparty within a group to risk-weight other counterparties within the same group.
For any counterparty exposure to a banking institution or merchant bank that does not have an external credit assessment by a recognised ECAI, a CMSL shall apply the risk weight determined in accordance with Table 5B-5 or the risk weight that is applicable to a counterparty exposure to the central government of the jurisdiction in which the banking institution or merchant bank is incorporated or established, whichever is higher.