The bank must capture unsettled securities, commodity and FX transactions from trade date and monitor failed trades from their first day (CRE70.1 to 70.2). The chapter covers transactions through clearing houses and CCPs with mismatched trades but excludes instruments under the CCR rules of CRE51, and unsettled amounts not on the balance sheet take a 100% CCF (CRE70.5 to 70.6). A settlement failure is not in itself a default, and supervisors may waive requirements during a system-wide failure (CRE70.7 to 70.8). For delivery-versus-payment trades still unpaid five business days after settlement date, the positive current exposure is multiplied by 8% for 5 to 15 days, 50% for 16 to 30 days, 75% for 31 to 45 days and 100% for 46 days or more (CRE70.3, 70.9). For free deliveries, once the bank has paid or delivered the first leg and the second leg is not received by end of day, it treats the exposure as a loan at the counterparty's standardised or IRB risk weight, with advanced IRB banks allowed a uniform 45% LGD and immaterial cases a uniform 100% weight (CRE70.4, 70.10 to 70.11). If the second leg is still outstanding five business days after its due date, the full value transferred plus replacement cost takes 1250% until settlement (CRE70.12).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.