• Unsettled Transactions

    • PRU A4.6.5

      An Authorised Person 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 × 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%

    • PRU A4.6.6

      If assets involved in the transaction are to be received by the Authorised Person and the transaction remains unsettled:

      E = max(MV-CV, 0)

      where MV is the market value of the assets and CV represents the contracted value for delivery of the assets.

    • PRU A4.6.7 PRU A4.6.7

      If assets involved in the transaction are to be delivered by the Authorised Person and the transaction remains unsettled:

      E = max(CV-MV, 0)

      • Guidance

        E is the price difference to which the Authorised Person 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.