PRU A4.7 PRU A4.7 Credit RWA — repurchase agreements, reverse repurchase agreements, similar transactions and other deferred settlements
This Section applies to transactions in the Trading Book in relation to repurchase agreements, reverse repurchase agreements, similar transactions and deferred settlements.
For repurchase agreements and reverse repurchase agreements the formula for Credit RWA, which must be calculated from T, is as follows:
Credit RWA = E × CRW.
For repurchase agreements:E = MV of the Securities sold - value of the Collateral or cash received.
For reverse repurchase agreements:E = Amount paid or Collateral given — MV of the Securities received.
If the E calculated is negative:
Credit RWA = 0.
The MV of Securities and the value of cash lodged must include accrued interest.
For deferred settlement purchases and sales transactions over the spot period: Credit RWA = 0.
The 'spot period' means the shortest time between T and:(a) the contractual settlement date;(b) the normal local market settlement date; and(c) T + five business days.
For deferred settlement purchases and sales transactions with a contractual settlement date after the spot period as set out above but less than (T + five business days):
Credit RWA = E x CRW.
Not currently in use.
PRU A4.7.12 PRU A4.7.12
For deferred settlement purchases and sales transactions with a contractual settlement date exceeding (T + five business days):Credit RWA = E x CRW x the appropriate percentage from the table below:
Number of business days calculated from
Percentages used for calculation of Credit RWA on deferred settlement transactions 6–30 500% 31–45 750% 46 or more 1000%
Credit RWA for deferred settlement transactions applies even if the deferred settlement contract is not overdue.