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• ## PRU A4.7.1

This Section applies to transactions in the Trading Book in relation to repurchase agreements, reverse repurchase agreements, similar transactions and deferred settlements.

• ## PRU A4.7.2

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.

• ## PRU A4.7.3

For repurchase agreements:

E = MV of the Securities sold - value of the Collateral or cash received.

• ## PRU A4.7.4

For reverse repurchase agreements:

E = Amount paid or Collateral given — MV of the Securities received.

• ## PRU A4.7.5

If the E calculated is negative:

Credit RWA = 0.

• ## PRU A4.7.6

The MV of Securities and the value of cash lodged must include accrued interest.

• ## PRU A4.7.7

The MV of Securities and the value of Collateral under A4.7.3 to A4.7.6 should be calculated in accordance with the CRM provisions set out in Section 4.13.

• ## PRU A4.7.8

For deferred settlement purchases and sales transactions over the spot period: Credit RWA = 0.

• ## PRU A4.7.9

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.

• ## PRU A4.7.10

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.

• ## PRU A4.7.11

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 T Percentages used for calculation of Credit RWA on deferred settlement transactions 6–30 500% 31–45 750% 46 or more 1000%

• ## Guidance

Credit RWA for deferred settlement transactions applies even if the deferred settlement contract is not overdue.