• 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.