PRU A4.6.9

Past version: effective from 21/10/2015 - 20/10/2015
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The CRW for transactions in which an Authorised Person has:

(a) delivered Securities or commodities before receiving payment;
(b) paid for Securities or commodities before receiving the items purchased; or
(c) entered into a foreign exchange contract undertaken in the spot market or contracted for forward settlement and has released funds to its Counterparty but has not yet received the funds in the other currency;

is calculated by the formula:
Credit RWA on free deliveries = E × CRW × the multiplier from the table below:

Number of business days since delivery Multiplier used for calculation of Credit RWA on free deliveries
0–15 1
16–30 5
31–45 7.5
46 or more 10