PRU A4.6.11

The Credit RWA in respect of free delivery transactions are to be calculated in accordance with the following table:

 

Transaction stage Treatment
Up to first contractual payment or delivery leg No calculation required
From first contractual payment or delivery leg up to four business days after second contractual payment or delivery leg Treat as an exposure
From five business days post contractual payment or delivery leg until extinction of the transaction Treat as an exposure with a risk-weight of 1000%