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.