PRU A4.6.5

An Authorised Person must calculate the Credit RWA for transactions in which debt instruments, equities, foreign currencies and commodities (excluding repos, reverse repos and Securities or commodities lending/borrowing) remain unsettled after their due delivery dates, using the following formula:

Credit RWA on Unsettled Transactions = E × the appropriate percentage from the second column in the table below:

Number of business days after due settlement date Percentages used for calculation of Credit RWA on Unsettled Transactions
0–4 0%
5–15 100%
16–30 500%
31–45 750%
46 or more 1000%