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%