Authorised Firmmust calculate the Credit RWAfor transactions in which debt instruments, equities, foreign currencies and commodities (excluding repos, reverse repos and Securitiesor commodities lending/borrowing) remain unsettled after their due delivery dates, using the following formula: Credit RWAon Unsettled Transactions= E x 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 RWAon Unsettled Transactions 0–4 0% 5–15 100% 16–30 500% 31–45 750% 46 or more 1000%
If assets involved in the transaction are to be received by the
Authorised Firmand the transaction remains unsettled: E = MV-CV.
If assets involved in the transaction are to be delivered by the
Authorised Firmand the transaction remains unsettled: E = CV-MV. If the values for E calculated above are negative, E = 0.
PIB A4.6.8 PIB A4.6.8
Authorised Firmmust determine E for an unsettled non-DvP transaction as equal to the outstanding receivables after the end of the first contractual payment or delivery date.
PIB A4.6.8 Guidance1. E is the price difference to which the
Authorised Firmis exposed, being the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the firm.2. In cases of a system-wide failure of a settlement or clearing system, an Authorised Firmneed not calculate CRCOMon transactions remaining unsettled till the settlement or clearing system is brought back to normal operations.3. In respect of unsettled non-DvP transactions referred to in PIB Rule A4.6.8, if the dates when two payment legs are made are the same according to the time zones where each payment is made, they are deemed to have been settled on the same day.