Entire Section

  • Free Delivery Transactions

    • PIB A4.6.9

      The CRW for transactions in which an Authorised Firm has:

      (a) delivered Securities or commodities before receiving payment;
      (b) paid for Securities or commodities before receiving the items purchased; or
      (c) entered into a foreign exchange contract undertaken in the spot market or contracted for forward settlement and has released funds to its Counterparty but has not yet received the funds in the other currency;

      is calculated by the formula:

      Credit RWA on free deliveries = E x CRW x the multiplier from the table below:

      Number of business days since delivery multiplier used for calculation of Credit RWA on free deliveries
      0–15 1
      16–30 5
      31–45 7.5
      46 or more 10
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A.4.6.10

      If an Authorised Firm has delivered commodities or Securities to a Counterparty and has not received payment: E = CV due to the Authorised Firm.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.11

      If an Authorised Firm has made payment to a Counterparty for commodities or Securities and has not received them: E = MV of the commodities or Securities.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.12

      If the settlement of the transaction is to be effected across a national border, Credit RWA needs to be calculated only when more than one business day has elapsed since the firm has made the relevant payment or delivery.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.13

      In the case of a Non-Trading Book item, an Authorised Firm must treat an Exposure in accordance with the relevant provisions of PIB chapter 4.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]