Entire Section

  • PIB A4.7 PIB A4.7 Credit RWA — Repurchase Agreements, Reverse Repurchase Agreements, Similar Transactions and Other Deferred Settlements

    • PIB A4.7.1

      This section applies to transactions in the Trading Book in relation to repurchase agreements, reverse repurchase agreements, similar transactions and deferred settlements.

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

    • PIB A4.7.2

      For repurchase agreements and reverse repurchase agreements the formula for Credit RWA, which must be calculated from T, is as follows: Credit RWA = E x CRW.

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

    • PIB A4.7.3

      For repurchase agreements: E = MV of the Securities sold − value of the Collateral or cash received.

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

    • PIB A4.7.4

      For reverse repurchase agreements: E = Amount paid or Collateral given − MV of the Securities received.

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

    • PIB A4.7.5

      If the E calculated is negative: Credit RWA = 0.

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

    • PIB A4.7.6

      The MV of Securities and the value of cash lodged must include accrued interest.

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

    • PIB A4.7.7

      The MV of Securities and the value of Collateral under PIB A4.7.3 to PIB A4.7.6 should be calculated in accordance with the Credit Risk mitigation provisions set out in PIB section 4.13.

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

    • PIB A4.7.8

      For deferred settlement purchases and sales transactions over the spot period: Credit RWA = 0.

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

    • PIB A4.7.9

      The 'spot period' means the shortest time between T and:

      (a) the contractual settlement date;
      (b) the normal local market settlement date; and
      (c) T + five business days.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.7.10

      For deferred settlement purchases and sales transactions with a contractual settlement date after the spot period as set out above but less than T + five business days:

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

    • PIB A4.7.11

      Credit RWA for deferred settlement transactions = E x CRW

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

    • PIB A4.7.12 PIB A4.7.12

      For deferred settlement purchases and sales transactions with a contractual settlement date exceeding T + five business days: Credit RWA for deferred settlement transactions = E x CRW x the appropriate multiplier from the table below:

      Number of business days calculated from T Percentages used for calculation of CRCOM on deferred settlement transactions
      6–30 5
      31–45 7.5
      46 or more 10
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A4.7.12 Guidance

        Credit RWA for deferred settlement transactions applies even if the deferred settlement contract is not overdue.

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