PIB A4.7 PIB A4.7 Credit RWA — Repurchase Agreements, Reverse Repurchase Agreements, Similar Transactions and Other Deferred Settlements
This section applies to transactions in the
Trading Bookin relation to repurchase agreements, reverse repurchase agreements, similar transactions and deferred settlements.
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.
For repurchase agreements: E = MV of the
Securitiessold − value of the Collateralor cash received.
For reverse repurchase agreements: E = Amount paid or
Collateralgiven − MV of the Securitiesreceived.
If the E calculated is negative:
Credit RWA= 0.
The MV of
Securitiesand the value of cash lodged must include accrued interest.
For deferred settlement purchases and sales transactions over the spot period:
Credit RWA= 0.
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.
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:
Credit RWAfor deferred settlement transactions = E x CRW
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 RWAfor 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 CRCOMon deferred settlement transactions 6–30 5 31–45 7.5 46 or more 10
PIB A4.7.12 Guidance
Credit RWAfor deferred settlement transactions applies even if the deferred settlement contract is not overdue.