Document ID: chunk:federal_register_of_legislation:F2024L01518:body:0:p20
Version: federal_register_of_legislation:F2024L01518
Segment Type: other
Provision Reference: 
Character Range: 53176–56034

{0, [Ei – Ci]}
Ei* may be set to zero if:
 1.         Ei is the cash lent to a counterparty;
 2.         this transaction is treated as its own netting set; and
 3.         the associated cash receivable is not eligible for the netting treatment in paragraph 38(a) of this Attachment.
 1.          For the purposes of paragraph 38(b) of this Attachment, 'counterparty' includes not only the counterparty of the bilateral repurchase transactions, but also triparty repurchase agents that receive collateral in deposit and manage the collateral in the case of triparty repurchase transactions. Securities deposited at triparty repurchase agents are included in the total value of securities and cash lent to a counterparty (E) up to the amount effectively lent to the counterparty in a repurchase transaction. However, excess collateral that has been deposited at triparty agents but that has not been lent out may be excluded.
 2.          For the purpose of paragraph 38(b), a bilateral netting agreement for covering SFTs may be recognised as a qualifying MNA on a counterparty by counterparty basis only if it:
         1.           is legally enforceable in each relevant jurisdiction upon the occurrence of an event of default, regardless of whether the counterparty is insolvent or bankrupt;
         2.           provides the non-defaulting party with the right to terminate and close out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty;
         3.           provides for the netting of gains and losses on transactions (including the value of any collateral) terminated and closed out under it so that a single net amount is owed by one party to the other; and
         4.           allows for the prompt liquidation or set-off of collateral in the event of default.
 3.          Netting across SFT positions held in the banking book and trading book will only be recognised when the netted transactions meet the conditions set out in paragraph 6 of Attachment H to APS 112.
 4.          Where an ADI applies sale accounting to an SFT in accordance with Australian Accounting Standards, it must reverse all sales-related accounting entries, and then calculate its exposure as if the SFT had been treated as a financing transaction under those standards (i.e. the ADI must include the sum of amounts in paragraphs 38(a) and 38(b) of this Attachment for such an SFT) for the purposes of determining its exposure measure.

ADI acting as an agent
 1.          An ADI acting as an agent in an SFT may apply paragraph 38(b) of this Attachment to calculate its exposure measure for the transaction where:
         1.           the ADI provides an indemnity or guarantee to a customer or counterparty for any difference between the value of the security