Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p11
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 11/35)
Character Range: 53667–56514

(c)          sufficient aggregate information about the composition of the QCCP's exposures to its clearing members, as well as any information[21] provided to the ADI for calculation purposes, is made available to APRA at least quarterly, or upon request.
Where any of these conditions are not met, an ADI must treat its default fund exposure as if it were to a non-qualifying CCP and calculate default fund RWE in accordance with Attachment B.
7.             Step 1 is to compute the hypothetical capital requirement of the QCCP, KCCP,[22] due to its counterparty credit risk exposures to all of its clearing members and their clients. KQCCP must be calculated according to:
    where:

    RW = 20 per cent, except where APRA has determined that a higher risk weight must be used; and

    EADm = the exposure amount of the QCCP to the mth clearing member, which must be calculated according to paragraphs 8 to 14 of this Attachment.

In the circumstances where a CCP does not calculate and make available KQCCP to a clearing member ADI but otherwise satisfies the definition of QCCP, the ADI must seek APRA's approval for alternative arrangements for calculating its default fund capital charge. APRA may approve an application made under this paragraph.
8.             The exposure or the EAD amount must be calculated separately for derivative transactions and SFTs. The specific treatment depends on whether the clearing member provides client services and whether the client transactions and collaterals are held in separate sub-accounts to the clearing member's house sub-account.
9.             When a clearing member m provides client services to multiple clients (a client is denoted by c), and the client transactions and collaterals are held in separate (individual or omnibus) sub-accounts to clearing member m's house sub-account for proprietary business, the exposure for clearing member m, EADm, must be calculated separately for each client sub-account and the house sub-account, according to:
where:
EADmTYPE = the EAD of the QCCP to clearing member m's house sub-account for a given type of transaction; and
EADm,cTYPE = the EAD of the QCCP to client c's sub-account for a given type of transaction.
10.         When a clearing member m provides client services and those client transactions and collateral are not held in separate sub-accounts to the clearing member's house sub-account, then the exposure of m and all of its clients must be calculated together, according to:
where:
EADm,∑cTYPE = the EAD of the QCCP to both clearing member m's house sub-account, and all of its clients' sub-accounts for a given type of transaction.
11.         Where a clearing member  does not provide any client services, EADm must be calculated simply as:
where:
EADmTYPE =the EAD of the QCCP to clearing member m's house sub-account