Document ID: chunk:federal_register_of_legislation:F2023L01599:front:0:p5
Version: federal_register_of_legislation:F2023L01599
Segment Type: other
Provision Reference: 
Character Range: 11076–14084

held is less than the net market value of the derivative contracts;
(v)          over-the-counter (OTC) derivative transaction — is a customised, privately negotiated, risk-shifting agreement, the value of which is derived from the value of an underlying asset;
(w)        qualifying CCP (QCCP) — is an entity that is licensed to operate as a CCP (including a licence granted by way of confirming an exemption), and is permitted by the CCP's regulator/supervisor to operate as such with respect to the products offered. The entity must be based and prudentially supervised in a jurisdiction where the relevant regulator/overseer has established, and publicly indicated that it applies to the CCP on an ongoing basis, domestic rules and regulations that are consistent with the Committee on Payments and Market Infrastructures and International Organization of Securities Commissions (CPMI-IOSCO) Principles for Financial Market Infrastructures as it exists from time to time. In order for a CCP to be a QCCP, it must also calculate or make available the necessary data to allow for the calculation of an ADI's default fund capital charge;
(x)          reference entity — the entity or entities whose obligations are used to determine whether a credit event has occurred under the terms of a credit derivative contract;
(y)          reference obligation — the obligation used to calculate the amount payable when a credit event occurs under the terms of a credit derivative contract. A reference obligation is relevant for obligations that are to be cash settled (on a par-less-recovery basis);[1]
(z)          SA-CCR — the standardised approach for measuring counterparty credit risk exposures (SA-CCR) is the methodology set out in Attachment D of this Prudential Standard;
(aa)       securities financing transactions (SFTs) — are transactions such as repurchase agreements, reverse repurchase agreements and securities lending and borrowing transactions where the value of the transactions depends on the market valuation of securities and the transactions are typically subject to margin agreements;
(bb)      settled-to-market — refers to a centrally cleared derivative transaction where the variation margin paid constitutes settlement of an exposure, as opposed to the posting of collateral;
(cc)       standardised ADI — is an ADI that does not have approval from APRA to use an IRB approach to credit risk;
(dd)      threshold — is the amount specified in a margin agreement that defines the level of exposure above which margin will be posted. The threshold represents the amount of uncollateralised exposure allowed under the margin agreement;
(ee)       trade exposure — is an exposure a clearing member or a client of a clearing member has to a CCP reflecting a measure of the current mark-to-market value (replacement cost) and the potential future exposure arising from OTC derivative transactions, exchange-traded derivative transactions, SFTs and long settlement transactions. Trade exposure