Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p33
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 33/35)
Character Range: 112952–115751

per paragraph 48(a) of Attachment D.
[13]  Trade exposure includes any posted collateral but excludes any default fund contributions. Refer to paragraph 8(ee) for the complete definition of trade exposure.
[14]  To the extent that the rules referenced in Attachment H of APS 112 include the term 'master agreement' or the phrase 'a netting contract with a counterparty or other agreement', this terminology must be read as including any enforceable arrangement that provides legally enforceable rights of set-off.
[15]  Trade exposure is defined in paragraph 8(bb) of this Prudential Standard.
[16]  A custodian may include a trustee, agent, pledgee, secured creditor or any other person that holds property in a way that does not give such person a beneficial interest in such property and will not result in such property being subject to legally-enforceable claims by such persons' creditors, or to a court-ordered stay of the return of such property, if such person becomes insolvent or bankrupt.
[17]  For the avoidance of doubt, such collateral should not be included in the calculation of EAD under the SA-CCR
[18]  For the avoidance of doubt, such collateral should be included in the calculation of EAD under the SA-CCR.
[19]  An ADI must apply the standardised risk-weighting methodology of APS 112 regardless of whether the ADI has approval to use an internal ratings-based approach to credit risk under APS 113.
[20]  For the avoidance of doubt, an IRB ADI that has IRB approval for a portion of its exposures must determine the risk weights for exposures subject to the standardised approach to credit risk in accordance with APS 112, as required under APS 113.
[21]  This includes the calculation for Step 1 and the CCP-level inputs used in Step 2.
[22]  KCCP is calculated on a consistent basis for the sole purpose of determining the capital requirements of a clearing member's default fund contribution. It does not represent the actual capital requirements of a QCCP.
[23]  This collateral includes initial margin, default fund contribution, variation margin, over-collateralisation, and the collateral posted by clients as specified in paragraph 15 of Attachment B.
[24]  The 20-business day floor outlined in paragraph 31(a) of Attachment G of APS 112 does not apply to this case.
[25]  A party can either be a clearing member or a client.
[26]  See footnote 24.
[27]  Transactions are considered to be margined where there is exchange of variation margin. Other forms of collateral may also exist.
[28]  Transactions are considered unmargined in the case that there is no exchange of variation margin, but collaterals other than VM such as in the form of independent collateral amount (ICA) may exist.
[29]  Derivative transactions with two floating legs that are denominated in