Document ID: chunk:federal_register_of_legislation:F2023L01436:body:0:p7
Version: federal_register_of_legislation:F2023L01436
Segment Type: other
Provision Reference: 
Character Range: 16180–19659

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 Payment and Settlement Systems and International Organization of Securities Commissions (CPSS-IOSCO) Principles for Financial Market Infrastructures. 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.
    Reporting period means a period mentioned in paragraph 9 or, if applicable, as varied under paragraph 10 or 11.
    Securities financing transactions (SFTs) means 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.
    Significant financial institution has the meaning given in APS 001.
    Standardised ADI means an ADI that does not have approval from APRA to use an IRB approach to credit risk.
    Subsidiary has the meaning given in the Corporations Act 2001.
    Trade exposure means 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 is calculated on a bilateral basis, and must include the initial margin posted by an ADI, as well as any variation margin due to the ADI from the CCP that has not yet been received.
19.         Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a  reference to the instruments as in force from time to time.

  ARF_180_1: Standardised - Counterparty Credit Risk and CVA Risk

Australian Business Number  Institution Name

Reporting Period            Scale Factor

Reporting Consolidation
Level 1 / Level 2

Section A: Bilateral exposures

  1        Derivative exposures

                                                                                                Notional principal amount - margined  Notional principal amount - unmargined  Credit conversion factor %  Potential future exposure  Current exposure  Credit equivalent amount  RWE
                                                                                                (1)                                   (2)                                     (3)                         (4)                        (5)               (6)                       (7)
     1.1       Interest rate contracts
        1.1.1        Residual maturity 1 year or less
        1.1.2        Residual maturity > 1 year to 5 years
        1.1.3        Residual maturity > 5 years
        1.1.4        Contracts with residual maturity > 1 year that are subject to a CCF floor
        1.1.5        Contracts with multiple exchanges of principal
        1.1.6        Counterparty credit risk
        1.1.7        Total

     1.2       Foreign