Document ID: chunk:federal_register_of_legislation:F2022L01577:body:0:p15
Version: federal_register_of_legislation:F2022L01577
Segment Type: other
Provision Reference: 
Character Range: 37771–38501

original maturities are greater than or equal to 12 months and the residual maturity of the CRM is more than three months.
[10]  Where the market value of the credit derivative is positive for the protection seller, the positive market value must be added to the exposure of the protection seller to the protection buyer, such as in the case where the present value of the already agreed but not yet paid periodic premium leg exceeds the present value of the contingent credit protection leg.
[11]  The treatment of options for large exposure purposes is different to the exposure values used for options in calculating capital requirements in APS 116.
[12]  Covered bonds are defined in Prudential Standard APS 121 Covered bonds.