Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p12
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 12/35)
Character Range: 56265–59011

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 for a given type of transaction.
12.         In calculating each sub account-level EAD amount the following three conditions must be satisfied:
(a)          the netting sets that are applicable to regulated clearing members (and their clients) of the QCCP must be the same as those referred to in paragraphs 13 and 14 of Attachment B. All other clearing members (and their clients) of the QCCP must otherwise follow the netting rules as laid out by the QCCP based upon notification of each of its clearing members. Where APRA is not satisfied with these netting rules, APRA may request an ADI to ensure that more granular netting sets than as laid out by the QCCP are used in the calculation;
(b)          if the default fund contributions of the clearing member of the QCCP are not split with regard to client and house sub-accounts, these default fund contributions must each be allocated per sub-account according to the respective fraction the initial margin of that sub-margin has in relation to the total initial margin posted by or for the account of the clearing member; and
(c)          within each sub-account (of both the client and the house), the pre-funded initial margin provided by the clearing member or client, as well as the default fund contribution provided by the clearing member or apportioned to the client, must be allocated to the derivative and SFT exposures in proportion to the respective product specific EADs, calculated in accordance with the SA-CCR methodology without including the effects of collateral for derivative transactions; or as the exposure value under Attachment G of APS 112 for SFTs.
13.         For derivative transactions, each sub account-level EAD must be calculated as the bilateral trade exposure the QCCP has against the clearing member ADI or client ADI using the SA-CCR methodology and is subject to the following two requirements:
(a)          all collateral[23] held by the QCCP to which it has a legal claim in the event of the default of the member or client, must be used to offset the QCCP's EAD to that member or client through inclusion in the potential future exposure (PFE) multiplier in accordance with paragraph 14 of Attachment D of this Prudential Standard; and
(b)          a MPOR of 10 business days must be used for the calculation of the EAD.[24]
14.         For SFTs, each sub account-level EAD amount must be calculated according to the following formula:
where:
EADiSFT = the EAD amount of the QCCP to the SFT exposure