Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p10
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 10/35)
Character Range: 51031–53933

with settlement risk only and products or types of business that give rise to counterparty credit risk (i.e. OTC derivative transactions, exchange-traded derivative transactions, SFTs or long settlement transactions), all of the default fund contributions will receive the risk weight determined according to the methodology outlined in paragraphs 3 to 15 of this Attachment, without apportioning to different classes or types of business or products under paragraph 3 of this Attachment.
3.             Where the default fund is segregated by product types and only accessible for specific product types, the capital charge for those default fund exposures must be calculated for each specific product giving rise to counterparty credit risk.
4.             When a QCCP's pre-funded own resources are shared among product types, those funds must be allocated to each of the calculations in proportion to the respective product-specific EADs in the calculation of the ADI's own default fund exposure to that QCCP.
5.             The default fund capital charge for a clearing member ADI's default fund exposure is obtained by following a two-step process:
(a)          Step 1 - the calculation of a risk-sensitive measure of the exposure a QCCP has to all its clearing members and their clients (refer to paragraphs 7 to 14 of this Attachment); and
(b)          Step 2 - the calculation of the default fund capital charge for the clearing member ADI (refer to paragraph 15 of this Attachment).
6.             A clearing member ADI may rely on the QCCP to undertake the calculations in paragraphs 7 to 14 of this Attachment and provide to the clearing member ADI the necessary data to calculate its default fund capital charge, provided any calculations undertaken by the QCCP meet the following conditions:
(a)          the QCCP's calculations are undertaken in a transparent manner with sufficient shared information so as to permit:
(i)            a supervisor of the QCCP to oversee those calculations;
(ii)         the clearing member ADI to calculate the default fund capital charge on its own default fund contributions; and
(iii)       APRA to review and confirm such calculations upon request;
(b)          all calculations, including both steps and the inputs to both steps, must be repeated upon any material change (such as the QCCP clearing a new product, or when there are material changes to the number of or the exposure of cleared transactions or material changes to the financial resources of the QCCP), and, in any case, at least quarterly. APRA may request a refreshed or more frequent recalculation at any time; and
(c)          sufficient aggregate information about the composition of the QCCP's exposures to its clearing members, as well as any information[21] provided to the ADI for calculation purposes, is made available to APRA at least quarterly, or upon request.
Where any