Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p4
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 4/35)
Character Range: 35711–38504

bilateral transaction;
(c)          for a netting set where the number of trades exceeds 5,000 at any point during a quarter, the 20-business day floor for MPOR specified in paragraph 31 of Attachment G of APS 112 does not apply if the netting set does not contain any illiquid collateral, exotic trades or disputed trades; and
(d)          where a QCCP retains variation margin against certain transactions and that variation margin is not protected against the insolvency of the QCCP, set the transaction's maturity factor (MF) under the SA-CCR to that of the unmargined case under paragraph 48 of Attachment D.
13.         A clearing member ADI may calculate its trade exposure to a QCCP applying appropriate netting when the below two conditions are satisfied:
(a)          settlement is legally enforceable on a net basis in an event of default regardless of whether the counterparty is insolvent or bankrupt; and
(b)          all netting agreements meet the requirements for the bilateral case set out in Attachment H of APS 112.[14]
14.         Where a clearing member ADI cannot demonstrate that a netting agreement meets the requirements in paragraph 13 of this Attachment, it must treat each single transaction with the QCCP as a netting set of its own for the calculation of trade exposure.
15.         If a clearing member ADI first collects collateral from a client for a client-cleared trade and then this collateral is passed on to the QCCP, the ADI may recognise this collateral for both the QCCP-to-clearing member leg and the clearing member-to-client leg of the client-cleared transaction.
16.         Where a clearing member ADI is transacting with a QCCP for its own purposes, the clearing member ADI must apply a two per cent risk weight to its trade exposure to the QCCP (excluding any posted collateral eligible for a zero risk weight under paragraph 27(a) of this Attachment).
17.         Where a clearing member ADI offers clearing services to clients, the clearing member ADI must apply a two per cent risk weight to its trade exposure to the QCCP (excluding any posted collateral eligible for a zero risk weight under paragraph 27(a) of this Attachment) arising from any obligations to reimburse a client for any losses suffered due to changes in transaction value in the event that the QCCP defaults.
18.         The risk weight applied to any collateral posted by a clearing member ADI to the QCCP that is included in the definition of trade exposure in paragraph 8(ee) of this Prudential Standard must be determined in accordance with paragraphs 25 to 28 of this Attachment.

Clearing member ADI's exposure to clients
19.         For the clearing member ADI-to-client leg of a transaction with a QCCP, a clearing member ADI must calculate its counterparty credit