Document ID: chunk:federal_register_of_legislation:F2024L01518:body:0:p23
Version: federal_register_of_legislation:F2024L01518
Segment Type: other
Provision Reference: 
Character Range: 60764–62152

subordination or seniority, optionality, strike price, credit events, reference name and any other characteristics relevant to the valuation of the derivative.

[25]  SFT has the meaning given in paragraph 14(aa) of APS 112.

[26]  For SFT assets subject to novation and cleared through QCCPs, 'gross SFT assets recognised for accounting purposes' are replaced by the final contractual exposure, given that pre-existing contracts have been replaced by new legal obligations through the novation process. However, ADIs may only net cash receivables and cash payables with a QCCP if the criteria in paragraph 38(a)(ii) are met. Any other netting permitted by the QCCP is not permitted for the purposes of the leverage ratio.

[27]  To achieve such equivalence, both transactions are settled through the same settlement system and the settlement arrangements are supported by cash or intraday credit facilities intended to ensure that settlement of both transactions will occur by the end of the business day and, any issues arising from the securities legs of the SFTs do not interfere with the completion of the net settlement of the cash receivables and payables. The failure of any single securities transaction in the settlement mechanism may delay settlement of only the matching cash leg or create an obligation to the settlement mechanism, supported by an associated credit facility.