Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p13
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 13/35)
Character Range: 58774–61580

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 originated from party[25] i;
EBRMi = the exposure value of the SFTs that a QCCP has against party i before risk mitigation under Attachment G of APS 112. The mark-to-market value of the SFTs must incorporate the variation margin that has been exchanged before the margin called on the final margin call of the calculation date;
IMi  = initial margin allocated to SFT exposures posted by party i with the QCCP; and
DFi = the pre-funded default fund contribution allocated to the SFT exposure by party i, that will be applied upon the default of i if i is a clearing member, or of i's clearing member if  is a client, either along with or immediately following the posted initial margin to reduce the QCCP's loss.
In calculating EADiSFT, the minimum holding period used in the bilateral case for SFTs outlined in paragraph 30 of Attachment G of APS 112 must be applied.[26]
15.         Step 2 is to compute the default fund capital charge for an ADI, KADI, as a fraction of KQCCP. The capital charge for an ADI (KADI) is subject to a floor of 0.16 per cent (corresponding to a default fund exposure risk weight of two per cent) on an ADI pre-funded default fund contribution. KADI is determined by the ratio of the ADI's pre-funded default fund contribution to the total of all pre-funded resources and contributions from the QCCP itself and all of its clearing members, according to:
where:
DFADI = the pre-funded default fund contributions provided by the ADI;
DFCM  = the total pre-funded default fund contributions from all clearing members of the QCCP; and
DFCCP = the QCCP's pre-funded own resources which are contributed to the default waterfall, where these are junior or pari passu to pre-funded member contributions.

Attachment D — The standardised approach for measuring counterparty credit risk exposures (SA-CCR)
     1. This Attachment applies to an IRB ADI. The SA-CCR applies to OTC derivative transactions, exchange-traded derivative transactions and long settlement transactions. For the purposes of this Attachment, a long settlement transaction must be treated as an OTC derivative transaction. The SA-CCR does not apply to SFTs.
2.             The SA-CCR must be used for bilateral and centrally-cleared derivative transactions. The SA-CCR must be used for both margined[27] and unmargined[28] derivative transactions.

Exposure at default (EAD)
3.             To calculate EAD for:
(a)          unmargined transactions, apply the treatment in paragraphs 4 to 49 of this Attachment;
(b)          margined transactions where the set of transactions