Document ID: chunk:federal_register_of_legislation:F2022L01577:body:0:p14
Version: federal_register_of_legislation:F2022L01577
Segment Type: other
Provision Reference: 
Character Range: 35091–38006

non-qualifying CCPs as the sum of clearing exposures (determined in accordance with paragraph 32 of this Attachment) and non-clearing exposures (determined in accordance with paragraph 34 of this Attachment). This aggregate exposure is subject to the large exposure limits in paragraph 30 of this Prudential Standard.
32.         Clearing exposures to a non-qualifying CCP are calculated as:
(a)          for trade exposures, the exposure measure corresponding to trading book exposure value determined in accordance with APS 112;
(b)          for non-segregated initial margin, the nominal amount of initial margin posted;
(c)          for pre-funded default fund contributions, the funded contribution; and
(d)          for equity stakes, the nominal amount.
    Clearing exposures to a non-qualifying CCP in relation to segregated initial margin and unfunded default fund contributions are excluded.
33.         When an ADI acts as a clearing member to a CCP or is a client of a clearing member, the counterparty to which exposures are assigned must be determined in accordance with APS 180.
34.         Non-clearing exposures to a non-qualifying CCP are all exposures to a non-qualifying CCP not directly related to the provision of clearing services (e.g. funding facilities, credit facilities, and guarantees).

[1]   For the avoidance of doubt, a reference to a counterparty includes a structured vehicle.
[2]  Exposures which are 1250 per cent risk-weighted under Prudential Standard APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) are subject to the large exposure limits.
[3]  In the case of an ADI using the standardised approach to credit risk, insured mortgages are those subject to risk-weights for residential property under paragraph 16 of Attachment A of APS 112.
[4]  Paragraph 30(a) includes exposures guaranteed by, or secured against securities issued by, foreign governments or central banks that receive a zero per cent risk weight under Attachment B of APS 112, provided the criteria for recognition of the credit risk mitigation in paragraphs 2 to 3 of Attachment A are met.
[5]  Refer to Information Paper - Domestic systemically important banks in Australia as at December 2013.
[6]  Prudential limits on an ADI's exposures to related entities are set out in Prudential Standard APS 222 Associations with Related Entities (APS 222). The limits on exposures to related entities in APS 222 do not apply to the exposures of an ADI to its unrelated entities.
[7]  Refer to subsection 11AF(2) of the Banking Act.
[8]  SFTs are defined in paragraph 14 of APS 112.
[9]  APS 112 only recognises CRM with maturity mismatches when their original maturities are greater than or equal to 12 months and the residual maturity of the CRM is more than three months.
[10]  Where the market value of the credit derivative is positive for the protection seller, the positive market