Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p7
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 7/35)
Character Range: 43437–46218

posted collateral to a QCCP must risk weight those assets in accordance with the relevant banking book or trading book treatment that would otherwise apply regardless of the fact that such assets have been posted as collateral.
27.         For collateral posted by a clearing member ADI to a QCCP, the ADI:
(a)          may apply a zero risk weight to all posted collateral that is held by a custodian where that collateral is bankruptcy remote from the QCCP;[16],[17] and
(b)          must apply a two per cent risk weight to all posted collateral held by the QCCP where that collateral is not held in a bankruptcy remote manner.[18]
28.         For collateral posted by a client ADI to a QCCP, the ADI:
(a)          may apply a zero risk weight to all posted collateral that is held by a custodian where the collateral is bankruptcy remote from the QCCP, the clearing member, and the clearing member's other clients;
(b)          must apply a two per cent risk weight to all posted collateral held by the QCCP if the collateral is not bankruptcy remote from the QCCP, and all conditions (a), (b) and (c) in paragraph 22 of this Attachment are satisfied; and
(c)          must apply a four per cent risk weight to all posted collateral held by the QCCP if the collateral is not bankruptcy remote from the QCCP and only conditions (a) and (c) in paragraph 22 of this Attachment are satisfied.

Exposures arising from transactions cleared through a non-qualifying CCP
29.         For all transactions with a non-qualifying CCP, an ADI must calculate the following counterparty credit risk requirements:
(a)          trade exposure RWE in respect of the ADI's trade exposure to the non-qualifying CCP (including any exposure to the non-qualifying CCP that arises due to the ADI guaranteeing a client trade), calculated in accordance with Attachment A of this Prudential Standard, and risk weighted in accordance with APS 112;[19]
(b)          trade exposure RWE in respect of any exposure to the ADI's clients, calculated in accordance with Attachment A of this Prudential Standard and:
(i)            for an IRB ADI, risk weighted in accordance with to APS 113;[20] or
(ii)         for a standardised ADI, risk weighted in accordance with APS 112;
(c)          a CVA risk capital charge in respect of the non-qualifying CCP and any clients, calculated in accordance with Attachment A of this Prudential Standard; and
(d)          where the ADI is a clearing member of the non-qualifying CCP, default fund RWE, given by:
where:
RWE = the clearing member ADI's risk-weighted exposure (RWE) in respect of its default fund exposure to the non-qualifying CCP; and
DF = the clearing member ADI's pre-funded contribution to the default fund of the non-qualifying CCP, plus a proportion, to