Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p50
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 132506–135521

Underwriting Commitment, less any part of that amount that has been:
               1.        secured by collateral which is Liquid, evidenced in writing and valued at the mark-to-market value; or
               2.        received from the Sub Underwriter; and
        2.        the sub underwriting risk factor specified in Table A5.2.3, Annexure 5;
 2.        from the time the Sub Underwriting Commitment becomes unconditional until 31 days after the Sub Underwriting Commitment becomes unconditional, is 100% of the amount sub underwritten by the Sub Underwriter under the Sub Underwriting Commitment that remains due from the Sub Underwriter.

A1.2.8 Counterparty risk weighting
(1) Subject to subrules (2) to (6), a Market Participant may choose to calculate its counterparty risk amount in relation to a Counterparty as the counterparty risk amount calculated in accordance with Rules A1.2.2 to A1.2.7 multiplied by the counterparty risk weighting applicable for that Counterparty specified in Table A5.2.1 in Annexure 5 to Schedule 1A.

(2) A Market Participant can only calculate its counterparty risk amount for a Counterparty in accordance with subrule (1) if it calculates the counterparty risk amount in this manner for that Counterparty consistently across all methods within this Annexure 1.

(3) For the purposes of calculating the counterparty risk amount in relation to a Counterparty that the Market Participant has classified as an Approved Institution under paragraph (a) of the definition of Approved Institution and that is a subsidiary or member of a group of companies or funds, the Market Participant may only apply the counterparty risk weighting for Approved Institutions specified in Table A5.2.1 in Annexure 5 to Schedule 1A to that counterparty risk amount where:

(a)        the requirements of paragraph (a) of the definition of Approved Institution are met in relation to the individual subsidiary or member of the group (that is, the individual subsidiary or member must have net assets greater than $30 million);

(b)       the Market Participant has a copy of the individual subsidiary or members' balance sheet that demonstrates that the individual subsidiary or member meets the requirements of paragraph (a); and

(c)        after the documentation is first obtained by the Market Participant for the purposes of paragraph (b) the Market Participant reconfirms the classification of the Counterparty as an Approved Institution on an annual basis.

(4) For the purposes of calculating the counterparty risk amount in relation to a Counterparty that the Market Participant has classified as an Approved Institution under paragraph (b) of the definition of Approved Institution, the Market Participant may only apply the counterparty risk weighting for Approved Institutions specified in Table A5.2.1 in Annexure 5 to Schedule 1A to that counterparty risk amount where:

(a)        the Market Participant has records demonstrating that the Counterparty is in fact regulated by a