Document ID: chunk:federal_register_of_legislation:F2024L01518:body:0:p13
Version: federal_register_of_legislation:F2024L01518
Segment Type: other
Provision Reference: 
Character Range: 34328–37372

and losses on fair value liabilities, or accounting value adjustments on derivative liabilities due to changes in an ADI's own credit risk.
 4.              On-balance sheet assets may be included in the exposure measure at their accounting values net of any provisions that have otherwise been deducted from Tier 1 Capital.
 5.              Where an ADI holds assets in a fiduciary capacity, these assets may be excluded from the exposure measure provided that the assets meet the accounting criteria for derecognition and, where applicable, the accounting criteria for deconsolidation.

Unsettled trades
 1.              An ADI must account for regular-way purchases or sales of financial assets that have not been settled on the following basis:
         1.           ADIs which apply trade date accounting must reverse out any offsetting between cash receivables for unsettled sales and cash payables for unsettled purchases of financial assets. Thereafter, ADIs may offset between those cash receivables and cash payables (irrespective of whether such offsetting is permitted under Australian Accounting Standards) only if all of the following conditions are met:
                 1.             the financial assets bought and sold that are associated with cash payables and receivables are measured at fair value through the income statement and included in the ADI's trading book in accordance with Attachment A to APS 116; and
                 2.          the transactions of the financial assets are settled on a delivery-versus-payment basis; and
         2.           ADIs which apply settlement date accounting must apply the treatment set out in paragraphs 12 and 15 of this Attachment.

Cash pooling
 1.          If an ADI uses cash pooling arrangements which combine the credit and debit balances of several individual participating customer accounts into a single account balance, the ADI may recognise the single account balance in its calculation of the exposure measure if:
         1.           the balances are transferred on at least a daily basis; and
         2.           the ADI cannot be held liable for the balances on an individual basis upon the transfer, i.e. the ADI can only be held liable for a single claim based on the single account.
 2.          If cash pooling arrangements do not meet the conditions set out in paragraph 10 of this Attachment, the individual balances of the participating customer accounts must be reflected separately in the exposure measure.

Non-market-related off-balance sheet exposures
 1.          For the purpose of calculating non-market-related off-balance sheet exposures, an ADI must apply credit conversion factors (CCFs) to the gross notional amounts of off-balance sheet items.[14] An ADI must apply the CCFs set out in Table 17 of Attachment C to APS 112.
 2.          For any off-balance sheet securitisation exposures, an ADI must apply the relevant CCFs as set out in paragraph 43 of APS 120.
 3.          Provisions that have decreased Tier 1 Capital may be deducted