Document ID: chunk:federal_register_of_legislation:F2022L01577:body:0:p13
Version: federal_register_of_legislation:F2022L01577
Segment Type: other
Provision Reference: 
Character Range: 32572–35366

the exposure value to a counterparty must be measured for each tranche within the structured vehicle assuming a pro rata distribution of losses amongst investors in a single tranche. To measure the exposure value in the underlying assets, the ADI must:
(a)          identify the lower of the value of the tranche in which an ADI has an exposure to and the nominal value of each underlying asset included in the underlying portfolio of assets; and
(b)          apply the pro rata share of the ADI's exposure in the tranche to the value determined in paragraph 25(a) of this Attachment.
    The resulting exposure value to each underlying asset is capped at the nominal value of the underlying asset.
26.         When an ADI has not applied the look-through requirements for an exposure to a structured vehicle it must assess the risk concentrations of the underlying assets of the structured vehicle on an annual basis.

Additional risk factor
27.         An ADI must identify third parties which contribute to an additional risk factor inherent in the structured vehicle itself rather than in the assets held by the vehicle.  Third parties may include, but are not limited to, fund managers, originators, liquidity providers and credit protection providers. This applies regardless of whether an ADI has applied the look-through requirements in paragraphs 22 to 26 of this Attachment.
28.         An ADI must treat structured vehicles as a group of connected counterparties if they share one or more common additional risk factors that pose material risks to the ADI's exposures to these structured vehicles.
29.         Where an ADI identifies more than one third party as a driver of a particular additional risk factor, the ADI must assign the exposure in the structured vehicles to each of the third parties if they pose material risks to the structured vehicles.
30.         An ADI must add its exposures to a structured vehicle associated with a third party deemed to contribute to an additional risk factor to other exposures that the ADI has to that third party if:
(a)          there is a material risk to the exposures in the structured vehicle if the third party were to default on a direct exposure to the ADI; or
(b)          there is a material risk to a direct exposure to that third party if the third party were to default in its role in the structured vehicles.

Exposure values for non-qualifying central counterparties and clearing activity exposures
31.         An ADI must measure its exposure to 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