Document ID: chunk:federal_register_of_legislation:F2022L01577:body:0:p12
Version: federal_register_of_legislation:F2022L01577
Segment Type: other
Provision Reference: 
Character Range: 30091–32818

ADI must calculate an exposure to a structured vehicle (e.g. funds, securitisation vehicles, structured finance products) which holds non-retail assets using the look-through requirements in paragraphs 22 to 26 of this Attachment.
22.         Where an ADI's exposure to a structured vehicle is less than 0.25 per cent of the ADI's Tier 1 Capital, or the ADI can demonstrate that all the underlying assets of the structured vehicle are less than 0.25 per cent of the ADI's Tier 1 Capital, an ADI must assign an exposure value to the structured vehicle equal to the nominal exposure it has to the structured vehicle. In this case, an ADI is not required to look through the structured vehicle to identify the underlying assets.
23.         Where an ADI's exposure value to at least one of the underlying assets of the structured vehicle is greater than or equal to 0.25 per cent of the ADI's Tier 1 Capital, the ADI must assign an exposure value to the structured vehicle equal to the nominal exposure it has to the structured vehicle and:
(a)          for each underlying asset of the structured vehicle that can be identified and that has an exposure value greater than or equal to 0.25 per cent of the ADI's Tier 1 Capital, the ADI must look through the structured vehicle and assign the exposure values to the counterparties for each of the underlying assets; and
(b)          for each underlying asset of the structured vehicle that cannot be identified and that has an exposure value greater than or equal to 0.25 per cent of the ADI's Tier 1 Capital, the ADI must assign the exposure value to an unknown counterparty which is treated as a distinct counterparty to the ADI. An ADI must aggregate unknown counterparties across its exposures to structured vehicles as if they relate to a single counterparty to which large exposure limits would apply under paragraph 30 of this Prudential Standard.
24.         When an ADI has applied the look-through requirements for a structured vehicle under paragraph 23 of this Attachment, and all investors in the structured vehicle rank pari passu, the exposure value assigned to each counterparty is equal to the pro rata share that the ADI holds in the structured vehicle multiplied by the value of the underlying assets.
25.         When an ADI has applied the look-through requirements for a structured vehicle under paragraph 23 of this Attachment, and there are different seniority levels among investors in the structured vehicle, 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