Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p3
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 3/35)
Character Range: 33157–35942

fund contribution is higher than would be applied if the CCP were a non-qualifying CCP, the required capital is capped at the amount for a non-qualifying CCP.

Exposures arising from transactions cleared through a QCCP
9.             For transactions cleared through a QCCP, a clearing member ADI must calculate each of the following counterparty credit risk requirements:
(a)          trade exposure RWE on the clearing member ADI's trade exposure[13] to the QCCP according to paragraphs 11 to 18 of this Attachment; and
(b)          a default fund capital charge on the default fund contribution to the QCCP calculated according to Attachment C of this Prudential Standard; and
(c)          where a clearing member ADI has provided a guarantee of a client transaction to the QCCP or acts as a financial intermediary between a client and the QCCP (i.e. the clearing member completes an offsetting transaction with the QCCP), default risk RWE and a CVA risk capital charge on the counterparty credit risk exposure to its client, calculated according to paragraph 19 of this Attachment; and
(d)          where a clearing member ADI has provided a guarantee to a client, by undertaking any obligation to reimburse a client for any losses suffered due to changes in transaction value in the event that a QCCP defaults, trade exposure RWE and a default fund capital charge on the guaranteed transaction.
10.         For an ADI acting as a client of a clearing member to a QCCP, the client ADI must apply the counterparty credit risk requirements specified in paragraphs 20 to 24 of this Attachment.

Trade exposure RWE for a clearing member ADI's exposure to a QCCP
11.         To calculate trade exposure RWE, a clearing member ADI must calculate its trade exposure to the QCCP and apply the relevant risk weights according to paragraphs 12 to 18 of this Attachment.
12.         For the clearing member ADI-to-QCCP leg of a transaction cleared through a QCCP, a clearing member ADI must calculate its trade exposure to the QCCP using the SA-CCR (refer to Attachment D) for all derivative transactions and in accordance with the requirements of paragraph 4 of Attachment A for all SFTs. In addition, for centrally cleared transactions treated as margined transactions, the following conditions apply:
(a)          for all OTC derivative transactions, apply a margin period of risk (MPOR) of at least 10 business days;
(b)          for all other transactions, apply a MPOR or holding period that is at least equal to that applicable if the transaction were a bilateral transaction;
(c)          for a netting set where the number of trades exceeds 5,000 at any point during a quarter, the 20-business day floor for MPOR specified in paragraph 31 of Attachment G of APS 112 does not apply if