Document ID: chunk:federal_register_of_legislation:F2024L01073:reg:4:p20
Version: federal_register_of_legislation:F2024L01073
Segment Type: reg
Provision Reference: reg 4 (pt 20/21)
Character Range: 129999–132761

rating as the rating of the debt security.

[21]  The use of derivative instruments by a trust to hedge investments listed in paragraphs 14(a) to 14(e) of this Attachment would not prevent units in the trust from being recognised as eligible collateral.

[22]  This includes banks, domestic PSEs and corporates.

[23]  Securitisation exposure has the meaning given in APS 120.

[24]  Unrated bank securities must meet the requirements set out in paragraph 14(d) of this Attachment.

[25]  For received collateral, only amounts that satisfy the eligible cash collateral requirements set out in paragraph 14(a) of this Attachment may be recognised as cash for this purpose.

[26]  For the avoidance of doubt, if a netting set includes any transaction that does not meet the criteria in paragraphs 19 and 20 of this Attachment, no transactions in the netting set are eligible for the zero per cent haircut.
[27]  The holding period for the haircuts depends, as for other SFTs, on the frequency of margining.

[28]  In some countries, there are provisions for the authorities to appoint an administrator to a troubled bank. Under statutory provisions applying in those countries, the appointment of an administrator may not constitute grounds for the triggering of netting agreements. Such provisions do not prevent the recognition of affected netting agreements for the purposes of this Prudential Standard, provided that a netting agreement can still take effect in the event the bank under administration does not meet its obligations under transactions as they fall due.

[29]  For forwards, swaps, options and similar derivative contracts, this will include the net sum of the positive and negative mark-to-market values of individual transactions.

[30]  Guarantees that provide partial coverage whereby the ADI and guarantor share losses on a pro rata basis are eligible for the same recognition.

[31]  While the requirement for irrevocability does not require that the guarantee and the exposure be maturity matched, the guarantor must not have the ability to change the agreed maturity ex post.

[32]  Credit derivatives that provide partial coverage whereby the ADI and the credit protection seller share losses on a pro rata basis are eligible for the same recognition.

[33]  While the requirement for irrevocability does not require that the credit derivative and the exposure be maturity matched, the credit protection provider must not have the ability to change the agreed maturity ex post.

[34]  An ADI will have a net short risk position for equity risk or credit risk in the banking book if the present value of the banking book increases when an equity price decreases or when a credit spread on an issuer or group of issuers of debt increases.