Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p19
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 51132–54072

be resolved as soon as practicable.
92.         The dispute resolution mechanism or process must include the escalation of material disputes to senior management. The dispute resolution mechanism or process must include escalation to the Board where the dispute is considered material to the APRA covered entity.
93.         An APRA covered entity must have policies and procedures to document disputes and such documentation must be made available to APRA upon request.
94.         In the event that a margin dispute arises, an APRA covered entity must make all necessary and appropriate efforts, including timely initiation of dispute resolution protocols, to resolve the dispute with its counterparty and exchange the required amount of margin in a timely manner.
95.         An APRA covered entity must notify APRA of disputes that are material either in dollar value or period of time outstanding. An APRA covered entity must clearly document and regularly review the criteria used to determine when a dispute is reported to APRA.

Attachment A — Standardised schedule for initial margin
     1. Initial margin calculated according to the standardised schedule equals the sum of the 'net standardised initial margin amount' calculated separately for each netting agreement.
     2. APRA may, upon the request of an APRA covered entity, approve the entity to calculate the 'net standardised initial margin amount' using a schedule already in use for regulatory capital purposes prior to the application of this Prudential Standard, provided that such a schedule is at least as conservative as that outlined below.
     3. For each particular netting agreement:
(a)          Net standardised initial margin amount = 0.4 x gross standardised initial margin amount + 0.6 x net-to-gross ratio x gross standardised initial margin amount. The net-to-gross ratio (NGR) is the ratio of the net current credit exposure (NCCE) of all transactions included in a netting agreement to the gross current credit exposure (GCCE) of the same transactions. That is, NGR = NCCE/GCCE.
(b)          NCCE is the sum of all positive and negative mark-to-market values of all individual contracts covered by a netting agreement (i.e. positive mark-to-market values of transactions may be offset against negative mark-to-market values on other transactions covered by the same netting agreement). If the net sum of individual mark-to-market values is positive, the NCCE is equal to that sum. If the sum of mark-to-market values is zero or negative, the NCCE is set equal to zero.
(c)          GCCE is the sum of the mark-to-market values of all transactions covered by a netting agreement with a positive mark to-market value with no offsetting against contracts with a negative mark-to-market value.
(d)          The 'gross standardised initial margin amount' is the sum over all derivative contracts in the netting agreement of the gross notional size of each