Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p9
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 23160–26051

calendar year  AUD 12 billion      1 September of the year referred to in the first column of this row to 31 August of the next calendar year

21.         Where a non-centrally cleared derivative transaction is subject to initial margin requirements at inception, these requirements apply for the life of that transaction.
22.         Initial margin must be posted and collected on a gross basis.
23.         Initial margin must be calculated and called both at the outset of a transaction and on a regular and consistent basis upon changes in the measured potential future exposure. Settlement of initial margin amounts must be conducted promptly.
24.         The threshold applicable to the initial margin for each margining group must not be greater than AUD 75 million.[14] The threshold is applied bilaterally at the aggregate level of the margining group and is based on all non-centrally cleared derivative transactions between the two margining groups. In the event of a dispute, the undisputed amount must be posted and collected by the two counterparties until the dispute is resolved.
25.         For the purposes of applying the initial margin threshold in paragraph 24 of this Prudential Standard, an investment fund, RSE, trust or managed investment scheme (MIS) may be treated separately from both (i) the investment advisor, RSE licensee, trustee and/or responsible entity for that investment vehicle; and (ii) any other investment vehicle, as long as the fund, RSE, trust or MIS represents a segregated pool of assets that is not collateralised by or otherwise guaranteed or supported by other funds or an advisor in the event of insolvency or bankruptcy.
26.         The specific method and parameters that will be used by an APRA covered entity and a covered counterparty to calculate initial margin must be agreed and recorded at or prior to the onset of a transaction.
27.         Initial margin must be held so as to ensure that:
(a)          the margin collected is promptly available to the collecting party in the event of the posting party's default; and
(b)          the collected margin must be subject to arrangements that protect the posting party to the extent possible under applicable law in the event that the collecting party enters insolvency or bankruptcy.
28.         Initial margin must not be re-hypothecated, re-pledged or re-used but cash initial margin may be held in a demand deposit account with a third-party custodian in the name of the posting counterparty. The third-party custodian must not be affiliated with either counterparty. Contractual arrangements providing for the posting and collection of initial margin must provide for initial margin to be held in a manner that satisfies this requirement.
29.         Initial margin collected must be segregated from the collector's proprietary assets. The initial margin collector must also