Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p8
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 19929–23412

31 August 2018

March, April and May of each subsequent calendar year  AUD 3 billion     1 September of the year referred to in the first column of this row to 31 August of the next calendar year

15.         Where a non-centrally cleared derivative transaction is subject to variation margin requirements at inception, these requirements apply for the life of that transaction.
16.         Variation margin must be calculated and called on a daily basis. Settlement of variation margin amounts must be conducted promptly.
17.         Variation margin must be exchanged using a zero threshold so that the mark‑to‑market exposure of the non-centrally cleared derivative transactions is fully collateralised. In the event of a dispute, the undisputed amount must be exchanged between the two counterparties until the dispute is resolved.
18.         Transactions that are not subject to the same legally enforceable netting agreement must not be considered in the same variation margin calculation.

Post and collect of initial margin for non-centrally cleared derivatives
19.         An APRA covered entity must post and collect initial margin with a covered counterparty[11] during a margining period in the third column of Table 1 where:
(a)          the APRA covered entity belongs to a margining group whose aggregate month-end average notional amount of non-centrally cleared derivatives for the relevant reference period in the first column of Table 2 exceeded the corresponding qualifying level in the second column of Table 2; and
(b)          the covered counterparty belongs to a margining group whose aggregate month-end average notional amount of non-centrally cleared derivatives for the relevant reference period in the first column of Table 2 exceeded the corresponding qualifying level in the second column of Table 2.
20.         Initial margin must be posted and collected for all new[12] non-centrally cleared derivative transactions, with the exception of physically settled FX forwards and swaps,[13] entered into during the relevant margining period in the third column of Table 2.
Table 2: Implementation timetable for initial margin requirements

Reference period                                       Qualifying level    Margining period

March, April and May 2016                              AUD 4.5 trillion    1 March 2017 to
                                                                           31 August 2017

March, April and May 2017                              AUD 3.375 trillion  1 September 2017 to
                                                                           31 August 2018

March, April and May 2018                              AUD 2.25 trillion   1 September 2018 to
                                                                           31 August 2019

March, April and May 2019                              AUD 1.125 trillion  1 September 2019 to
                                                                           31 August 2021

March, April and May 2021                              AUD 75 billion      1 September 2021 to
                                                                           31 August 2022
March, April and May of each subsequent 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