Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p7
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 16942–20148

in a margin agreement that defines the level of exposure above which margin will be posted. The threshold represents the amount of uncollateralised exposure allowed under the margin agreement;
(aa)       traditional securitisation — a securitisation where the pool is transferred (or assigned) to, and held by, or otherwise held directly in its name by, a special purpose vehicle; and
(ab) variation margin — is collateral that is collected or paid to reflect the current mark-to-market exposure resulting from changes in the market value of a derivative.

Adjustments and exclusions
10.         APRA may adjust or exclude a specific prudential requirement in this Prudential Standard in relation to one or more specified person referred to in paragraph 2 of this Prudential Standard.[6]

Previous exercise of discretion
11.         An APRA covered entity must contact APRA if it seeks to place reliance, for the purposes of complying with this Prudential Standard, on a previous exemption or other exercise of discretion by APRA under a previous version of this Prudential Standard.

Assets in Australia
12.         For the purposes of paragraph 13A(4)(a) of the Banking Act and paragraph 28(a) of the Insurance Act, cash or non-cash collateral given to secure any obligation under a non-centrally cleared derivative transaction is excluded from being assets in Australia.

Exchange of variation margin for non-centrally cleared derivatives
13.         An APRA covered entity must exchange variation margin with a covered counterparty[7] 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 1 exceeded the corresponding qualifying level in the second column of Table 1; 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 1 exceeded the corresponding qualifying level in the second column of Table 1.
14.         Variation margin must be exchanged for all new[8] non-centrally cleared derivative transactions, with the exception of physically settled foreign exchange (FX) forwards and swaps,[9],[10] entered into during the relevant margining period in the third column of Table 1.

Table 1: Implementation timetable for variation margin requirements

Reference period                                       Qualifying level  Margining period

March, April and May 2016                              AUD 3 billion     1 March 2017 to
                                                                         31 August 2017

March, April and May 2017                              AUD 3 billion     1 September 2017 to
                                                                         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