Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p4
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 8667–11819

the total notional amount[3] of outstanding non-centrally cleared derivative transactions as at the end of each month in the reference period. The total notional amount is the aggregate of all outstanding non-centrally cleared derivative transactions across all entities within the margining group. Intra-group transactions (transactions between two counterparties within the same margining group) are excluded from the calculation unless otherwise required by APRA;
(b)          asset class — for the purposes of this Prudential Standard, the asset classes are (1) currency/rates, (2) equity, (3) credit, and (4) commodities. The asset class 'currency/rates' includes currency, interest rate and inflation derivatives. The asset class 'commodities' includes gold, silver and platinum;
(c)          BCBS-IOSCO framework — is the margin requirements for non-centrally cleared derivatives as set out by the Basel Committee on Banking Supervision (BCBS) and the Board of the International Organization of Securities Commissions (IOSCO) in Margin requirements for non-centrally cleared derivatives as it exists at 23 July 2019;
(d)          central counterparty (CCP) — is a clearing house that interposes itself between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer. A CCP becomes counterparty to trades with market participants through novation, an open offer system, or another legally binding arrangement;
(e)          covered bond special purpose vehicle — has the same meaning as in the Banking Act;
(f)           covered counterparty — is an entity that is a financial institution with the following exclusions:
(i)            sovereigns, central banks, multilateral development banks, public sector entities and the Bank for International Settlements;
(ii)         a covered bond special purpose vehicle that enters into derivative transactions for the sole purpose of hedging;
(iii)       a securitisation special purpose vehicle in a traditional securitisation that enters into derivative transactions for the sole purpose of hedging; and
(iv)        a special purpose vehicle or collective investment vehicle established for the sole purpose of acquiring and holding or investing in real estate or infrastructure assets, that enters into derivative transactions for the sole purpose of hedging;
(g)          derivative — is either of the following:
(i)            a derivative (within the meaning of Chapter 7 of the Corporations Act 2001); or
(ii)         an arrangement that is a forward, swap or option, or any combination of those things, in relation to one or more commodities;
but does not include any arrangement that is of a kind mentioned in subregulation 6(2) of the Payment Systems and Netting Regulations 2001;[4]
(h)          exchange traded derivative — is a derivative that is transacted directly through an organised, licensed and regulated exchange;
(i)            financial institution — includes, but is not limited to, any institution engaged substantively in one or more of the following activities (domestically or overseas) – banking;