Document ID: chunk:federal_register_of_legislation:F2022L01578:reg:3:p2
Version: federal_register_of_legislation:F2022L01578
Segment Type: reg
Provision Reference: reg 3 (pt 2/4)
Character Range: 62026–64993

portfolio manager is acting as an agent.
[6]  Refer to subsection 11AF(2) of the Banking Act, subsection 32(3D) of the Insurance Act, subsection 230A(4) of the Life Insurance Act and subsection 34C(5) of the SIS Act.
[7]  Refer to paragraphs 59 to 63 of this Prudential Standard for the treatment of intra-group transactions.
[8]  Genuine amendments to existing derivative transactions do not qualify as a new derivative transaction. This includes any amendments made solely for the purpose of addressing benchmark reforms. Any amendment that extends an existing derivative transaction for the purpose of avoiding margin requirements must be considered a new derivative transaction. The novation of a grandfathered transaction, application of standard trade maintenance processes on a grandfathered transaction or a transaction that results from portfolio compression of grandfathered transactions, does not qualify as a new derivative transaction. However, a transaction resulting from compression of both grandfathered transactions and transactions which are subject to mandatory margin requirements is subject to the margin requirements in this Prudential Standard.
[9]  For clarity, physically settled FX forwards and swaps must be included in the calculation of aggregate month-end average notional amount for the purposes of determining whether qualifying levels are exceeded, but may be excluded from the calculation of variation margin and initial margin to be exchanged.
[10]  For clarity, the fixed physically settled FX transactions associated with the exchange of principal in cross-currency swaps may also be excluded from the calculation of variation margin to be exchanged. All other risks associated with cross-currency swaps must be included in the calculation of variation margin to be exchanged.
[11] Refer to paragraphs 59 to 63 of this Prudential Standard for the treatment of intra-group transactions.
[12]  Refer to footnote 8.
[13]  Refer to footnote 9.
[14]  For the avoidance of doubt, an APRA covered entity is not required under this Prudential Standard to have initial margin documentation, custodial arrangements and operational processes in place for posting and collecting initial margin with a margining group if the bilateral initial margin amount is less than AUD 75 million.
[15]  For avoidance of doubt, the only payments that may be excluded from initial margin requirements for a cross-currency swap are the fixed physically settled FX transactions associated with the exchange of principal. All other payments or cash flows that occur during the life of the swap must be subject to initial margin requirements.
[16]  The 10-day requirement applies in the case that variation margin is exchanged on a daily basis. If variation margin is exchanged at less than daily frequency, the minimum time horizon must be set equal to 10 days plus the number of days in between variation margin exchanges.
[17]  This applies to all products