Document ID: chunk:federal_register_of_legislation:F2023L01437:body:0:p7
Version: federal_register_of_legislation:F2023L01437
Segment Type: other
Provision Reference: 
Character Range: 16222–20237

licence.
    Restricted ADI licence means authorisation under section 9 of the Banking Act to conduct banking business for a limited period with specific requirements and restrictions.
    Securities financing transactions (SFTs) means transactions such as repurchase agreements, reverse repurchase agreements, and securities lending and borrowing transactions where the value of the transactions depends on the market valuation of securities and the transactions are typically subject to margin agreements.
    Standardised ADI means an ADI that does not have approval from APRA to use an IRB approach to credit risk.
    Subsidiary has the meaning given in the Corporations Act 2001.
    Trade exposure means an exposure a clearing member or a client of a clearing member has to a CCP reflecting a measure of the current mark-to-market value (replacement cost) and the potential future exposure arising from OTC derivative transactions, exchange traded derivative transactions, SFTs and long settlement transactions. Trade exposure is calculated on a bilateral basis, and must include the initial margin posted by an ADI, as well as any variation margin due to the ADI from the CCP that has not yet been received.
18.         Unless the contrary intention appears, a reference to an Act, Prudential Standard, Reporting Standard, Australian Accounting Standard or Auditing Standard is a  reference to the instruments as in force from time to time.

ARF_226_0: Margining and risk mitigation for non-centrally cleared derivatives

Australian Business Number  Institution Name

Reporting Period            Scale Factor

Reporting Consolidation
Level 1 / Level 2

  1        Aggregate month-end average notional amount

                  For the margining group  For the Level 1 or 2 ADI
                  (1)                      (2)
    1.1  March
    1.2  April
    1.3  May
    1.4  Average

  2        Exchange of margins

                                                                 CPS226 compliant CSA for VM  CPS226 compliant CSA for IM
                                                                 (1)                          (2)
    2.1  Number of covered counterparties
    2.2  Number of covered counterparties with margin exchanged

  3        Exemptions from margin requirements

                                                                               Number of covered counterparties  Aggregate notional amount
                                                                               (1)                               (2)
    3.1  Jurisdictions not permitting required safe-keeping of initial margin
    3.2  Doubtful netting agreement enforceability
    3.3  Questionable collateral arrangement enforceability
    3.4  Below three billion qualifying level

  4        Collateral fair value for non-centrally cleared derivatives

    4.1  Total variation margin collected
        4.1.1        Cash collateral
        4.1.2        Government debt securities
        4.1.3        Other debt securities
        4.1.4        Gold bullion
        4.1.5        Equities
        4.1.6        Other
    4.2  Total variation margin posted
        4.2.1        Cash collateral
        4.2.2        Government debt securities
        4.2.3        Other debt securities
        4.2.4        Gold bullion
        4.2.5        Equities
        4.2.6        Other
    4.3  Total initial margin and independent amount collected
        4.3.1        Cash collateral
        4.3.2        Government debt securities
        4.3.3        Other debt securities
        4.3.4        Gold bullion
        4.3.5        Equities
        4.3.6        Other
    4.4  Total initial margin and independent amount posted
        4.4.1        Cash collateral
        4.4.2        Government debt securities
        4.4.3        Other debt securities
        4.4.4        Gold bullion
        4.4.5        Equities
        4.4.6        Other

Reporting Form ARF 226.0

Margining and risk mitigation