Document ID: chunk:federal_register_of_legislation:F2023L01437:body:0:p9
Version: federal_register_of_legislation:F2023L01437
Segment Type: other
Provision Reference: 
Character Range: 22530–25445

group. The calculation of the notional amounts must include physically settled foreign exchange forwards and swaps. Intra-group transactions (transactions between two counterparties within the same margining group) are excluded from the calculation unless otherwise required by APRA.

        Report in column 2 the total notional amount of outstanding non-centrally cleared derivative transactions for the Level 2 group (or Level 1 if not applicable) as at 31 March (item 1.1), 30 April (item 1.2) and 31 May (item 1.3) of the reporting year. The total notional amount is the aggregate of all outstanding non-centrally cleared derivative transactions across all entities within the Level 2 group (or Level 1 if not applicable). The calculation of the notional amounts must include physically settled foreign exchange forwards and swaps. Intra-group transactions (transactions between two counterparties within the same margining group) are excluded from the calculation unless otherwise required by APRA.

        Item 1.4 is a derived field, calculated as the simple average of items 1.1, 1.2 and 1.3.

Item 2  Item 2.1 – report the total number of covered counterparties with CPS 226 compliant Credit Support Annexes (CSAs) for variation margin in column 1 and CPS 226 compliant CSAs for initial margin in column 2 as at the reporting date.

        Item 2.2 – report the total number of covered counterparties with a non-zero amount of variation margin exchanged under a CPS 226 compliant CSA in column 1 as at the reporting date. Report the total number of covered counterparties with a non-zero amount of initial margin posted or received under a CPS 226 compliant CSA in column 2 as at the reporting date.

Item 3  Item 3.1 – for new non-centrally cleared derivative transactions entered into on or after 1 March 2017 where initial margin is not posted or collected because the reporting ADI or its counterparty is incorporated, and operating, in a legal jurisdiction that does not permit it or its counterparty to satisfy the requirements in paragraph 25 of CPS 226 in relation to that transaction, report the number of covered counterparties in column 1 and the aggregate notional amount of non-centrally cleared derivative transactions with those covered counterparties in column 2.

        Item 3.2 – for new non-centrally cleared derivative transactions entered into on or after 1 March 2017 where variation margin is not exchanged and initial margin is not posted or collected because there is doubt as to the enforceability of the netting agreement upon insolvency or bankruptcy of the counterparty, report the number of covered counterparties in column 1 and the aggregate notional amount of non-centrally cleared derivative transactions with those covered counterparties in column 2.

        Item 3.3 – for new non-centrally cleared derivative transactions entered into on or after 1 March