Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p14
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 36732–39672

approach, an APRA covered entity must ensure that an independent review of the risk-sensitive haircut model and risk measurement system is carried out initially (i.e. at the time when model approval is sought) and then regularly as part of the internal audit process. This review must be conducted by functionally independent, appropriately trained and competent personnel, and must take place at least once every three years or when a material change is made to the model or the risk measurement system.
55.         An APRA covered entity must consistently adopt either the standardised schedule or a model approach for the calculation of risk-sensitive haircuts for all of the collateral within the same collateral class.[21] Once an APRA covered entity has obtained approval to use a model for the calculation of risk-sensitive haircuts for a collateral class, it must continue to employ that model for that collateral class on an ongoing basis unless, or except to the extent that, the model approval is varied, revoked or suspended.
56.         APRA may, at any time, vary, revoke or suspend a model approval for the calculation of risk-sensitive haircuts, or impose additional conditions on a model approval.
57.         Where a model approval has been varied, revoked or suspended, APRA may require an APRA covered entity to revert to the standardised schedule for the calculation of risk-sensitive haircuts.
58.         APRA's prior written approval is required for any material changes to a risk-sensitive haircut model.

Treatment of intra-group transactions
59.         An APRA covered entity is not subject to the initial margin requirements in this Prudential Standard for a non-centrally cleared derivative transaction with a covered counterparty that is a member of the APRA covered entity's margining group.
60.         The variation margin requirements in this Prudential Standard do not apply to a non-centrally cleared derivative transaction between an APRA covered entity that is a foreign ADI, Category C insurer or EFLIC and a covered counterparty that is a member of the APRA covered entity's margining group.
61.         An APRA covered entity is not subject to the variation margin requirements in this Prudential Standard for a non-centrally cleared derivative transaction with a covered counterparty that is a member of the APRA covered entity's margining group where that covered counterparty is also a member of the APRA covered entity's Level 2 group.[22]
62.         APRA may, upon written request by an APRA covered entity, exclude one or more intra-group transactions from the variation margin requirements applicable to the entity under this Prudential Standard.
63.         APRA may require an APRA covered entity to exchange variation margin and/or post and collect initial margin with any other entity within the APRA covered entity's margining group where APRA deems appropriate to do so.

Cross border