Document ID: chunk:federal_register_of_legislation:F2022L01578:front:0:p12
Version: federal_register_of_legislation:F2022L01578
Segment Type: other
Provision Reference: 
Character Range: 31271–34221

and experience;
(c)          validates the applicability of the model to the derivatives for which it is used;
(d)          regularly reviews the model in line with developments in global industry standards for initial margin models; and
(e)          accounts for the complexity of the products covered.
42.         An APRA covered entity must ensure that an independent review of the initial margin 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.
43.         Once an APRA covered entity has obtained approval to use a model for the calculation of initial margin for an asset class, it must continue to employ that model for that asset class on an ongoing basis unless, or except to the extent that, the model approval is varied, revoked or suspended by APRA.
44.         APRA may, at any time, vary, revoke or suspend a model approval for the calculation of initial margin, or impose additional conditions on a model approval.
45.         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 initial margin.
46.         Prior notification to APRA is required for any material changes to an initial margin model or risk measurement system. APRA's prior written approval is required for any material changes to an initial margin model which are not consistent with global industry standards for initial margin models.

Eligible collateral for margining
47.         Subject to the conditions set out in this Prudential Standard, an APRA covered entity must collect margin only in the following forms of eligible collateral and, where relevant, credit rating grades must be determined in accordance with Attachment C to this Prudential Standard:[18]
(a)          cash collateral;
(b)          debt securities rated by an External Credit Assessment Institution (ECAI) with a credit rating grade of either three (or better) for securities issued by: Commonwealth, State and Territory governments in Australia (including State and Territory central borrowing authorities); central, state and regional governments in other countries; the Reserve Bank of Australia; central banks in other countries; and the international banking agencies and multilateral development banks;
(c)          debt securities rated by an ECAI with a credit rating grade of either three (or better) for securities issued by: ADIs, overseas banks, Australian and international local governments and corporates;
(d)          debt securities not rated by an ECAI where these securities are issued by an ADI or overseas