Document ID: chunk:federal_register_of_legislation:F2023L01437:body:0:p10
Version: federal_register_of_legislation:F2023L01437
Segment Type: other
Provision Reference: 
Character Range: 25164–28128

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 2017 where variation margin is not exchanged and initial margin is not posted or collected because collateral arrangements are questionable or not legally enforceable upon default 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 3.4 – for new non-centrally cleared derivative transactions entered into on or after 1 March 2017 where variation margin is not exchanged because the covered counterparty did not belong to a margining group whose aggregate month-end average notional amount of non-centrally cleared derivative transactions for the relevant reference period exceeded the qualifying level of AUD 3 billion, 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 4  Report the aggregate fair value of all collateral collected as variation margin (item 4.1), collateral posted as variation margin (item 4.2), collateral collected as initial margin or independent amount (item 4.3), and collateral posted as initial margin or independent amount (item 4.4). For clarity, this should be the fair value amount prior to the application of haircuts.

        For items 4.1.1, 4.1.4, 4.1.5, 4.2.1, 4.2.4, 4.2.5, 4.3.1, 4.3.4, 4.3.5, 4.4.1, 4.4.4 and 4.4.5, refer to paragraph 45 of CPS 226 for definitions of the collateral types.

        For items 4.1.2, 4.2.2, 4.3.2, and 4.4.2, government debt securities include eligible debt securities per paragraph 45 of CPS 226 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 RBA; central banks in other countries; and the international banking agencies and multilateral development banks.

        For items 4.1.3, 4.2.3, 4.3.3 and 4.4.3, include other eligible debt securities as per paragraph 45 of CPS 226 issued by bodies other than those included in column 2, covered bonds rated by an ECAI with a credit rating grade of either three (or better), and senior securitisation exposures rated by an ECAI with a credit rating grade of one.

        Item 4.1.6 is a derived field equal to item 4.1 less the sum of items 4.1.1 to 4.1.5

        Item 4.2.6 is a derived field equal to item 4.2 less the sum of items 4.2.1 to 4.2.5

        Item 4.3.6 is a derived field equal to item 4.3 less the sum of items 4.3.1 to 4.3.5

        Item 4.4.6 is a derived field equal to item 4.4