ARF_226_0: Margining and risk mitigation for non-centrally cleared
derivatives
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Effective date: 1 July 2019
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Australian Business Number
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Institution Name
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Reporting Period
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Scale Factor
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Millions to one decimal place for banks
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Whole dollars no decimal place for ADIs other than banks
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Reporting Consolidation
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Level 1 / Level 2
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1. Aggregate month-end average notional amount
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For the margining group
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For the Level 1 or 2 ADI
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(1)
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(2)
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1.1. March
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1.2. April
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1.3. May
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1.4. Average
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2. Exchange of margins
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CPS226 compliant CSA for VM
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CPS226 compliant CSA for IM
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(1)
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(2)
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2.1. Number of covered counterparties
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2.2. Number of covered counterparties with margin exchanged
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3. Exemptions from margin requirements
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Number of covered counterparties
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Aggregate notional amount
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(1)
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(2)
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3.1. Jurisdictions not permitting required safe-keeping of initial
margin
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3.2. Doubtful netting agreement enforceability
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3.3. Questionable collateral arrangement enforceability
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3.4. Below three billion qualifying level
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4. Collateral fair value for non-centrally cleared derivatives
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4.1. Total variation margin collected
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4.1.1. Cash collateral
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4.1.2. Government debt securities
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4.1.3. Other debt securities
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4.1.4. Gold bullion
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4.1.5. Equities
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4.1.6. Other
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4.2. Total variation margin posted
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4.2.1. Cash collateral
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4.2.2. Government debt securities
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4.2.3. Other debt securities
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4.2.4. Gold bullion
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4.2.5. Equities
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4.2.6. Other
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4.3. Total initial margin and independent amount collected
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4.3.1. Cash collateral
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4.3.2. Government debt securities
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4.3.3. Other debt securities
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4.3.4. Gold bullion
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4.3.5. Equities
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4.3.6. Other
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4.4. Total initial margin and independent amount posted
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4.4.1. Cash collateral
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4.4.2. Government debt securities
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4.4.3. Other debt securities
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4.4.4. Gold bullion
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4.4.5. Equities
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4.4.6. Other
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