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