Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p62
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
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Character Range: 167688–170358

purchased Option is the lesser of:
(a)        the mark-to-market value of the underlying equity position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.1 in Annexure 5 to Schedule 1A; and
(b)       the mark-to-market value of the Option,
where:
 1.         the market value of the Option should be calculated as the current price of the Option multiplied by the number of Options/number of shares underlying the Option; and
 1.        the notional market value of the physical Equities position underlying the Option is calculated by taking the number of shares underlying the position multiplied by the current price of that stock.
(2) The position risk amount for a written Option is the mark-to-market value of the underlying equity position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.1 in Annexure 5 to Schedule 1A reduced by:
 1.         any excess of the exercise value over the current market value of the underlying position in the case of a call Option, but limited to nil if it would otherwise be negative; or
 1.        any excess of the current market value of the underlying position over the exercise value in the case of a put Option, but limited to nil if it would otherwise be negative.

Part A3.8 Calculation of Equity Equivalent positions—Equity position risk

A3.8.1 Swaps
(1) The Equity Equivalent for a Swap is two notional positions, one for each leg of the Swap under which:
(a)        there is a notional long position in an Equity or Equity Derivative on the leg of the Swap on which an amount is received; and
(b)       there is a notional short position in an Equity or Equity Derivative on the leg of the Swap on which an amount is paid.
If one of the legs of the Swap provides for payment or receipt based on some reference to a Debt Instrument or Debt Derivative, the position risk amount for that leg of the Swap should be assessed in accordance with Parts A3.10 to A3.17.
If one of the legs of the Swap provides for payment or receipt based on some reference to a Commodity or Commodity Derivative, the position risk amount for that leg of the Swap should be assessed in accordance with Parts A3.23 to A3.28.
(2) For the purposes of subrule (1), the notional position is the mark-to-market value of the Equity positions underlying the Swap (that is, the number of shares underlying the Swap multiplied by the current market price of those shares).

A3.8.2 Options
The Equity Equivalent for an Option is:
(a)        for purchased call Options and written put Options, a long position at the mark-to-market value of