Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p74
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 198447–201352

Exchange position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.7 in Annexure 5 to Schedule 1A reduced by:
(a)        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
(b)       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 A3.21 Calculation of Foreign Exchange Equivalent positions—Foreign Exchange position risk

A3.21.1  Options
The Foreign Exchange Equivalent for an Option is:
(a)        for purchased call Options and written put Options, a long position at the notional face value of the underlying contract; and
(b)       for purchased put Options and written call Options, a short position at the notional face value of the underlying contract.

        A3.21.2 Futures
The Foreign Exchange Equivalent for a Future over a Foreign Exchange is the notional face value of the underlying contract.

        A3.21.3 Forward contracts
The Foreign Exchange Equivalent for a forward contract including a future exchange associated with a cross currency Swap is at the discretion of the Market Participant either the:
        (a) face value of the contract; or
        (b) net present value of the contract.

        A3.21.4 Other positions—Exchange traded CFDs
The Foreign Exchange Equivalent for an exchange traded CFD over an exchange rate or Foreign Exchange is the notional face value of the underlying contract.

Part A3.22 Calculation of Foreign Exchange net open positions—Foreign Exchange position risk

        A3.22.1 Calculation of foreign currency net open position
(1) To calculate a net open position in a foreign currency, a Market Participant must aggregate in each currency all:
(a)        Financial Instruments;
(b)       Commodities; and
(c)        other assets and liabilities,
other than Excluded Assets and foreign exchange contracts hedging Excluded Assets.
(2) To convert a net open position in a foreign currency to an equivalent Australian dollar amount a Market Participant must use:
(a)        the Market Spot Exchange Rate; or
(b)       in the case where a foreign currency asset or liability is specifically matched or hedged by a forward currency contract, the rate of exchange stated in the forward currency contract.

A3.22.2 Calculation of gold net open position
(1) To calculate a net open position in gold and gold derivatives, each open position in gold must first be expressed in terms of the standard unit of measurement (kilos, ounces etc). The net position in gold and gold derivative must then be converted at the current rates into Australian dollars.
(2) When calculating the gold net open positions, the long and short positions in a gold