Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p80
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
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Character Range: 214654–217731

There is no Table A5.1.3, 5.1.4 or 5.1.5 in this Annexure

Part A5.1 Position Risk
Table A5.1.1: Equity Position Risk Factors—Recognised Market Index and Non Recognised Market Index
Position In:     Underlying
                 Recognised Market Index   Non Recognised Market Index
                 (see Table A5.1.6)
Standard Method  Standard Method
Single Equity    12%                       16%
Index            8% 1                      16% 1

 1 For positions not broken down into constituent Equities, otherwise the single Equity percentages apply.
Table A5.1.2: Debt Position Risk Factors
Time Band    Position Risk Factors—%
Coupons      Standard Method
 3%         3% (or Duration Method)  Gov't  Qualifying  Other
0–1 mth      0–1 mth                    0.00   0.25        8.00
1–3 mths     > 1–3 mths                 0.20   0.45        8.20
> 3–6 mths   > 3–6 mths                 0.40   0.65        8.40
> 6–12 mths  > 6–12 mths                0.70   1.70        8.70
1–2 yrs      > 1–1.9 yrs                1.25   2.25        9.25
> 2–3 yrs    > 1.9–2.8 yrs              1.75   3.35        9.75
> 3–4 yrs    > 2.8–3.6 yrs              2.25   3.85        10.25
> 4–5 yrs    > 3.6–4.3 yrs              2.75   4.35        10.75
> 5–7 yrs    > 4.3–5.7 yrs              3.25   4.85        11.25
> 7–10 yrs   > 5.7–7.3 yrs              3.75   5.35        11.75
> 10–15 yrs  > 7.3–9.3 yrs              4.50   6.10        12.50
> 15–20 yrs  > 9.3–10.6 yrs             5.25   6.85        13.25
20+ yrs      > 10.6–12 yrs              6.00   7.60        14.00
12–20 yrs    8.00                       9.60   16.00
20+ yrs      12.50                      14.10  20.50

Notes
1 In using Table A5.1.2 for any Debt Derivative, a Market Participant must use the Position Risk Factors specified in the 'government' column unless the value of the Debt Derivative is derived from:
(a) a Qualifying Debt Instrument, in which case the Market Participant must use the Position Risk Factors specified in the 'qualifying' column; or
(b) a non-Government Debt Instrument, in which case the Market Participant must use the Position Risk Factors specified in the 'other' column.
2 For calculation purposes, where a time band refers to the period '1.9 years' for example, this may be interpreted as being equal to 1.9 x 365 days.

        A5.1.2A Position Risk Factors: Hybrid ETFs that are classified as Debt Instruments
The Position Risk Factors to be applied to a principal position in units in Hybrid ETFs classified as Debt Instruments are:
(a)        as specified in Table A5.1.2 where the assets underlying the Hybrid ETF can be specifically identified, up to a maximum of 16% (standard method). The Position Risk Factor is to be selected from Table A5.1.2 based on the following:
(i)         the time bands for coupon < 3% must be used;
(ii)       the time band chosen should be based on the average investment term and if it can be identified that more than 80% of the assets underlying the Hybrid ETF by value fall in a particular time band, the Position Risk Factor for that time