Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p47
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 124617–127321

calculate a risk amount for amounts owing from "normal agency clients" excluding other participants in the relevant market will be deemed to be from the time that amounts are normally scheduled for payment to the relevant exchange or clearing house, regardless of whether the Market Participant actually has to make a payment to the exchange or clearing house; and
(b)       the obligation to calculate a risk amount for amounts owing from other participants in the relevant market will be deemed to be from the close of business on the day the payment is due to be received.
(4) For the purposes of paragraph (1)(b), where a Market Participant undertakes a trade as principal in exchange traded Derivatives and does not clear its own trades, the Market Participant must calculate a counterparty risk amount on its exposure to its Clearing Participant under this method that will equal the amount owed to the Market Participant by the clearer and will apply from close of business on the day the payment is due until the clearer has paid.
(5) For the purposes of subrule (2), if the security lodged as collateral is subject to:
(a)        a trading halt, the last market value may be used; or
(b)       a suspension, the market value should be taken as nil on the basis that the security is not Liquid.
(6) For the purposes of subrule (1), if a Market Participant does not charge an initial margin or charges an amount that is lower than the applicable percentage in Table A5.2.2, its counterparty risk amount for a Counterparty is the applicable potential credit exposure factor specified in Table A5.2.2 in Annexure 5 to Schedule 1A.

A1.2.6 OTC Derivatives and Warrants executed as principal method
(1) For an OTC Derivative or Warrant held as principal, the counterparty risk amount for a Counterparty is:
(a)        zero, for a written Option position where the premium due has been received in full;
(b)       100% of the premium for a written Option position where the premium due has not been received, from the time the Option is dealt until the premium is paid; and
(c)        otherwise, 8% of the aggregate of the credit equivalent amount which is calculated as the sum of:
(i)         a current credit exposure being the mark-to-market valuation of all contracts with a Positive Credit Exposure; and
(ii)       a potential credit exposure being the product of the absolute value of a contract's nominal, notional or actual principal amount and the applicable potential credit exposure factor specified in Table A5.2.2 in Annexure 5 to Schedule 1A.
(2) A Market Participant may reduce the premium or credit equivalent amount by the amount of collateral held by the Market Participant on behalf