Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p67
Version: federal_register_of_legislation:F2024C01107
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does not have a coupon (for example, zero coupon bonds and bank bills) will generally be the same as for bonds with a coupon of less than 3%;
(c)        fixed rate instruments should be allocated to a time band on the basis of the residual term to maturity; and
(d)       floating rate instruments should be allocated to a time band on the basis of the residual term to the next repricing date.
(3) Where a Market Participant:
(a)        is not an active trader in bank bills; and
(b)       holds bank bills as a passive investment, with the intention that the bank bills be held to maturity,
the Market Participant may calculate the position risk amount under this method as the face value of the bills multiplied by the applicable Position Risk Factor specified in Table A5.1.2 in Annexure 5 to Schedule 1A.

Part A3.14 Margin method—Debt position risk

A3.14.1  Application
Debt Derivative positions which are exchange traded and have a positive Primary Margin Requirement must be included in the margin method if the Market Participant is not permitted to use any of the other methods referred to in Rule A3.10.2.

A3.14.2  Method

The position risk amount for Debt Derivative positions under the margin method is 100% of the Primary Margin Requirement for those Debt Derivative positions as determined by the relevant exchange or clearing house in respect of each position multiplied by four.

Part A3.15 Basic method—Debt position risk

A3.15.1  Application

Debt Derivative positions which are purchased (long) or written (short) Options may be included in the basic method.

A3.15.2  Method

(1) The position risk amount for a purchased Option is the lesser of:

(a)        the mark-to-market value of the underlying debt position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.2 in Annexure 5 to Schedule 1A; and

(b)       the mark-to-market value of the Option,

where:

 1.         subject to paragraph (d), the notional market value of the physical position underlying the Option is the price the Market Participant would have to pay for the Debt Instrument underlying the Option if it were to take a long position in that instrument at current interest rates;

 1.        the Option is over a Futures contract over a physical Debt Instrument, the notional position should be in the physical Debt Instrument.

(2) The position risk amount for a written Option is the mark-to-market value of the underlying debt position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.2 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,