Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p53
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
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Character Range: 141743–145395

The issuer large exposure risk amount for an issuer is subject to two tests, measuring the net position relative to Liquid Capital and relative to the issuer.

(2) In calculating the issuer large exposure amounts for exposures to:
(a)        equity positions, the method set out in Rule A2.3.1 applies;
(b)       debt positions, the method set out in Rule A2.3.2 applies; and
(c)        both equity positions and debt positions where no risk amount arises under Rule A2.3.1 or Rule A2.3.2, the method set out in Rule A2.3.3 applies.

(3) The methods referred to in subrule (2) are summarised in Tables A2.2 to A2.4 below:
Table A2.2: Issuer Large Exposure—Equity Positions
                                           Equity Method
                                           Compared to Liquid Capital                                   Compared to Issue                                            Risk amount
Equity Net Position from transaction date  If Equity Net Position is  25%, is a risk amount required?  If Equity Net Position is > 25%, is a risk amount required?  If Equity Net Position is  5%, is a risk amount required?  If Equity Net Position is > 5%, is a risk amount required?  Take the greater of (a) and (b)
                                           No                                                           Yes (a)                                                      No                                                          Yes (b)

Table A2.3: Issuer Large Exposure—Debt Positions
                                         Debt Method
                                         Compared to Liquid Capital                                 Compared to Issue                                          Risk amount
Debt Net Position from transaction date  If Debt Net Position is  25%, is a risk amount required?  If Debt Net Position is > 25%, is a risk amount required?  If Debt Net Position is  10%, is a risk amount required?  If Debt Net Position is > 10%, is a risk amount required?  Take the greater of (a) and (b)
                                         No                                                         Yes (a)                                                    No                                                         Yes (b)

Table A2.4: Issuer Large Exposure—Equity and Debt Positions
                                                                 Equity and Debt Method
                                                                 Compared to Liquid Capital only                                                    Risk amount
Equity Net Position and Debt Net Position from transaction date  If Equity Net Position and Debt Net Position is  25%, is a risk amount required?  If Equity Net Position and Debt Net Position is > 25%, is a risk amount required?   Take (c)
                                                                 No                                                                                 Yes (c), but only if a zero amount has been calculated in Table A2.2 or Table A2.3

A2.2.3 Application
(1) An issuer large exposure risk amount does not arise in relation to:
(a)        a Financial Instrument whose value is based on a Government Debt Instrument or an interest rate;
(b)       a Forward Rate Agreement;
(c)        an interest rate or currency Swap;
(d)       an interest rate leg of an equity Swap; and
(e)        a Future on an index, an equity Swap based on an index or any other index-linked Derivative where that Future, equity Swap or index-linked Derivative is not broken down into its constituent positions by a Market Participant for the purposes of calculating a