Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p36
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 95597–98653

to Schedule 1A.

(2) Where a Market Participant issues a credit derivative (including but not limited to credit default swaps and first to default baskets), the Market Participant must treat the position as a non-standard exposure and the risk requirement must be equal to 8% of the product of the maximum payout under the credit derivative and the counterparty risk weighting applicable for that Counterparty specified in Table A5.2.1 in Annexure 5 to Schedule 1A.

S1A.2.10 Underwriting register
A Market Participant must maintain a register of its Underwriting Commitments and Sub Underwriting Commitments (each, a Relevant Commitment) which records:
(a)        the date of commencement, crystallisation and termination of each Relevant Commitment and the parties to each Relevant Commitment;
(b)       the identity, number and price of the Financial Instruments the subject of each Relevant Commitment;
(c)        the amount underwritten by the Market Participant under each Relevant Commitment; and
(d)       any reduction in the amount underwritten under each Relevant Commitment to an amount being:
(i)         sub underwritten under a Sub Underwriting Commitment; or
(ii)       received under a client placement in relation to the Financial Instruments the subject of the Relevant Commitment; or
(iii)     received as Application Monies for the Financial Instruments where the amount reduces the liability of the Market Participant under the Relevant Commitment,
and the date that this reduction occurs.

S1A.2.11 Liquidity requirements
A Market Participant must:
 1.         maintain a liquidity plan that covers at least the next 12 months under both normal and stressed scenarios, taking into account expected changes to the Market Participant's strategy, business plans or financial circumstances;
(b)       have the liquidity plan approved by the board of directors of the Market Participant, or, if the Market Participant is a partnership, by two partners of the Market Participant, at least annually;
(c)        prepare a projection of cash flows over at least the next three months based on the Market Participant's reasonable estimate of what is likely to happen over this term;
(d)       document the calculations and assumptions on which the liquidity plan and projection of cash flows are based, and describe in writing why they are appropriate assumptions;
(e)        update the liquidity plan when there is a material change to its strategy, business plans or financial circumstances;
(f)        update the projection of cash flows when:
(i)         those cash flows cease to cover the next three months;
(ii)       there is a material change to its strategy, business plans or financial circumstances; or
(iii)     there is reason to suspect that an updated projection would differ materially from the current projection; and
(g)       document a contingency funding plan, procedures for managing liquidity risks, and procedures for the escalation of liquidity issues.

Annexure 1 to Schedule 1A: Counterparty Risk Requirement

Part