Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p66
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 178056–180762

is unlikely to be able to liquidate its position in an Other Managed Fund within 31 days, taking into account factors including the size of its position relative to the size of the fund, it must treat the position as an Excluded Asset and exclude the market value of that position from Liquid Capital; and
(e)        if a daily price cannot be obtained and/or if the number of units on issue cannot be determined on a daily basis, the position must be treated as an Excluded Asset on the basis that it would not be possible to value the investment in accordance with the requirements of Rule S1A.2.8.

A3.10.2C Treatment—Cash management trusts
For the purposes of the calculation of a position risk amount, an investment in a cash management trust, even if offered by an Approved Deposit Taking Institution or its subsidiary:
(a)        is not a deposit with the Approved Deposit Taking Institution where it is not capital guaranteed and is subject to investment risk;
(b)       where the cash management trust meets the definition of a Hybrid ETF or Other Managed Fund, may be treated accordingly; and
(c)        where the cash management trust does not meet the definition of a Hybrid ETF or Other Managed Fund, must be treated as an Excluded Asset.

A3.10.2D Treatment—Securities subject to trading halt or suspension
Where a Market Participant holds a principal position in a listed debt security that is subject to:
(a)        a trading halt, the position does not have to be treated as an Excluded Asset (where the position otherwise meets the definition of Liquid) and a debt position risk amount must be calculated;
(b)       suspension, the position must be treated as an Excluded Asset on the basis that the security is not Liquid.

Part A3.11 Standard method—Debt position risk

A3.11.1  Application
Only physical Debt Instrument positions may be included in the standard method.

A3.11.2  Method
(1) Subject to subrule (3), the position risk amount for debt positions to which the standard method is applied is the absolute sum of the product of individual Debt Net Positions at the mark-to-market value and the applicable Position Risk Factor specified in Table A5.1.2 in Annexure 5 to Schedule 1A.
(2) In determining the applicable Position Risk Factor for the purposes of subrule (1):
(a)        the coupon applicable to the Debt Net Position will determine the time band and Position Risk Factor;
(b)       the Position Risk Factors and time bands for any Debt Instrument that 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