Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p52
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 137934–141991

counterparty large exposure  Time of Exposure                                                                                                                                                                 Reference in Annexure 1
Non-margined Financial Instrument            Yes                                     Greater than 10 Business Days after transaction date                                                                                                                             Subrule A1.2.2(3)
Free Delivery                                No                                      N/A                                                                                                                                                                              N/A
Securities Lending and Borrowing             Yes                                     Date the transaction is due to be closed out (that is, the day the Counterparty is scheduled to return the Market Participant's cash and/or securities and has failed to do so)  Rule A1.2.4
Margined Financial Instrument                Yes                                     24 hours after the time that amounts are normally scheduled for payment to the relevant exchange or clearing house                                                               Rule A1.2.5
OTC Derivative or Warrant held as principal  Yes                                     Date any payment or delivery is due under the transaction                                                                                                                        Rule A1.2.6
Sub Underwritten Positions                   No                                      N/A                                                                                                                                                                              N/A

(2) The counterparty large exposure risk amount calculated in respect of a transaction cannot exceed the maximum loss for that transaction.
(3) For the purposes of subrule (2), the maximum loss for:
(a)        an agency purchase transaction in non-margined Financial Instruments is the contract value;
(b)       an agency sale transaction in non-margined Financial Instruments is deemed to be the market value;
(c)        a Securities Lending and Borrowing transaction is deemed to be the counterparty exposure calculated as the difference between the market value of securities or cash given by the Market Participant to the Counterparty and the market value of securities or cash received by the Market Participant from the Counterparty;
(d)       transactions in margined Financial Instruments is deemed to be the outstanding settlement amount, premium, deposit or margin call that is owed to the Market Participant;
(e)        an OTC Derivative transaction in a written Option position is the full value of the premium owed to the Market Participant; and
(f)        a transaction in a purchased Option or other OTC Derivative position is deemed to be the current credit exposure calculated under subparagraph A1.2.6(1)(c)(i), where the current credit exposure is recalculated on a daily basis while the transaction remains outstanding.
(4) To calculate aggregate exposures to a Counterparty, a Market Participant must:
(a)        aggregate exposures to persons forming part of a Group of Connected Persons; and
(b)       not include exposures other than Positive Credit Exposures specified in Table A2.1.

Part A2.2 Issuer large exposure risk requirement

A2.2.1 Nature of an issuer large exposure risk amount
The issuer large exposure risk amount is the absolute sum of the individual issuer large exposure risk amounts calculated from the transaction date using the method of calculation set out in this Annexure 2.

A2.2.2 Overview

(1) 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