Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p64
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 172629–175518

over an index or a physical basket, is the mark-to-market value of either the index, basket or the notional position in the underlying.

Part A3.9 Calculation of Equity Net Positions—Equity position risk

A3.9.1 Equity Net Positions
(1) The Equity Net Positions are either the long or short positions resulting from offsetting equity positions and Equity Equivalents calculated in the following way:
(a)        A Market Participant may net a long position against a short position only where the positions are in the same actual instrument. This includes Equity Equivalent positions calculated in accordance with Part A3.8. For the purposes of this paragraph:
(i)         depository receipts may be treated as if they are the same positions in the corresponding instrument and at the same value if:
 1.        the positions in the depository receipt and underlying have been entered into as a specific arbitrage and have the certainty of a locked-in profit (or loss);
 1.        the profit (or loss) in sub-subparagraph (A) is Liquid; and
 1.        all conversion costs and foreign exchange costs are immediately provided and are separately monitored over the life of the arbitrage,
but otherwise must be valued at the current exchange rate; and
(ii)       instalment receipts may be treated as if they are positions in the corresponding instrument.
(b)       An Option position can only be offset if it is In the Money by at least the standard method Position Risk Factor specified in Table A5.1.1 in Annexure 5 to Schedule 1A applicable to the underlying position.
(2) For the purposes of subrule (1), a Market Participant:
(a)        must not offset Securities Lending and Borrowing transactions against underlying long and short Equity Net Positions; and
(b)       must treat any securities that have been lent out under a Securities Lending and Borrowing arrangement or that have been sold under a repurchase agreement as a principal position of the Market Participant and must calculate a position risk amount on that position, notwithstanding that a counterparty risk amount must also be calculated under the Securities Lending and Borrowing method in Rule A1.2.4;
(c)        may only offset positions in quoted securities issued by a listed entity and quoted on multiple exchanges where the securities quoted on multiple exchanges are identical;
(d)       may only offset positions in listed stocks that are subject to a merger and which involve the conversion/exchange of scrip once it is legally certain the conversion/exchange will proceed.

Part A3.10 Debt position risk amount

A3.10.1 Nature of debt position risk amount

The debt position risk amount in relation to a Market Participant's debt positions is the absolute sum of the individual position risk amounts calculated for debt positions for each currency using the methods of calculation set out in this Annexure 3.