Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p45
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 119348–122233

the contract value that the Market Participant has not yet settled with the client or Counterparty continues to form part of the Client Balance and continues to be subject to a counterparty risk amount under Rule A1.2.2.

A1.2.4 Securities Lending and Borrowing method
(1) For the purposes of this Rule, counterparty exposure means the amount by which the market value of Equity or Debt Instruments or cash given by the Market Participant to the Counterparty exceeds the market value of Equity or Debt Instruments or cash received by the Market Participant from the Counterparty.
(2) Counterparty exposure may be calculated on a net basis where the relevant transactions are subject to a written agreement that supports netting across different transactions.
(3) For a Securities Lending and Borrowing transaction, the counterparty risk amount for a Counterparty, from the transaction date is:
(a)        zero, if across all Counterparties to Securities Lending and Borrowing transactions, the sum of each positive counterparty exposure is less than or equal to $10,000;
(b)       either:
(i)         8% of the counterparty exposure, where:
(A)       the Securities Lending and Borrowing is subject to a written agreement that supports netting across different transactions; and
(B)       the value of the counterparty exposure is less than or equal to 15% of the market value of Equity or Debt Instruments or cash received by the Market Participant from the Counterparty; or
(ii)       the sum of:
(A)       8% of the amount equivalent to 15% of the market value of the Equity or Debt Instruments or cash received by the Market Participant from the Counterparty;
(B)       100% of the amount of the difference between the counterparty exposure and 15% of the market value of Equity or Debt Instruments or cash received by the Market Participant from the Counterparty, where:
                 1.          the Securities Lending and Borrowing is subject to a written agreement that supports netting across different transactions; and
                 2.        the value of the counterparty exposure is greater than 15% of the market value of the Equity or Debt Instruments or cash received by the Market Participant from the Counterparty; or
(c)        100% of the counterparty exposure, if:
(i)         paragraph (a) and paragraph (b) do not apply; or
(ii)       if paragraph (b) does apply but the Market Participant elects to calculate the amount under this paragraph (c).
(4) For the purposes of this Rule, in determining the market value of securities given or received by the Market Participant, if the securities are subject to:
(a)        a trading halt, the last market value may be used; and
(b)       a suspension, the market value should be taken as nil on the basis that the security is not Liquid.

A1.2.5 Margined Financial Instruments method
(1) For trades in Financial