Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p55
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
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Character Range: 147650–151153

weighted value under paragraph (2)(d) may be offset against the corresponding underlying instrument in calculating an Equity Net Position or Debt Net Position under Rules A2.3.1, A2.3.2 and A2.3.3.

Part A2.3 Methods

A2.3.1 Equity method
(1) A Market Participant's issuer large exposure risk amount in relation to an issuer is the greater of the following amounts:
(a)        the risk amount calculated by comparing the Equity Net Position to Liquid Capital under subrule (2); and
(b)       the risk amount/s calculated by comparing the Equity Net Position to the issue/s under subrule (3).
(2) If the absolute value of an Equity Net Position to an Issuer is greater than 25% of the Market Participant's Liquid Capital the risk amount is:
(a)        12% for each single Equity in a Recognised Market Index; and
(b)       16% for any other single Equity, of the amount in excess of 25% of Liquid Capital.
(3) If the absolute value of an Equity Net Position to an Individual Issue/s is greater than 5% of that issue, the risk amount/s is:
(a)        12% for each single Equity in a Recognised Market Index; and
(b)       16% for any other single Equity, of the amount in excess of 5% of the issue/s.
(4) For the purposes of subrule (2):
(a)        Issuer means:
(i)         in the case of principal positions in physical Equity securities, the entity that has issued those securities; and
(ii)       in the case of Derivative positions, means the entity that has issued the securities underlying the Derivatives position and does not mean the Counterparty to the Derivative transaction; and
(b)       the Equity Net Position to a particular Issuer is the aggregate of all Equity Net Positions for different issues of securities issued by that Issuer where:
(i)         the Equity Net Positions relate to particular underlying instruments issued by a single Issuer (for example, ordinary shares, Preference Shares); and
(ii)       Equity Net Positions for different instruments issued by a single Issuer must not be offset when calculating the total Equity Net Position to that issuer.
(5) For the purposes of subrule (3), the instruments in column 1 of Table A2.5 are considered to comprise the "Individual Issue" for a particular Equity product referred to in column 2:
Table A2.5: Individual Issues
"Individual Issue"                                                                                                          Equity Product                                                                                                                            "Individual Issue" Detail
Ordinary shares                                                                                                             Ordinary shares                                                                                                                           Ordinary shares on issue, as published by an information source.
Exchange traded Options (ETOs)                                                                                              The ordinary shares underlying the ETO, as published by an information source.
Exchange traded Warrants                                                                                                    The ordinary shares underlying the exchange traded Warrant, as published by an information source.
Exchange traded convertible notes that are treated as an Equity position for the purposes of the position risk calculation  Ordinary shares on issue, as published