Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p89
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 241964–245377

Use the comment section to confirm that the collateral meets the eligibility criteria outlined in the ASIC Market Integrity Rules. Collateral for the purposes of reducing counterparty risk amounts does not include collateral lodged with a clearing house in respect of specific transactions.
       * Note: Counterparty exposure commences at the time the amounts are scheduled for payment to the relevant exchange or clearing house.

Collateral comment

OTC Derivatives and Warrants executed as principal method

Risk amounts by counterparty risk weighting (CRW) category                                                        0%  10%  20%  50%  100%  Total

Written Option where premium due has not been received (100% of premium)
OTC Derivative or Warrant held as principal (8% of sum of current credit exposure and potential credit exposure)
Subtotal – unweighted amounts
Total risk amounts – weighted by CRW
Disclose the amount of collateral used to reduce the above amounts

Collateral comment

Sub Underwritten Positions method

Risk amounts by counterparty risk weighting (CRW) category           0%  10%  20%  50%  100%  Total

Sub Underwriting Commitment (2% of net sub underwriting exposure)
Sub Underwriting Commitment (100% of net sub underwriting exposure)
Subtotal – unweighted amounts
Total risk amounts – weighted by CRW

       * Input calculated counterparty risk amounts pre-risk weighted.

Disclose currency exposure

Currency  % of total Counterparty Risk Requirement

Total

       * Detail by currency, the percentage that each currency represents of the total Counterparty Risk Requirement.
      * Ensure that the total amounts to 100%.

Counterparty concentration

Counterparty name  Counterparty type  Gross 'unweighted value'  Counterparty risk weighting %  Counterparty risk amount (risk weighted)

Based on the gross unweighted counterparty risk amounts, detail the 5 counterparties that comprise the greatest percentage of the total gross unweighted Counterparty Risk Requirement. The gross 'unweighted counterparty risk amount' is the calculated counterparty risk amount for that individual counterparty. It is not the Client Balance for that counterparty. Refer to Table A5.2.1 when selecting 'counterparty type'.

Summary

Reducing the Counterparty Risk Requirement

You must complete the Currency exposure and Counterparty concentration sections and must have reported the provision for doubtful debts figure if you are using it to reduce the counterparty risk requirement.
Counterparty risk amounts (after Counterparty risk weightings)  Total

Non-margined Financial Instruments method
Free Delivery method
Securities Lending and Borrowing method
Margined Financial Instruments method
OTC Derivatives and Warrants executed as principal method
Sub Underwritten Positions method
Subtotal
less provision for Doubtful Debts
Total Counterparty Risk Requirement

Large Exposure Risk Requirement

Counterparty large exposure risk amount

Method                                             Risk amounts  Total number of counterparties

Non-margined Financial Instrument
Securities Lending and Borrowing
Margined Financial Instrument
OTC Derivative and Warrants executed as principal
Sub Underwritten Positions
Total risk amounts

Counterparty Large Exposure is triggered where the exposure is greater than 10% of the Market Participant's Liquid Capital at the