Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p34
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 90510–93296

closing market price:
(A)       which is the current bid price for a long position; and
(B)       which is the current offer price for a short position;
or at last price, closing price or mid price;
(ii)       an exchange traded Option position may be valued using the "fair value" published by a reputable independent information source, where the "fair value" source is used consistently across all exchange traded Option positions of the Market Participant at all times;
(iii)     an Option or rights position which does not have a published market price under subparagraph (i) or which cannot be valued using the "fair value" under subparagraph (ii) must be valued as follows:
(A)       for a purchased Option or right, the In the Money amount multiplied by the quantity underlying the Option; and
(B)       for a written Option, the sum of the In the Money amount multiplied by the quantity underlying the Option and the initial premium received for the Option;
(iv)      a Swap or a Forward Rate Agreement must be valued:
(A)       having regard to the net present value of the future cash flows of the contract; and
(B)       using current interest rates relevant to the periods in which the cash flows will arise.

(2) For the purposes of sub-subparagraph (1)(b)(iii)(B), if a written Option was In the Money at the time the contract was written, the In the Money amount for the purposes of this Rule may be taken to be the current In the Money amount less the In the Money amount at the time the contract was written.

(3) If a Market Participant holds a Financial Instrument denominated in a foreign currency then it:
(a)        must calculate a risk amount for each risk type in that foreign currency; and
(b)       convert the risk amount in paragraph (a) to Australian dollars at the Market Spot Exchange Rate,

in all cases other than where the Market Participant is calculating risk amounts for the purposes of Parts A3.18 to A3.22 of Annexure 3 to this Schedule 1A or where this Schedule 1A expressly provides otherwise.

S1A.2.9 Unusual or non-standard exposures

The Non-Standard Risk Requirement:
         1.         in relation to each exposure arising from a transaction referred to in Rule S1A.2.9A, S1A.2.9B, S1A.2.9C or S1A.2.9D, is the amount calculated in accordance with the relevant Rule;
         2.        in relation to each exposure arising from a transaction which is not:
(i)         specifically described in this Schedule 1A; or
(ii)       is not in a form which readily fits within this Schedule 1A,

is the full market value of the transaction unless ASIC approves otherwise.

S1A.2.9A Margin lending facilities

Where a Market Participant offers margin lending facilities to clients:
(a)        the risk requirement for the exposure with respect