Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p71
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 190362–193215

Net Position is either the long or short position resulting from offsetting positions in Debt Instruments and Debt Derivatives in the following way:
(a)        subject to paragraphs (c) and (d), short Debt Instrument and Debt Equivalent positions may be directly offset against long Debt Instrument and Debt Equivalent positions provided that the issuer, coupon, maturity are identical;
(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 A5.1.2 in Annexure 5 to Schedule 1A applicable to the underlying position;
(c)        a matched position in a Future or forward contract and its underlying may be offset provided that:
(i)         the term to maturity of the Future or forward contract is included in the relevant time band specified in Table A5.1.2 in Annexure 5 to Schedule 1A;
(ii)       where the Future or the forward contract comprises a range of deliverable instruments, offsetting of positions in the Future or forward contract and the underlying is only permissible when there is a readily identifiable underlying which is profitable for the short position holder to deliver; and
(iii)     for a Future or forward contract where a Market Participant has a right to substitute cash settlement for physical delivery and the price at settlement is calculated with reference to a general market price indicator then no offset is allowed against the underlying; and
(d)       to qualify for offsets across product groups, the positions must relate to the same underlying instrument type, be of the same nominal value, and:
(i)         in relation to Futures, the offsetting positions and the notional or underlying instruments to which the Futures relate must be identical products and mature within seven days of each other;
(ii)       in relation to Swaps and Forward Rate Agreements, the reference rate (for floating rate positions) must be identical and the coupon closely matched (within 15 basis points); and
(iii)     in relation to Swaps, Forward Rate Agreements and forward contracts, the next interest fixing date, or, for fixed coupon positions or forward contracts, the residual maturity (or, where there is a call or put Option in the relevant instrument, the effective maturity of the instrument) must correspond within the following limits:
(A)       less than one month hence, same day;
(B)       between one month and one year hence, within seven days; and
(C)       over one year hence, within 30 days.
(2) For the purposes of subrule (1), a Market Participant:
(a)        must not offset Securities Lending and Borrowing transactions against underlying long and short Debt 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