Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p54
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 145150–147922

an index, an equity Swap based on an index or any other index-linked Derivative where that Future, equity Swap or index-linked Derivative is not broken down into its constituent positions by a Market Participant for the purposes of calculating a position risk amount.
(2) An issuer large exposure risk amount must be calculated in the following manner:
(a)        the Equity leg of an equity Swap the value of which is based on the change in value of an individual Equity is treated as an exposure to the issuer of the Equity for the face value of the Equity leg of the equity Swap;
(b)       a Future or forward contract over:
(i)         a Debt Instrument other than a Government Debt Instrument; or
(ii)       an Equity,
is treated as an exposure to the underlying issuer for the face value of the Future or forward contract;
(c)        a Future on an index, an equity Swap based on an index or any other index-linked Derivative (including a Classical ETF) where that Future, equity Swap or index-linked Derivative is broken down into its constituent positions by a Market Participant for the purposes of calculating a position risk amount, is treated as an exposure to each underlying constituent position; and
(d)       an Option or right over a Financial Instrument (other than a Financial Instrument referred to in subrule (1)) is treated as an exposure at:
(i)         the full value of the underlying position; or
(ii)       the delta weighted value of the underlying instrument where a delta is published by a relevant exchange, clearing house or an independent market information source.
(3) Where a Market Participant has positions in Hybrid ETFs or Other Managed Funds:
(a)        only the test against Liquid Capital (under subrule A2.3.1(2), A2.3.2(3) or A2.3.3(2)) needs to be applied to those positions; and
(b)       the test against Liquid Capital must be applied separately for each different Hybrid ETF or Other Managed Fund issued by the same issuer.
(4) Where a Market Participant:
(a)        is not an active trader in bank bills;
(b)       holds bank bills as a passive investment, with the intention that the bank bills be held to maturity; and
(c)        calculates the position risk amount under subrule A3.11.2(3) as the face value of the bills multiplied by the appropriate standard method Position Risk Factor,
the Market Participant may also calculate its issuer large exposure risk amount for its position in bank bills using the face value of the bills.
(5) A delta 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