Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p70
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 187914–190624

a combination of a short position in a notional Debt Instrument with a maturity equal to the combined term of the contract plus the term of the underlying Debt Instrument, and a long position in the notional Debt Instrument with a maturity equal to the term of the contract;
(c)        if over an index, a combination of a notional position in the instrument with the longest term, with a maturity equal to the combined term of the contract plus the term of that Debt Instrument, and an opposite position in that Debt Instrument with a maturity equal to the term of the contract; and
(d)       if a range of deliverable instruments can be delivered to fulfil the contract the Market Participant may elect which Debt Instrument goes into the time band in Table A5.1.2 in Annexure 5 to Schedule 1A, but should take account of any conversion factor for the purposes of calculating the position risk.
(2) For the purposes of subrule (1):
(a)        a "purchased" position should be interpreted as meaning that the holder of the position is an investor and has bought a Futures or forward contract or has sold a Forward Rate Agreement; and
(b)       a "sold" position should be interpreted as meaning that the holder of the position is a borrower and has bought a Forward Rate Agreement or sold a Futures or forward contract.

A3.16.4  Convertible notes
The Debt Equivalent for a convertible note which is not within paragraphs A3.8.4(1)(a) or (b), is a position in a Debt Instrument.

A3.16.5  Basket or index products
The Debt Equivalent for a basket or index product, where there is a known weight for each component Debt Instrument, is a position in a portfolio of Debt Instruments with corresponding weights and if the basket or index is based on:
(a)        Government Debt Instruments, then a zero specific risk Position Risk Factor should be used; and
(b)       Qualifying Debt Instruments or other Debt Instruments, then the appropriate specific risk Position Risk Factor should be used.

A3.16.6  Income securities
Income securities should be treated as debt positions, not Equity positions, based on their market value. The Position Risk Factors to be applied under the standard method will be based on the time until the next repricing date. The second column of time bands in Table A5.1.2 in Annexure 5 to Schedule 1A should be used.

Part A3.17 Calculation of Debt Net Positions—Debt position risk

A3.17.1  Debt Net Position
(1) The Debt 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