Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p92
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 250372–253461

(i.e. ≥3% or <3%) so risk amounts must be aggregated for each currency.

Debt Position Risk – Margin method

Underlying currency  Primary Margin Requirement  Position risk amount (4 x Primary Margin Requirement)

Total

      * Enter amounts for each currency in which there are exposures.
      * You can only select each currency once so all similar currency amounts should be aggregated before being input.

Debt Position Risk – Basic method

                     Purchased Options                   Written Options

Underlying currency  Mark-to-market value of underlying  Mark-to-market value of the Option  Position risk amount  Mark-to-market value of underlying  Amount reduced by  Position risk amount

Total

      * Where you have multiple purchased options positions, you must determine the lesser of the aggregate 'mark-to-market value of underlying' and the aggregate 'mark-to-market value of the options' prior to entering the risk amount.
      * You can only select each currency once so all similar currency amounts should be aggregated before being input.

Debt principal concentration

Security code (or description if code not applicable)  Underlying currency  Debt Net Position (Liquid)  Debt Net Position (Illiquid)  Total position

Total

      * Detail the 5 Debt Net Positions that comprise the greatest percentage of the total gross value of the debt portfolio.
      * If the position is a listed security, then enter the code. If not, enter the type of debt position.

Foreign Exchange position risk

Foreign Exchange position risk – Standard method

Currency               Net open long position   Net open short position   Net open position

Total

Gold

Position risk amount

      * Enter the AUD equivalent of the net open long position or net open short position in each currency.
      * Enter the AUD equivalent of the net open position in gold.
      * For a selected currency you may enter either a Net Open Long Position or a Net Open Short Position.
      * You can only select each currency once so all similar currency amounts should be aggregated before being input.
      * The position risk amount is 8 per cent of the sum of the absolute values of 'the higher of aggregate net short/long open positions' and 'gold net open positions'.

Foreign Exchange position risk – Basic method

                  Purchased Options                   Written Options
Foreign Exchange  Mark-to-market value of underlying  Mark-to-market value of the Option  Position risk amount  Mark-to-market value of underlying   Amount reduced by  Position risk amount

Total

      * For reporting purposes, you must disclose the amount you have used to reduce the position risk amount for written options.
      * Enter the risk amount with the Position Risk Factor applied for mark-to-market value of underlying.
      * Where you have multiple purchased options positions, you must determine the lesser of the aggregate 'mark-to-market value of underlying' and the aggregate 'mark-to-market value of the option' prior to entering the risk