Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p91
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 247629–250639

Equity & Debt method

Total Large Exposure Risk Requirement

Position Risk Requirement

Equity Position Risk – Standard method

Country  Equity Net Positions (8% Position Risk Factor)  Equity Net Positions (12% Position Risk Factor)  Equity Net Positions (16% Position Risk Factor)  Total

Total

       * Risk amounts are required to be input. You should use the percentage columns to categorise risk amounts for disclosure to ASIC.
       * You can only select each country once so all similar country amounts should be aggregated before being input.

Equity Position Risk – Margin method

Country  Primary Margin Requirement  Position risk amount (4 x Primary Margin Requirement)

Total

       * You can only select each country once so all similar country amounts should be aggregated before being input.

Equity Position Risk – Basic method

         Purchased Options                   Written Options
Country  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.
      * You can only select each country once so all similar country amounts should be aggregated before being input.
      * 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 amount.

Equity principal concentration

Security code (or description if code not applicable)  Country  Equity Net Position (Liquid)  Equity Net Position (Illiquid)  Total position

Total

      * Detail the 5 Equity Net Positions that comprise the greatest percentage of the total gross value of the equity portfolio.

      * If the position is a listed security then please enter the market code (e.g. TLS for Telstra Corporation Limited). If not, enter the name of the issuer, security code if listed and type of security.

      * If you enter an Equity Net Position for a security which is not listed on a Market, use the comment section to provide details of how you have assessed this position as Liquid as per the definition in the ASIC Market Integrity Rules.

Comments

Debt Position Risk – Standard method

Currency  Coupon type  Position Risk Factors - %  Position risk amount

Total

      * Enter risk amount with Position Risk Factor applied.
      * You can only select each currency once for the same coupon type (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