Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p61
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 165146–167949

CFDs commence at T0;
(b)       the Position Risk Factors to be applied are set out in Table A5.1.1 in Annexure 5 to Schedule 1A;
(c)        if the Market Participant is unlikely to be able to liquidate its position in an exchange traded CFD within 31 days, taking into account factors including the size of its position and the volume of that exchange traded CFD traded in the market, it must treat that exchange traded CFD as an Excluded Asset and exclude the market value of that position from Liquid Capital.

Part A3.2 Standard method—Equity position risk

A3.2.1 Application
(1) Physical Equity positions may be included in the standard method.
(2) Equity Derivative positions other than Options may be included in the standard method if the positions are converted to Equity Equivalents according to Part A3.8.
(3) Equity Derivative positions which are Options may be included in the standard method only if they are purchased positions or if they are written positions which are exchange traded and subject to daily margin requirements and the purchased or written positions are:
(a)        In the Money by at least the relevant standard method Position Risk Factor for the underlying position specified in Table A5.1.1 in Annexure 5 to Schedule 1A; and
(b)       converted to Equity Equivalents according to Part A3.8.
If the above criteria are not met, the Options must be treated under one of the option methods set out in Parts A3.5 and A3.6.

A3.2.2 Method
The position risk amount for equity positions to which the standard method is applied is the absolute sum of the product of individual Equity Net Positions at the mark-to-market value and the applicable Position Risk Factor specified in Table A5.1.1 in Annexure 5 to Schedule 1A.

Part A3.5 Margin method—Equity position risk

A3.5.1 Application

Equity Derivative positions which are exchange traded and have a positive Primary Margin Requirement must be included in the margin method if the Market Participant is not permitted to use any of the other Methods set out in Rule A3.1.2.

A3.5.2 Method
The position risk amount for Equity Derivative positions under the margin method is 100% of the Primary Margin Requirement for those Equity Derivative positions as determined by the relevant exchange or clearing house multiplied by four.

Part A3.6 Basic method—Equity position risk

A3.6.1 Application
Equity Derivative positions which are purchased (long) or written (short) Options may be included in the basic method.

A3.6.2 Method
(1) The position risk amount for a purchased Option is the lesser of:
(a)        the mark-to-market value of the underlying equity position multiplied by the standard method Position Risk Factor for the underlying position specified in Table A5.1.1 in Annexure 5 to Schedule 1A; and
(b)       the