Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p72
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 192957–196118

not offset Securities Lending and Borrowing transactions against underlying long and short Debt Net Positions; and
(b)       must treat any securities that have been lent out under a Securities Lending and Borrowing arrangement or that have been sold under a repurchase agreement as a principal position of the Market Participant and calculate a position risk amount on that position, notwithstanding that counterparty risk amount must also be calculated under the Securities Lending and Borrowing method in Rule A1.2.4.

Part A3.18 Foreign Exchange position risk amount

A3.18.1  Nature of Foreign Exchange position risk amount
The Foreign Exchange position risk amount in relation to a Market Participant's Foreign Exchange positions is the absolute sum of the individual position risk amounts for Foreign Exchange positions calculated using the method of calculation set out in this Annexure 3.

A3.18.2  Overview of method
(1) The standard method is the main method for measuring the Foreign Exchange position risk amount. This method is supplemented by other methods, the use of which largely depends on the Financial Instruments in which principal positions are taken.
(2) In calculating the Foreign Exchange position risk amount, the following methods must be used:
Table A3.3: Overview of method
Nature of Positions                           Standard Method                                               Basic Method
Physical* (not Foreign Exchange derivatives)  Yes                                                           No
Non-option Foreign Exchange derivatives       Yes, when converted to Foreign Exchange equivalent positions  No
Foreign Exchange Options                      Yes, if satisfy relevant criteria.                            Yes, must be used for all written options and if not calculated under any other method

* A Foreign Exchange position in Parts A3.18 to A3.22 includes foreign currency assets and liabilities, gold, Equity and Debt Instruments denominated in a foreign currency, Commodities denominated in a foreign currency not withstanding a position risk amount has been calculated elsewhere in Annexure 3 to Schedule 1A.

Part A3.19 Standard method—Foreign Exchange position risk

A3.19.1  Application
(1) Foreign Exchange physical positions must be included in the standard method.
(2) Foreign Exchange Derivative positions other than Options must be included in the standard method, and the positions must be converted to Foreign Exchange Equivalents according to Part A3.21.
(3) Foreign Exchange Derivative positions which are Options
(a)        may be included in the standard method only if they are purchased positions and the purchased positions are converted to a Foreign Exchange Equivalent according to Part A3.21; and
(b)       if they are not included in the standard method in accordance with paragraph (a), must be treated under the basic method set out in Part A3.20.

A3.19.2  Method
(1) The position risk amount for Foreign Exchange positions to which the standard method is applied is the sum of:
(a)        the greater of the absolute value of the aggregate of the converted:
(i)         net open long