Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p63
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
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Character Range: 170106–172880

of shares underlying the Swap multiplied by the current market price of those shares).

A3.8.2 Options
The Equity Equivalent for an Option is:
(a)        for purchased call Options and written put Options, a long position at the mark-to-market value of the underlying equity position, or in the case of an Option on an index or physical basket the mark-to-market value of either the index, basket, or the notional position in the underlying; or
(b)       for purchased put Options and written call Options, a short position at the mark-to-market value of the underlying equity position, or in the case of an Option on an index or physical basket, the mark-to-market value of either the index, basket, or the notional position in the underlying.

A3.8.3 Futures and forward contracts
The Equity Equivalent:
(a)        for a Future and forward contract over a single Equity, is the mark-to-market value of the underlying; or
(b)       for a Future and a forward contract over an index or a physical basket, is the mark-to-market value of either the index, basket, or the notional position in the underlying.

A3.8.4 Convertible notes
(1) The Equity Equivalent of a convertible note is the mark-to-market value of the underlying Equity if:
(a)        the premium is In the Money by less than 10%, where premium in this context means the mark-to-market value of the convertible note less the mark-to-market value of the underlying Equity, expressed as a percentage of the mark-to-market value of the underlying Equity; and
(b)       there are less than 31 days to the conversion date,
but otherwise the convertible note must be treated as a debt position in accordance with Debt Equivalent requirements.
(2) For the purposes of subrule (1), the market value of the Equity is the value of the note if it is immediately converted to Equity at current market prices (that is, the conversion ratio times the number of notes times the current price of the issuer's Equity per share).

A3.8.5 Other positions—Classical ETFs
The Equity Equivalent of a Classical ETF is:
(a)        the mark-to-market value of the Classical ETF; or
(b)       the mark-to-market value of the notional position in the underlying,
and any cash component of the Classical ETF should be treated as if it was a position in an Equity.

A3.8.5A Other positions—Exchange traded CFDs
(1) The Equity Equivalent for an exchange traded CFD over a single Equity, is the mark-to-market value of the underlying.
(2) The Equity Equivalent for an exchange traded CFD over an index or a physical basket, is the mark-to-market value of either the index, basket or the notional position in the underlying.

Part A3.9 Calculation of Equity Net Positions—Equity position risk

A3.9.1 Equity Net Positions
(1) The Equity Net