Document ID: chunk:federal_register_of_legislation:F2024C01107:body:0:p65
Version: federal_register_of_legislation:F2024C01107
Segment Type: other
Provision Reference: 
Character Range: 175271–178272

debt position risk amount in relation to a Market Participant's debt positions is the absolute sum of the individual position risk amounts calculated for debt positions for each currency using the methods of calculation set out in this Annexure 3.

A3.10.2 Overview of methods

(1) The standard method is the main method for measuring the debt position risk amount. This 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 debt position risk amount, the following methods must be used.
Table A3.2: Overview of methods
Nature of Positions             Standard Method  Margin Method                                                                   Basic Method
Physical (not debt derivative)  Yes              No                                                                              No
Non-option debt derivatives     No               Yes, if exchange traded and margined and not calculated under any other method  No
Debt options                    No               Yes, if exchange traded and margined and not calculated under any other method  Yes

A3.10.2A Treatment—Hybrid ETFs

A Market Participant must take the following into account when calculating a position risk amount for a principal position in units in Hybrid ETFs classified as Debt Instruments:
(a)        there is no difference between the primary market and secondary market for the purposes of calculating position risk amounts;
 1.        principal positions in Hybrid ETFs commence at T0 and the underlying risk variable is the market price of the Hybrid ETF unit;
 2.         a Hybrid ETF cannot be broken down into any notional positions in the underlying;
 3.        the Position Risk Factors to be applied are set out in Rule A5.1.2A; and
 4.         if the Market Participant is unlikely to be able to liquidate its position in a Hybrid ETF within 31 days, taking into account factors including the size of its position and the volume of that Hybrid ETF traded in the market, it must treat the position as an Excluded Asset and exclude the market value of that position from Liquid Capital.

A3.10.2B Treatment—Other Managed Funds
A Market Participant must take the following into account when calculating a position risk amount for a principal position in units in Other Managed Funds classified as Debt Instruments:
(a)        principal positions in Other Managed Funds commence at T0 and the underlying risk variable is the market price of the Other Managed Fund unit;
(b)       the Other Managed Fund cannot be broken down into any notional positions in the underlying;
(c)        the Position Risk Factors to be applied are set out in Rule A5.1.2B;
(d)       if the Market Participant is unlikely to be able to liquidate its position in an Other Managed Fund within 31 days, taking into account factors including the size of its position relative to the size of the fund, it must treat the position as