Part A3.21Calculation of Foreign Exchange Equivalent positions—Foreign Exchange position risk

Part A3.21 Calculation of Foreign Exchange Equivalent positions—Foreign Exchange position risk

A3.21.1 Options

The Foreign Exchange Equivalent for an Option is:

(a) for purchased call Options and written put Options, a long position at the notional face value of the underlying contract; and
(b) for purchased put Options and written call Options, a short position at the notional face value of the underlying contract.

A3.21.2 Futures

The Foreign Exchange Equivalent for a Future over a Foreign Exchange is the notional face value of the underlying contract.

A3.21.3 Forward contracts

The Foreign Exchange Equivalent for a forward contract including a future exchange associated with a cross currency Swap is at the discretion of the Market Participant either the:

(a) face value of the contract; or

  (b) net present value of the contract.

A3.21.4 Other positions—Exchange traded CFDs

The Foreign Exchange Equivalent for an exchange traded CFD over an exchange rate or Foreign Exchange is the notional face value of the underlying contract.

Part A3.22 Calculation of Foreign Exchange net open positions—Foreign Exchange position risk

A3.22.1 Calculation of foreign currency net open position

(1) To calculate a net open position in a foreign currency, a Market Participant must aggregate in each currency all:

(a) Financial Instruments;
(b) Commodities; and
(c) other assets and liabilities,

other than Excluded Assets and foreign exchange contracts hedging Excluded Assets.

(2) To convert a net open position in a foreign currency to an equivalent Australian dollar amount a Market Participant must use:

(a) the Market Spot Exchange Rate; or
(b) in the case where a foreign currency asset or liability is specifically matched or hedged by a forward currency contract, the rate of exchange stated in the forward currency contract.

A3.22.2 Calculation of gold net open position

(1) To calculate a net open position in gold and gold derivatives, each open position in gold must first be expressed in terms of the standard unit of measurement (kilos, ounces etc). The net position in gold and gold derivative must then be converted at the current rates into Australian dollars.

(2) When calculating the gold net open positions, the long and short positions in a gold contract or gold derivative may be offset.

(3) Where the interbank market price for gold is denominated in a foreign currency, a Market Participant with an open position in gold and gold derivative: