Federal Register of Legislation - Australian Government

Primary content

Rules/Other as amended, taking into account amendments up to ASIC Market Integrity Rules (ASX Market) Amendment 2013 (No. 2)
This instrument sets out the market integrity rules that apply to the market operated by ASX Limited (ACN 008 624 691) under Australian Market Licence (Australian Stock Exchange Limited) 2002.
Administered by: Treasury
Registered 06 Feb 2014
Start Date 09 Nov 2013
End Date 08 Feb 2014
Date of repeal 07 May 2018
Repealed by ASIC Market Integrity Rules (Securities Markets) 2017
Table of contents.


 

 

ASIC Market Integrity Rules (ASX Market) 2010

Volume 3

 

This compilation was prepared on 24 January 2014 taking into account amendments up to ASIC Market Integrity Rules (ASX Market) Amendment 2013 (No.2), which commenced on 9 November 2013. See the Notes at the end of these Rules. The text of any of those amendments not in force on that date is appended in the Notes section.

Volume 1 contains Chapters 1 to 10, Schedules 1A, 1B and the Annexures to Schedule 1A.

Volume 2 contains:

·         Schedule 1C Form 1 Part 1;

·         Schedule 1C Form 2 Parts 1 and 2;

·         Schedule 1C Form 3A Parts 1 and 2;

·         Schedule 1C Form 3B Parts 1 and 2;

Volume 3 contains:

·         Schedule 1C Form 4A Parts 1 and 2;

·         Schedule 1C Form 4B Parts 1 and 2;

·         Schedule 1C Form 5;

·         Schedule 1C Form 6;

·         Schedule 1C Form 7;

·         Schedule 1C Form 8 Parts 1 and 2;

·         Schedule 1C Form 9 Parts 1 and 2;

·         Schedule 1C Form 10 Parts 1 and 2;

·         Schedule 1C Form 11 Parts 1 and 2;

Volume 4 contains:

·         the Notes.

 

Contents

Schedule 1C: Forms. 4

Sch 1C Form 4A Pt 1. 5

Schedule 1C Form 4A Part 2: Risk Based Capital Requirements - Directors' Declaration to the Annual Audited Return. 78

Sch 1C Form 4B Part 1. 80

Schedule 1C Form 4B Part 2: Risk Based Capital Requirements - Partners' Declaration to the Annual Audited Return. 107

Schedule 1C Form 5: Risk Based Capital Requirements Auditor’s Report 109

Schedule 1C Form 6: Risk Based Capital Requirements – Key. 112

Schedule 1C Form 7: Risk Based Capital Requirements – Partnership Statutory Declaration  113

Schedule 1C Form 8 Part 2: NTA Requirements - Directors' Declaration to the Ad Hoc Return  166

Schedule 1C Form 9 Part 2: NTA Requirements – Directors’  Declaration to the Summary Return. 173

Sch 1C Form 10 Pt 1. 175

Schedule 1C Form 10 Part 2:     NTA Requirements - Directors' Declaration to the Monthly Return  214

Sch 1C Form 11 Pt 1. 216

Schedule 1C Form 11 Part 2: NTA Requirements - Directors' Declaration to the Annual Audited Return. 248



Sch 1C Form 4A Pt 1

Annual Audited Return

 

Market Participant Name:

Return Date:

 

Return Details

Participant Type

Participant Sub-Type

Return Status:

Version:

Lodgement Date:

Original Lodgement Date:


 

Annual Audited Return

Return Date:

PRO

 
Return Profile

Counterparty Risk Requirement

 

Have any of the following transaction types generated a counterparty risk amount/requirement?

Non-margined financial instruments?

Free deliveries?

Securities lending or borrowing agreements?

Margined financial instruments?

OTC derivatives and warrants as principal?

Sub underwritings?

Position Risk Requirement

 

Part 1 - Equity Position Risk

Are any equity principal positions held which require a position risk requirement to be entered?

Standard Method

Building Block Method

Contingent Loss Matrix Method - Method 1

Contingent Loss Matrix Method - Method 2

Margin Method

Basic Method

Arbitrage Method

Part 2 - Debt Position Risk

Are any debt principal positions held which require a position risk requirement to be entered?

Annual Audited Return

Return Date:

Standard Method

Building Block Method - Maturity Method

Building Block Method - Duration Method

Contingent Loss Matrix Method 2 (Maturity method)

Margin Method

Basic Method

Part 3 - Foreign Exchange Position Risk

Does a foreign exchange position risk requirement need to be entered?

Standard Method

Contingent Loss Matrix Method

Part 4 - The Internals Models Approach

Does the Participant have an Authorised VAR Model?

Equities

Debt

Foreign Exchange

Commodities

Large Exposure Risk Requirement

 

Part 1 - Counterparty Large Exposure

Is more than 10% of Liquid Capital exposed to a single counterparty?

Indicate type of exposure:

Non-margined financial instruments?

Securities lending or borrowing agreements?

Margined financial instruments?

Annual Audited Return

Return Date:

OTC derivatives and warrants as principal?

Part 2 - Issuer Large Exposure

Does an Issuer Large Exposure Risk Requirement need to be entered?

Equity Method

Does any individual equity net position exceed 25% of Liquid Capital?

Does any individual equity net position exceed 5% of shares on issue?

Debt Method

Does any individual debt net position exceed 25% of Liquid Capital?

Does any i­­ndividual debt net position exceed 10% of the debt series on issue?

Equity and Debt Method

Does the sum of equity and debt positions to an individual issuer exceed 25% of Liquid Capital?

 

 

Underwriting Risk Requirement

 

 

Does an underwriting risk requirement need to be entered?

 

 

Non-Standard Risk Requirement

 

 

Are there any unusual or non-standard exposures?

 

 

Secondary Requirement

 

 

Has a secondary requirement been imposed on the Participant?


 

Annual Audited Return

 

Return Date:

CRR

 
Counterparty Risk Requirement

Counterparty Risk Amounts (after Counterparty Risk Weightings)

 

Summary

0%

10%

20%

50%

100%

Total

Non-Margined Financial Instruments

Method

 

 

 

 

 

 

Free Delivery Method

 

 

 

 

 

 

Securities Lending and Borrowing Method

 

 

 

 

 

 

Margined Financial Instruments Method

 

 

 

 

 

 

OTC Derivatives And Warrants as Principal

Method

 

 

 

 

 

 

Sub-underwritten Positions Method

 

 

 

 

 

 

SUB Total

 

 

 

 

 

 

less Provision for Doubtful Debts:

 

TOTAL COUNTERPARTY RISK REQUIREMENT:

 

 


 

Annual Audited Return

 

Return Date:

Non-Margined Financial Instruments Method

CRR-NMI

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

≤ 10 Business Days: Aggregate of Net Client Balances @ 3%

 

 

 

 

 

 

> 10 Bus' Days: Transaction @ 3%

 

 

 

 

 

 

> 10 Business Days: Excess of market value over contract value in case of a sale / Excess of contract value over market value in case of a purchase

 

 

 

 

 

 

100% of Contract value/100% of Market value

 

 

 

 

 

 

Sub Total - Unweighted Amounts

 

 

 

 

 

 

Total Risk Amounts - Weighted by CRW

 

 

 

 

 

 

Amount Of Collateral Utilised To Reduce The

Above Amounts.

 

 

 

 

 

 

 


 

Annual Audited Return

 

Return Date:

Free Delivery Method

CRR-FDL

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

< 2 Business Days @8%

 

 

 

 

 

 

≥ 2 Business Days @100%

 

 

 

 

 

 

Sub Total - Unweighted Amounts

 

 

 

 

 

 

Total Risk Amounts - Weighted by CRW

 

 

 

 

 

 

Amount of Collateral Utilised to Reduce the

Above Amounts

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Securities Lending and Borrowing Method

CRR-SLB

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

Option 1: > $10,000 and counterparty exposure ≤ 15% of value received: 8% of counterparty exposure

 

 

 

 

 

 

> $10,000 and counterparty exposure >

15% of value received : 8% of 15% of value received

 

 

 

 

 

 

> $10,000 and counterparty exposure >

15% of value received : 100% of counterparty exposure over 15% of value received

 

 

 

 

 

 

Option 2: > $10,000 : 100% of counterparty exposure

 

 

 

 

 

 

Sub Total - Unweighted Amounts

 

 

 

 

 

 

Total Risk Amounts - Weighted by CRW

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Margined Financial Instruments Method

CRR-MFI

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

Settlement Amount, Premium, Deposit or Margin owed by Counterparty @ 100%

 

 

 

 

 

 

Total Risk Amounts Weighted by CRW

 

 

 

 

 

 

Amount of Collateral Utilised To Reduce The

Above Amounts

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

OTC Derivatives and Warrants Executed as Principal Method

CRR-ODW

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

Written Premium Not Received @ 100%

 

 

 

 

 

 

Current Credit Exposure : Equity @ 8%

 

 

 

 

 

 

Potential Credit Exposure : Equity @ 8%

 

 

 

 

 

 

Current Credit Exposure : Debt @ 8%

 

 

 

 

 

 

Potential Credit Exposure : Debt @ 8%

 

 

 

 

 

 

Current Credit Exposure : Fx @ 8%

 

 

 

 

 

 

Potential Credit Exposure : Fx @ 8%

 

 

 

 

 

 

Sub Total - Unweighted Amounts

 

 

 

 

 

 

Total Risk Amounts - Weighted by CRW

 

 

 

 

 

 

Amount Of Collateral Utilised To Reduce The

Above Amounts.

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Sub-Underwritten Positions Method

CRR-SUP

 

Risk Amounts By Counterparty Risk Weighting (CRW) Category

 

Transaction Type

0%

10%

20%

50%

100%

Total

Unweighted Amount

 

 

 

 

 

 

Total Risk Amounts - Weighted by CRW

 

 

 

 

 

 

Amount of Collateral Utilised To Reduce The

Above Amounts

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

CRR-CUR

 
Currency Exposure

 

Currency

% of Total

 

 

TOTAL

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Counterparty Concentration

CRR-CCN

 

 

 

 

 

Counterparty Name

 

Counterparty Type

 

Gross 'Unweighted

Value'

 

Counterparty Risk

Weighting %

Counterparty Risk Amount (Risk Weighted)

1

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR

 
Position Risk Requirement

 

Summary

Total

Part 1 - Equity Position Risk

 

Part 2 - Debt Position Risk

 

Part 3 - Foreign Exchange Position Risk

 

Part 4 - VaR

 

TOTAL POSITION RISK REQUIREMENT

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR

 
Equity Position Risk

 

 

Summary

Total AUD

Standard Method

 

Building Block Method

 

Contingent Loss Matrix Method - Method 1

 

Contingent Loss Matrix Method - Method 2

 

Margin Method

 

Basic Method

 

Arbitrage Method - Similar Indexes

 

Arbitrage Method - Matching Basket - 2nd Method

 

EQUITY POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-STD

 
Standard Method

 

 

Country

Equity Net Positions @

8%

Equity Net Positions @

12%

Equity Net Positions @

16%

Total Position Risk

Amount $

 

 

 

 

 

TOTAL

 

 

 

 

TOTAL STANDARD METHOD POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-BBL

 
Building Block Method

 

 

 

Number of Positions

Specific Risk

General Risk

 

 

Country

 

Long

 

Short

Equity Net

Position 2%

Equity Net

Position 4%

Equity Net

Position 8%

Specific Risk

Total $

Aggregate

Equity Net 8%

Total Position

Risk Amount $

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

TOTAL BUILDING BLOCK METHOD POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-CM1

 
Contingent Loss Matrix Method 1

 

                                                                                                                                                                                                                                

 

Country

Total Position Risk Amount (Aggregate Of Greatest Losses)

 

 

Total

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-CM2

 
Contingent Loss Matrix – Method 2

 

 

Number of Positions

Specific Risk

General Risk

 

 

 

Country

 

 

Long

 

 

Short

 

Equity Net

Positions

 

Equity Net

Positions

 

Equity Net

Positions

 

Total Specific

Risk Amount

Amount Aggregate Of Greatest Losses

 

Total Position

Risk Amount

 

 

 

@ 2 %

@ 4 %

@ 8 %

$

$

$

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

TOTAL METHOD 2 POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-MRG

 
Margin Method

 

 

 

Country

 

Primary Margin Requirement

Position Risk Amount $

(4 x Primary Margin Requirement)

 

 

 

TOTAL

 

 

TOTAL POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-BSC

 
Basic Method

 

 

 

Purchased Options

Written Options

Country

Aggregate Mark To Market

Value of Underlying

Mark To Market Value of

Options

Position Risk Amount

Position Risk Amount

 

 

 

 

 

TOTAL

 

 

 

 

TOTAL POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-ARB

 
Arbitrage Method

 

 

 

 

Similar Indexes

Broadly based Index and a matching basket

 

 

Mark To Market Value of Futures

 

 

Position Risk

Amount @ 2%

No. of Separately Managed Arbitrage Positions

 

 

Beta

 

 

Min Index

Weight

 

Mark To Market Value of Futures

 

 

Position Risk

Amount @ 2%

Country

$

$

 

Min %

Max %

%

$

$

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

TOTAL POSITION RISK

 

TOTAL POSITION RISK

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-EPR-PRC

 
Equity Principal Concentration

 

 

Security Code (or description if code not applicable)

 

Country

Equity Net Position

(Liquid)

Equity Net Position

(Illiquid)

 

Total Position

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR

 
Debt Position Risk

 

 

Summary

Position Risk Amounts Total

Standard Method

 

Building Block Method                     - Maturity Method

 

- Duration Method

 

- Specific Risk

 

Contingent Loss Matrix Method 2 - Maturity Method                           - General risk

 

- Specific risk

 

- Volatility risk

 

Margin Method

 

Basic Method

 

DEBT POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-STD

 
Standard Method

 

 

Total Position Risk Amount

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-BBL

 
Building Block Method

 

 

Building Block Method - Specific Risk

 

 

Aggregate Debt Net Positions Absolute Value

(input GROSS numbers)

 

 

Government

Qualifying 0-6

Months Residual

Maturity

Qualifying 6-24

Months Residual

Maturity

Qualifying >24

Months Residual

Maturity

 

Other

Specific Risk Position Risk Amount

Underlying Currency

@ 0%

@ 0.25%

@ 1.00%

@ 1.60%%

@ 8%

$

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

TOTAL SPECIFIC RISK POSITION RISK AMOUNT

 


 

 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-BBL-DUR

 
Duration Method

 

 

 

Weighted Debt Net Positions

 

 

 

 

 

 

 

Zone 1

Zone 2

Zone 3

Net

Time

Zone

Amount

Adjacent

Zone

Non

Adjacent

General Risk

Underlying

Currency

 

Long

 

Short

 

Long

 

Short

 

Long

 

Short

Position

Amount

Band

Amount

 

 

Amount

Zone

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL GENERAL RISK POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-BBL-MAT

 
Maturity Method

 

 

 

 

Weighted Debt Net Positions

 

 

 

 

 

 

 

Zone 1

Zone 2

Zone 3

Net

Time

Zone  Amount

Adjacent Zone

Non Adjacent

General Risk

 

Underlying

Currency

 

Long

 

Short

 

Long

 

Short

 

Long

 

Short

 

Position

Amount

 

Band Amount

 

 

Amount

 

Zone Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL GENERAL RISK POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-CM2-GEN

 
Contingent Loss Matrix Method – General Risk

 

 

 

 

 

Underlying

Notional Weighted Debt Net Positions

Net

 

Position

Time

 

Band

Zone

 

Amount

Adjacent

 

Zone

Non

Adjacent

Zone

General

 

Risk

Zone 1

Zone 2

Zone 3

Currency

Long

Short

Long

Short

Long

Short

Amount

Amount

 

Amount

Amount

Amount

 

$

$

$

$

$

$

$

$

$

$

$

$

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL GENERAL RISK POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-CM2-SPE

 
Contingent Loss Matrix Method 2 – Specific Risk

 

 

 

Aggregate Delta weighted value of Underlying Instrument (input GROSS numbers)

 

 

Government

Qualifying 0-6

 

Residual Maturity

Qualifying 6-24

 

Residual Maturity

Qualifying > 24

 

Residual Maturity

 

 

Other

Specific Risk

 

Position Risk Amount

Underlying Currency

@ 0%

@ 0.25%

@ 1.00%

@ 1.6%

@ 8%

$

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

TOTAL SPECIFIC RISK POSITION RISK AMOUNT

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-CM2-VOL

 
Contingent Loss Matrix Method 2 – Volatility Risk

 

 

 

Underlying Currency

Absolute Value of the aggregate of the greatest loss for each currency

 

 

TOTAL

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-MRG

 
Margin Method

 

 

 

Underlying Currency

Primary Margin Requirement

Position Risk Amount $ (4 x Primary Margin

Requirement)

 

 

 

TOTAL

 

 

TOTAL POSITION RISK AMOUNT

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-BSC

 
Basic Method

 

 

 

 

Purchased Options

 

Written Options

 

Underlying Currency

Aggregate Mark To Market

Value of Underlying

Mark To Market Value of

Options

 

Position Risk Amount

 

Position Risk Amount

 

 

 

 

 

TOTAL

 

 

 

 

TOTAL POSITION RISK AMOUNT

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-DPR-PRC

 
Debt Principal Concentration

 

 

Security Code (or description if code not applicable)

Underlying Currency

Debt Net Position

(Liquid)

Debt Net Position

(Illiquid)

Total Position

 

 

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-FPR

 
Foreign Exchange Position Risk

 

 

Summary

Position Risk Amounts Total

Standard Method

 

Contingent Loss Matrix Method

 

FOREIGN EXCHANGE POSITION RISK AMOUNT

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-FPR-STD

 
Standard Method

 

 

Underlying Currency

Net Open Long Position

Net Open Short Position

 

 

 

TOTAL

 

 

POSITION RISK AMOUNT – 8% OF MAX OF LONG OR SHORT

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-FPR-CM1

 
Contingent Loss Matrix Method

 

 

Commodity Currency

Terms Currency

 

 

 

 

 

Other

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

TOTAL POSITION RISK AMOUNT

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-VAR-LDL

 
Largest Daily Losses

 

 

Loss

 

Date

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-VAR-EST

 
Equity Stress Testing

 

 

National Market

Change in Implied Volatility

 

Change in Price (%)

 

(%)

-50

-25

0

+10

+20

 

+200

 

 

 

 

 

0

 

 

 

 

 

- 75

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-VAR-DST

 
Debt Stress Testing

 

 

 

Change in Yield (%)

 

Cash

90 days

180 days

1 year

3 years

5 years

10 years

15 years

Yield curve scenario 1

+20

+20

+20

+20

+20

+20

+20

+20

Yield curve scenario 2

-20

-20

-20

-20

-20

-20

-20

-20

 

Yield curve scenarios

 

 

Yield curve scenario 1

Yield curve scenario 2

 

 

 

 

 

Interest rate volatility scenarios

 

 

Volatility scenario 1

Volatility scenario 2

Change in Implied Volatility (%)

+250

-75

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

PRR-VAR-FST

 
Foreign Exchange Stress Testing

 

 

Exchange Rate Scenarios

 

Change in Price (%)

Change in Implied Volatility (%)

-20

-10

0

+10

+20

+100

 

 

 

 

 

0

 

 

 

 

 

-50

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR

 
Large Exposure Risk Requirement

 

 

 

 

Summary

Total

Part 1 - Counterparty Large Exposure Amount

 

Part 2 - Issuer Large Exposure - Equity Method

 

Part 3 - Issuer Large Exposure - Debt Method

 

Part 4 - Issuer Large Exposure - Equity & Debt Method

 

Total Large Exposure Risk Requirement

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-CLE

 
Counterparty Large Exposure Amount

 

 

Counterparty Large Exposure

 

Summary

Total

Total Counterparty Large Exposure Risk Requirement

 

Total number of counterparties

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-CLE-NMI

 
Non Margined Financial Instruments Method

 

 

Transaction Type

Risk Amounts

> 10 Business Days : Transactions @ 3% of contract value or excess, whichever is greater

 

> 10 Business Days : 100% of contract value / 100% of market value

 

Sub TOTAL RISK AMOUNT

 

Total Number of Counterparties

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-CLE-SLB

 
Securities Lending and Borrowing Method

 

 

Transaction Type

Risk Amounts

Option 1

> $10,000 and counterparty exposure ≤15% of value received : 8% of counterparty exposure

 

> $10,000 and counterparty exposure > 15% of value received : 8% of 15% of value received

 

> $10,000 and counterparty exposure > 15% of value received : 100% of counterparty exposure over

15% of the value received

 

Option 2

> $10,000 : 100% of counterparty exposure

 

Sub TOTAL RISK AMOUNT

 

Total Number of Counterparties

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-CLE-MFI

 
Margined Financial Instruments Method

 

 

Transaction Type

Risk Amounts

Settlement Amount, Premium, Deposit or Margin owed by Counterparty @ 100%

 

Sub TOTAL RISK AMOUNT

 

Total Number of Counterparties

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-CLE-ODW

 
OTC Derivatives and Warrants Executed as Principal Method

 

 

Transaction Type

Risk Amount

Written Premium Not Received @ 100%

 

Current Credit Exposure : Equity @ 8%

 

Potential Credit Exposure : Equity @ 8%

 

Current Credit Exposure : Debt @ 8%

 

Potential Credit Exposure : Debt @ 8%

 

Current Credit Exposure : Fx @ 8%

 

Potential Credit Exposure : Fx @ 8%

 

Sub TOTAL RISK AMOUNT

 

Total Number of Counterparties

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-ISE

 
Issuer Large Exposure – Equity Method

 

 

Country

Number of

Equity Issuers

Equity Net

Position

> 25% Of

Liquid Capital

@ 12%

> 25% Of

Liquid Capital

@ 16%

> 5% Of Issue

@ 12%

> 5% Of Issue

@ 16%

Total Risk

Amount $

 

 

 

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-ISD

 
Issuer Large Exposure – Debt Method

 

 

 

Underlying Currency

Number of Debt

Issuers

Debt Net Position

> 25% Of Liquid

Capital

> 10% Of Issue

Total Risk Amount $

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

LRR-IED

 
Issuer Large Exposure – Equity & Debt Method

 

 

 

 

Underlying

Currency

 

Number of

Equity/Debt Issuers

 

Equity Net Position Plus Debt Net Position

 

> 25% Of Liquid

Capital @ 12%

 

> 25% Of Liquid

Capital @ 16%

> 25% Of Liquid Capital @ applicable debt position risk factor

 

 

Total Risk Amount $

 

 

 

 

 

 

 

TOTAL

 

 

 

 

 

 


Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

URR

 
Underwriting Risk Requirement

 

 

 

 

Equity

Debt Instrument

Total

Underwriting Risk Amount

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

NRR

 
Non Standard Risk Requirement

 

 

Detail the nature of the exposure

 

 

 

 

 

Other

Amount - Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 


 

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

ORR

 
Operational Risk Requirement

 

Minimum Amount

$100,000

add                                       Variable amount

 

Counterparty risk requirement

(a)

 

 

Position Risk Requirement

(b)

 

 

Underwriting Risk Requirement

(c)

 

 

Sum (a) + (b) + (c)

 

* 8% =

add                             Secondary Requirement

 

 

Total Operational Risk

 

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

ICS

 
Income Statement

 

Revenue

 

Current

Prior

Profits (Losses) from trading in securities /

derivatives: Realised

 

 

 

 

Unrealised

 

 

 

 

Brokerage: Equities

 

 

 

 

Warrants

 

 

Futures / Exchange Traded Options

 

 

Debt

 

 

Other

 

 

 

 

Underwriting commission (less sub-underwriting commission paid)

 

 

 

 

Sub-underwriting commission

 

 

Dividends

 

 

Interest

 

 

Bad debts recovered and provision for doubtful debts no longer required

 

 

Directors' fees

 

 

Handling fees

 

 

Corporate Advisory Fees

 

 

Financial planning / Portfolio Management Fees

 

 

Management fees

 

 

Other fee received from associated entities

 

 

Other Revenue

Annual Audited Return

 

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

 

Additional Total

 

 

 

TOTAL REVENUE

 

 

 

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Expenses                                                                                                                                            

 

Current

Prior

Salaries (excluding partners, directors and research salaries)

 

 

 

 

Directors' / Partners' salaries

 

 

Commissions paid to Traders / Consultants

 

 

Other salary costs

 

 

Occupancy costs

 

 

Interest paid

 

 

Travel, Public Relations and Advertising

 

 

Research (including research salaries)

 

 

Bad and doubtful debts written off / provided for

 

 

Audit fees

 

 

Admin costs (postage, fax, phone etc)

 

 

Professional indemnity insurance

 

 

Other insurance costs

 

 

All management / service fees paid to associated entities

 

 

Depreciation / Amortisation of fixed and intangible assets

 

 

Finance lease payments

 

 

Operating lease payments (other than occupancy)

 

 

 

 

Other Expenses

 

TOTAL EXPENSES

 

 

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Net Profit / (loss)

 

 

Current

Prior

PROFIT before income TAX

 

 

Income Tax - Expense

 

 

If a profit has been made but no tax provision raised, the reason for NOT providing for tax must be recorded in this comment field

 

 

0

 

 

Profit / (loss) after TAX from discontinued operations (detail below)

 

 

 

 

 

 

 

 

 

 

 

 

NET PROFIT / (LOSS) for the period

 

 

 

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

Retained Earnings

 

 

 

Current

Prior

Opening Retained Earnings

 

 

Adjustments TO retained earnings (detail) - increases

 

 

 

 

 

TOTAL

 

 

Dividends

 

 

Adjustments from retained earnings (detail) - decreases

 

TOTAL

 

 

 

Other adjustments to / (from) retained earnings (detail)

 

 

 

 

 

TOTAL

 

 

Closing Retained Earnings

 

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BAL

 
Balance Sheet

Assets

 

Current Assets (current)

Current Assets (prior)

Trade Receivables

 

 

 

 

Less Provision for doubtful debts

 

 

 

 

 

Securities Borrowings

 

 

 

Financial Assets

 

 

Cash and Cash Equivalents

 

 

Related/ Associated Persons

 

 

Client segregated/ Trust Accounts

 

 

Deposits at Clearing Houses

 

 

Other Current Assets

 

 

TOTAL CURRENT ASSETS

 

 

Non Current Assets (current)

Non Current Assets (prior)

Trade Receivables

 

 

 

Financial Assets

 

 

Loans and Deposits

 

 

Related/ Associated Persons

 

 

Property, Plant & Equipment

 

 

Intangible Assets

 

 

Deferred Tax Assets

 

 

Other Non Current Assets

 

 

TOTAL NON CURRENT ASSETS

 

 

Total Assets

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

 

Liabilities

 

Current Liabilities (current)

Current Liabilities (prior)

Trade Payables

 

 

Securities Lending

 

 

Financial Liabilities

 

 

Short Term Borrowings

 

 

Income Tax Payable

 

 

Approved Subordinated Debt

 

 

Other Current Liabilities

 

 

TOTAL CURRENT LIABILITIES

 

 

 

Non Current Liabilities (current)

Non Current Liabilities (prior)

Long Term Borrowings

 

 

Deferred Income Tax

 

 

Approved Subordinated Debt

 

 

Other Non Current Liabilities

 

 

TOTAL NON CURRENT LIABILITIES

 

 

Total Liabilities

 

 

Net Assets

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

 

Equity

 

Equity (current)

Equity (prior)

Ordinary Issued and Paid Up

Shares

 

 

 

 

Non Cumulative Preference

Shares

 

 

Cumulative Preference Shares

 

 

Other

 

 

Total Equity

 

 

 

 

Reserves (current)

Reserves (prior)

Revaluation reserves

 

 

 

 

Other reserves

 

 

TOTAL RESERVES

 

 

 

Retained Earnings / (Accumulated Losses)

 

 

Total Equity

 

 

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD

 
Balance Sheet Details

 

 

Total Contingent Liabilities

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-CCE

 
Cash & Cash Equivalents

 

 

Detail FUNDS lodged with:

CURRENT

NON CURRENT

Approved Deposit Taking Institution

(ADTI)

 

SECURED

 

UNSECURED

 

SECURED

 

UNSECURED

Total ADTI

 

 

 

 

Petty Cash

 

 

 

 

Non ADTI and Other

Total NON ADTI and Other

 

 

 

 

Total Secured / Unsecured

 

 

 

 

Total Current / Non Current:

 

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-RAP

 
Related/ Associated Persons

 

 

Cash & Cash Equivalents - Detail

CURRENT

NON CURRENT

-Approved Deposit Taking

Institution (ADTI)

 

SECURED

 

UNSECURED

 

SECURED

 

UNSECURED

ADTI Total

 

 

 

 

 

Cash & Cash Equivalents - Detail

 

 

 

 

- Non ADTI and Other

 

 

 

 

Non ADTI Total

 

 

 

 

Total Secured/ Unsecured

 

 

 

 

Total Current/ Non Current

 

 

 

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-UWG

 
Underwriting/ Guarantees

 

 

Underwriting and Sub Underwriting:

Gross Underwriting Commitments

 

 

 

Gross Sub Underwriting Commitments

 

Gross Underwriting and Sub Underwriting Commitments

 

Reduce underwriting and sub underwriting commitments by sub underwritten amounts and/or amounts received from client placement

 

NET UNDERWRITING COMMITMENTS

 

Guarantees:

For the purpose of the Rules

 

 

Ordinary course of business

 

To settle legal proceedings

 

SUB TOTAL

 

Related/Associated persons

 

 

Other

 

Other Guarantee Sub Total

 

TOTAL UNDERWRITING / GUARANTEES

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-LIE

 
Legal / Insurance / Encumbrances

 

 

Contingent Liabilities

 

Are there any actual / potential legal proceedings and Insurance Claims?

 

Is there any charge, pledge, or other encumbrance over any of the assets of the Participant?

 

Has the Participant granted any Credit Facilities to other persons or entities?

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-LSO

 
Other Contingent Liabilities and Lease Commitments

 

 

 

Lease Commitments: (including property commitments)

Detail Operating Leases

 

Other Leases:

 

 

TOTAL LEASE COMMITMENTS:

 

Other Contingent Liabilities:

TOTAL OTHER:

 

Total Lease Commitments / Other Contingent Liabilities:

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

BSD-OTA

 
Other Assets

 

 

Current Asset Description

Current Asset Amount

Current Asset Amount Total

 

NON Current Asset Description

NON Current Asset Amount

NON Current Asset Amount Total

 

Other Assets Total

 


Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

CAP – CC, LQC, LM

 
Core Capital

 

 

 

Current Return                                               Prior Return

Ordinary Issued and Paid-Up Shares

 

 

Non-Cumulative Preference Shares

 

 

All Reserves Excluding Revaluation Reserves other than Financial

Asset Revaluation Reserves

 

 

Opening Retained Earnings/Accumulated Losses Adjusted for all

Current Year Movements

 

 

Core Capital

 

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

CAP- CC, LQC, LM

 
Liquid Capital Calculation

 

 

Current Return

Prior Return

Core Capital

 

 

 

 

Cumulative Preference Shares

 

 

Approved Subordinated Debt

 

 

Revaluation Reserves other than Financial

Asset Revaluation Reserves

 

 

 

 

less Excluded Assets

Property, Plant and Equipment

 

 

 

 

Intangible Assets

 

 

Deferred Tax Assets

 

 

Other Non-Current Assets

 

 

Unsecured deposits/loans with non approved deposit taking instit's

 

 

Unsecured non ADTI related / associated person balances

 

 

Other trade receivables realisable after 30 days

 

 

Prepayments realisable after 30 days

 

 

Other Illiquid Assets

 

 

Other charged assets

 

 

Other prescribed assets

 

 

 

 

less Excluded Liabilities

Guarantees and Indemnities

 

 

 

 

Other prescribed liabilities

 

 

 

 

Liquid Capital

 

 

 

 

 


 

Annual Audited Return

                                                                                                                                                                                                                                                                                                                                                                                      Return Date:

CAO – CC, LQC, LM

 
Liquid Margin Calculation

 

 

Current Return

Prior Return

Liquid Capital

 

 

 

 

Operational Risk Requirement

 

 

 

 

Counterparty Risk Requirement

 

 

 

 

Large Exposure Risk Requirement

 

 

 

 

Position Risk Requirement

 

 

 

 

Underwriting Risk Requirement

 

 

 

 

Non Standard Risk Requirement