ASIC Market Integrity Rules (Capital) 2021 (Cth)

ASIC Market Integrity Rules (Capital) 2021 made under subsection 798G of the Corporations Act 2001

Compilation No. 2 Compilation date: 15 October 2024 Includes amendments up to: ASIC Market Integrity Rules (Amendment) Instrument 2024/774 (F2024L01303)

Contents Chapter 1: Introduction.........................................4 Part 1.1..Preliminary ...........................................4 Part 1.2..Waiver ................................................... 7 Part 1.3..Notice, notification and service of documents...................8 Part 1.4..Interpretation..........................................8 Part 1.5..Participants of multiple Markets............................28 Part 1.6..Transitional ..........................................29 Chapter 8: Capital requirements..................................31 Part 8.2..Application ..........................................31 Chapter 9: Accounts and audit...................................33 Part 9.1..Application of Rules....................................33 Part 9.2..Risk-Based Capital Requirements—Reporting.................33 Part 9.4..General ................................................. 35 Part 9.5..Scope of audits.......................................35 Schedule 1A: Capital liquidity requirements........................37 Part S1A.1 Interpretation.........................................37 Part S1A.2 Obligations of Market Participants..........................37 Annexure 1 to Schedule 1A: Counterparty Risk Requirement...........48 Part A1.1.Counterparty Risk Requirement...........................48 Part A1.2.Methods ...............................................49 Annexure 2 to Schedule 1A: Large Exposure Risk Requirement.........63 Part A2.1.Counterparty large exposure risk requirement.................63 Part A2.2.Issuer large exposure risk requirement......................64 Part A2.3.Methods ................................................ 67 Annexure 3 to Schedule 1A: Position Risk Requirement...............71 Part A3.1.Equity position risk amount...............................71 Part A3.2.Standard method—Equity position risk......................74 Part A3.5.Margin method—Equity position risk........................75 Part A3.6.Basic method—Equity position risk.........................75 Part A3.8.Calculation of Equity Equivalent positions—Equity position risk.....76 Part A3.9.Calculation of Equity Net Positions—Equity position risk..........77 Part A3.10 Debt position risk amount................................78 Part A3.11 Standard method—Debt position risk.......................80 Part A3.14 Margin method—Debt position risk.........................81 Part A3.15 Basic method—Debt position risk..........................81 Part A3.16 Calculation of Debt Equivalent positions—Debt position risk.......82 Part A3.17 Calculation of Debt Net Positions—Debt position risk............85 Part A3.18 Foreign Exchange position risk amount......................86 Part A3.19 Standard method—Foreign Exchange position risk.............87 Part A3.20 Basic method—Foreign Exchange position risk................88 Part A3.21 Calculation of Foreign Exchange Equivalent positions—Foreign Exchange position risk 89 Part A3.22 Calculation of Foreign Exchange net open positions—Foreign Exchange position risk 89 Part A3.23 Commodity position risk amount...........................90 Part A3.24 Standard method—Commodity position risk...................91 Part A3.25 Margin method—Commodity position risk....................92 Part A3.26 Basic method—Commodity position risk.....................92 Part A3.27 Calculation of Commodity Equivalent positions—Commodity position risk …………….. 93 Part A3.28 Calculation of Commodity net open positions—Commodity position risk.................... 94 Annexure 4 to Schedule 1A: Underwriting and Sub Underwriting Risk Requirement ........... 95 Annexure 5 to Schedule 1A: Tables...............................97 Part A5.1.Position Risk.........................................97 Part A5.2.Counterparty Risk....................................100 Part A5.3.Other ..................................................... 101 Part A5.4 Underwriting Risk.....................................102 Schedule 1C: Forms ............................................. 103 Schedule 1C Form 1: Ad Hoc Risk-Based Return......................103 Schedule 1C Form 2: Risk-Based Return Declaration...................106 Schedule 1C Form 3: Risk-Based Return (Summary, Monthly and Annual*)...108 Schedule 1C Form 5: Risk-Based Capital Requirements—Auditor's Report...151 Schedule 1C Form 6: Risk-Based Capital Requirements—Key Risks and Internal Systems Statement .. 153 Endnotes ................................................................ 154 Endnote 1—About the endnotes..................................154 Endnote 2—Abbreviation key....................................155 Endnote 3—Legislation history...................................156 Endnote 4—Amendment history..................................157