Entire Section

  • Interest Rate and Currency Swaps

    • PIB A5.2.9 PIB A5.2.9

      An interest rate and a currency swap must be treated as two notional government Securities as follows:

      (a) where the Authorised Firm is receiving fixed rate interest and paying floating rate interest:
      (i) a notional long position with a maturity equal to the length of the swap; and
      (ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date;
      (b) where the Authorised Firm is paying fixed rate interest and receiving floating rate interest:
      (i) a notional short position with a maturity equal to the length of the swap; and
      (ii) a notional long position with a maturity equal to the period remaining to the next interest rate reset date;
      (c) where the Authorised Firm is receiving fixed rate interest and paying fixed rate interest:
      (i) a notional long position with a maturity equal to the length of the swap; and
      (ii) a notional short position with a maturity equal to the length of the swap.
      (d) where the Authorised Firm is receiving floating rate interest and paying floating rate interest:
      (i) a notional long position with a maturity equal to the period remaining to the next interest date reset date; and
      (ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date; and
      (e) the two notional government Securities must have a coupon equal to the rate of interest payable or receivable on the leg.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A5.2.9 Guidance

        A currency swap is also subject to a Foreign Exchange Risk Capital Requirement (see PIB section 5.6).

        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]