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Futures. Offsetting positions in the notional or underlying instruments to which the futures contract relates must be for identical products and must mature within seven days of each other. Swaps and forward rate agreements. The reference rate (for floating-rate positions) must be identical, and the coupon must be closely matched (i.e., within 15 basis points). Swaps, forward rate agreements, and forwards. The next interestfixing date; or, for fixed coupon positions or forwards, the residual maturity must correspond within the following limits: Less than one month from cutoff date same day One month to one year from cutoff date within seven days Over one year from cutoff date within 30 days 2.7.2.2 Futures, Forwards, and Forward Rate Agreements Futures, forwards and forward rate agreements (FRAs) are treated as a combination of a long and a short position. The duration of a futures contract, a forward, or an FRA corresponds to the time until delivery or exercise of the contract plus (if applicable) the duration of the underlying value. A long position in an interest-rate futures contract is, for example, to be treated as follows:
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A notional long position in the underlying interest-rate instrument with an interest-rate maturity as of its maturity A short position in a notional government security with the same amount and maturity on the settlement date of the futures contract
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If different instruments can be delivered to fulfill the contract, the institution can choose which deliverable financial instruments are to be fitted into the maturity ladder. In doing so, however, the conversion factors set by the exchange are to be taken into consideration. In the case of a futures contract on an index of company debentures, the positions are to be mapped at the market value of the notional underlying portfolio. 2.7.2.3 Swaps Swaps are treated as two notional positions in government securities with respective maturities. For instance, when an institution receives a floating interest rate and pays a fixed rate, the interest-rate swap is treated as follows:
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A long position in a floating-rate instrument with a duration that corresponds to the period until the next interest-rate repricing date A short position in a fixed-interest instrument with a duration that corresponds to the remaining duration of the swap
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Should one leg of a swap be linked to another reference value, such as a stock index, the interest component is to be taken into consideration, with a remaining duration (interest maturity) that corresponds to the duration of the swap or the period until the next interest-rate repricing date, while the equity component is to be handled according to the rules pertaining to equities. In the case of interest-rate and currency swaps, the long and short positions are to be considered in the computations for the applicable currencies. Institutes with significant swap books, and which do not avail themselves of the offsetting possibilities dealt with previously under Mapping of Positions (Section 2.7.2.1), may also compute the positions to be reported in the maturity or duration ladders with so-called sensitivity models or preprocessing models. The following possibilities exist:
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Computation of the present value of the payment flows caused by each swap by discounting each individual payment with a corresponding zero-coupon equivalent. The net present values aggregated over the individual swaps are slotted into the corresponding duration band for low-interest-bearing bonds (i.e., coupon <3 percent) and dealt with in accordance with the maturity method. Computation of the sensitivity of net present values of the individual payment flows on the basis of the changes in yield arrived at under the duration method. The sensitivities are then slotted into the corresponding time bands and dealt with in accordance with the duration method.
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2.7.2.4 Specific Risk The capital charge for specific risk is designed to protect against an adverse movement in the price of an individual security owing to factors related to the individual issuer. In measuring the risk, offsetting is restricted to matched positions in the identical issue (including positions in derivatives). Even if the issuer is the same, no offsetting is permitted between different issues, because differences in coupon rates, liquidity, call features, etc. mean that prices may diverge in the short run. In computing the capital adequacy requirements for specific risk, the net position per issuer is determined. Within a category government, qualified, other, or high-yield interest-rate instruments all interest-rate instruments of the same issuer may be offset against each other, irrespective of their duration. In addition, the individual institution is free to allocate all interest-rate instruments of an issuer to that category corresponding to the highest capital charge for an interest-rate instrument of the issuer in question contained in the relevant portfolio. The institution shall opt for one method and apply this method consistently. The capital requirements for specific risk are determined by multiplying the open position per issuer by the appropriate rate, as listed in Table 2-3.
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