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Decomposition of an Interest-Rate Swap.
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Long-position coupon 6 % Time to maturity 5 years Instrument-specific parameters: Duration Rating Currency Long/short position, etc. instrument-specific parameters: Duration Rating Currency Long / short position, etc.
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Interest-rate swap (fixed receiver) Fixed leg 6% Floating leg 3-mo LIBOR Reset date monthly Time to maturity 5 years
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In this example, a fixed-rate-receiver swap is decomposed in a long position, in which the bank receives from the swap counterparty a fixed coupon of 5 percent and pays a variable 3-month London interbank offered rate (LIBOR) with monthly interest-rate resets. 2.7.2 Interest-Rate Risks This subsection describes the standard framework for measuring the risk of holding or taking positions in debt securities and other interest-raterelated instruments in the trading book. The trading book itself is not discussed in detail here.87 The instruments covered include all fixed-rate and floating-rate debt securities and instruments that behave like them, including nonconvertible preference shares.88 Convertible bonds i.e., debt issues or preference shares that are convertible, at a stated price, into common shares are treated as debt securities if they trade like debt securities and as equities if they trade like equities. The basis for dealing with derivative products is considered later under Treatment of Options (Section 2.7.6). The minimum capital requirement is expressed in terms of two separately calculated charges, one applying to the specific risk of each security, whether it is a short or a long position, and the other to the interest-rate risk in the portfolio (termed general market risk), where long and short positions in different securities or instruments can be offset. In computing the interest-rate risk in the trading book, all fixed-rate and floating-rate debt securities and instruments, including derivatives, are to be included, as well as all other positions that present risks induced by interest rates. The capital requirements for interest-rate risks are composed of two elements, which are to be computed separately:
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Requirements applying to specific risk. All risks that relate to factors other than changes in the general interest-rate structure are to be captured and subjected to a capital charge. Requirements applying to market risk. All risks that relate to changes in the general interest-rate structure are to be captured and subjected to a capital charge.
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The capital requirements applying to specific risks are to be computed separately for each issuer and those applying to general market risk, per currency. An exception exists for general market risk in foreign currencies with little business activity. Should interest-rate instruments present other risks in addition to the interest-rate risks dealt with here, such as foreign-exchange risks, these other risks are to be captured in accordance with the related provisions as outlined in Part A.1-4 of the amendment. 2.7.2.1 Mapping of Positions The systems of measurement shall include all derivatives and off-balancesheet instruments in the trading book that are interest-rate sensitive. These are to be presented as positions that correspond to the net present value of the actual or notional underlying value (contract volume i.e., market values of the underlying instruments) and subsequently are to be dealt with for general market and specific risk in accordance with the rules presented. Positions in identical instruments fulfilling the regulatory requirements and which fully or almost fully offset each other are excluded from the computation of capital requirements for general market and specific risks. In computing the requirements for specific risks, those derivatives which are based on reference rates (e.g., interest-rate swaps, currency swaps, forward rate agreements, forward foreign-exchange contracts, interest-rate futures, and futures on an interest-rate index) are to be ignored.
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Offsetting is allowed for the following matching positions:
Positions that match each other in terms of amount in a futures or forward contract and related underlying instrument (i.e., all deliverable securities). Both positions, however, must be denominated in the same currency. It should be kept in mind that futures and forwards are to be treated as a combination of a long and a short position (see Figure 2-7); therefore, one of the two futures or forward positions remains when offsetting it against a related spot position in the underlying instrument. Opposite positions in derivatives that relate to the same underlying instrument and are denominated in the same currency. In addition, the following conditions must be met:
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