Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks' Financial Instrument Trading

Chapter 2 : General

3. Interest-rate swaps

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(1)Interest-rate swaps shall for purposes of interest-rate risk be treated on the same basis as on-balance-sheet instruments.

 

(2)An interest-rate swap under which a bank receives a floating-rate interest flow shall be treated as being equivalent to a long position in a floating-rate instrument of a maturity equivalent to the period until the next interest-rate fixing and a short position in a fixed-rate instrument with the same maturity as the interest-rate swap itself.