Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to Banks' Financial Instrument TradingChapter 2 : General3. Interest-rate swaps |
| (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. |