General and specific risk
| (1) | The position risk on a traded debt instrument or equity, or debt or equity derivative instrument, must be divided into the following two components in order to calculate the capital required against it: |
| (a) | Specific‑risk component - this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative instrument, the issuer of the underlying instrument. |
| (b) | General risk component - this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative instrument) to a change in the level of interest rates or (in the case of an equity or equity derivative instrument) to a broad equity‑market movement unrelated to any specific attributes of individual securities. |
| (2) | A central counterparty must on a daily basis and in accordance with the relevant requirements specified, separately calculate its exposure to— |
| (a) | specific risk and general market risk arising from all relevant debt and equity positions held; |
| (b) | foreign exchange risk arising from all relevant foreign currency held by the central counterparty; |
| (c) | risks arising from all relevant positions in options. |
| (3) | A central counterparty, when calculating net positions for market risk purposes,– |
| (a) | must at all times run a "matched-book", that is any position taken on with one counterparty must always be offset by an opposite position taken on with a second counterparty; |
| (b) | may not take on any market risk for its own account in its normal course of clearing business;15 |
| (c) | must on a daily basis convert all net positions, irrespective of their signs, into its reporting currency at the prevailing spot exchange rate before their aggregation. |
| (4) | When calculating underlying notionals, a central counterparty must apply the following principles: |
(a)
| (i) | Interest‑rate futures, forward‑rate agreements and forward commitments to buy or sell debt instruments must be treated as combinations of long and short positions.16 Thus a long interest‑rate futures position must be treated as a combination of a borrowing maturing on the delivery date of the futures contract and a holding of an asset with maturity date equal to that of the instrument or notional position underlying the futures contract in question. |
| (ii) | As in subparagraph (i), a sold forward‑rate agreement will be treated as a long position with a maturity date equal to the settlement date plus the contract period, and a short position with maturity equal to the settlement date. Both the borrowing and the asset holding must be included in the first category set out in Table 30(A), in Schedule A, in order to calculate the capital required against specific risk for interest‑rate futures and forward‑rate agreements. |
| (iii) | A forward commitment to buy a debt instrument will be treated as a combination of a borrowing maturing on the delivery date and a long (spot) position in the debt instrument itself. The borrowing must be included in the first category set out in Table 30(A) for purposes of specific risk, and the debt instrument under whichever column is appropriate for it in the same table. |
| (i) | Options on interest rates, debt instruments, equities, equity indices, financial futures, swaps and foreign currencies will be treated as if they were positions equal in value to the amount of the underlying instrument to which the option refers, multiplied by its delta for the purposes of these Regulations. |
| (ii) | The positions referred to in subparagraph (i) may be netted off against any offsetting positions in the identical underlying securities or derivative instruments. The delta used must be that of the exchange concerned, calculated by the Authorities, or where that is not available or for OTC-options that calculated by the institution itself, subject to the Authority being satisfied that the model used by the institution is reasonable. Provided that the Authority may— |
| (aa) | prescribe that institutions calculate their deltas using a methodology determined by the Authority. Other risks, apart from the delta risk, associated with options must be safeguarded against. |
| (bb) | allow the requirement on a bought exchange‑traded or OTC option to be the same as that for the instrument underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement against a written OTC option must be set in relation to the instrument underlying it. |
| (iii) | Warrants relating to debt instruments and equities must be treated in the same way as options. |
| (c) | Swaps must be treated for interest‑rate risk purposes on the same basis as on‑balance‑sheet instruments. Thus, an interest‑rate swap under which an institution receives floating‑rate interest and pays fixed‑rate interest must be treated as equivalent to a long position in a floating‑rate instrument of maturity equivalent to the period until the next interest fixing and a short position in a fixed‑rate instrument with the same maturity as the swap itself. |
(d) Treatment of the protection buyer
| (i) | For the party who transfers credit risk (the "protection buyer"), the positions are determined as the mirror image of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a step‑up, such moment is treated as the maturity of the protection. Positions are determined as follows: |
| (aa) | A total return swap creates a long position in the general market risk of the reference obligation and a short position in the general market risk of a government bond with a maturity equivalent to the period until the next interest fixing and which is assigned a 0% risk weight, as specified in Table 26(A) in Schedule A. It also creates a long position in the specific risk of the reference obligation. |
| (bb) | A credit default swap does not create a position for general market risk. For the purposes of specific risk, the institution must record a synthetic long position in an obligation of the reference entity, in which case a long position in the derivative instrument is recorded. If premium or interest payments are due under the product, these cash flows must be represented as notional positions in government bonds. |
| (cc) | A single name credit linked note creates a long position in the general market risk of the note itself, as an interest rate product. For the purpose of specific risk, a synthetic long position is created in an obligation of the reference entity. An additional long position is created in the issuer of the note. |
| (e) | A central counterparty that marks-to-market and manages the interest‑rate risk on the derivative instruments covered in Regulation 30.2(4)(a) to c) on a discounted‑cash‑flow (basis, may use sensitivity models to calculate the positions referred to in those points and may use them for any bond which is amortised over its residual life rather than via one final repayment of principal. Both the model and its use by the institution must be approved by the Authority. These models should generate positions which have the same sensitivity to interest‑rate changes as the underlying cash flows. This sensitivity must be assessed with reference to independent movements in sample rates across the yield curve, with at least one sensitivity point in each of the maturity bands set out in Table 30(B) in Schedule A. The positions must be included in the calculation of capital requirements. |
| (f) | A central counterparty may, with the approval of the Authority, treat as offsetting any positions in derivative instruments covered in Regulation 30.2(4)(a) to (c) which meet the following conditions— |
| (i) | the positions are of the same value and denominated in the same currency; |
| (ii) | the reference rate (for floating‑rate positions) or coupon (for fixed‑rate positions) is closely matched; and |
| (iii) | the next interest‑fixing date or, for fixed coupon positions, residual maturity corresponds with the following limits: |
| (aa) | less than one month hence: same day; |
| (bb) | between one month and one year hence: within seven days; and |
| (cc) | over one year hence: within 30 days. |
| (5) | A central counterparty must, when dealing with matters relating to debt securities and other interest rate related instruments, apply the following principles: |
| (a) | Based on these requirements, in respect of any relevant position in a debt security or interest rate instrument held by the central counterparty, including— |
| (i) | any fixed-rate debt security or floating-rate debt security, or similar instrument; |
| (ii) | any non-convertible preference share; and |
| (iii) | any convertible debt instrument or preference share trading in a manner similar to a debt security, |
net positions must be classified according to the currency in which they are denominated and the central counterparty must calculate the capital requirement for general and specific risk in each individual currency separately.
| (b) | A central counterparty, for matters relating to specific risk,— |
| (i) | may, in the calculation of the its risk position offset matching positions in respect of identical instruments, including any relevant position arising from a derivative instrument, that is, even when the issuer of instruments is the same, the central counterparty may not offset positions arising from different issues since, for example, differences in coupon rates, liquidity or call features may cause prices to diverge in the short-term; |
| (ii) | must, in respect of any relevant net short or long position relating to a government, qualifying, specified non-qualifying or other exposure, calculate its capital requirement relating to specific risk in accordance with the relevant requirements specified in Table 30(A) in Schedule A; |
| (iii) | must, in respect of any relevant position hedged by a credit-derivative instrument, calculate its specific risk capital requirement in accordance with the relevant requirements specified below: |
When—
| (aa) | the values of the relevant long leg and short leg always move in opposite directions, and materially to the same extent, that is, when— |
| (AA) | the two legs consist of identical instruments, or |
| (BB) | a long cash position is hedged by a total return swap, or vice versa, and an exact match exists between the reference obligation and the underlying exposure, that is, the cash position, irrespective whether or not the maturity of the said swap contract differs from the maturity of the relevant underlying exposure, |
the reporting central counterparty may offset the two sides of the position, that is, the reporting central counterparty is relieved from any specific risk capital requirement in respect of the hedged position.
| (bb) | the values of the relevant long leg and short leg always move in opposite directions, but not to the same extent, that is, when a long cash position is hedged by a credit default swap or credit linked note, or vice versa, and in all cases an exact match exists in respect of the reference obligation, the maturity of the reference obligation and the credit derivative instrument, and the currency to the underlying exposure, the reporting central counterparty may apply an 80% specific risk offset in respect of the side of the transaction with the higher capital requirement, and a specific risk requirement of zero in respect of the other leg, provided that— |
| (AA) | the key features of the credit derivative instrument, such as the credit event definitions and settlement mechanism, may not cause the price movement of the credit derivative instrument materially to deviate from the price movement of the cash position; and |
| (BB) | based on matters such as restrictive pay-out provisions, such as fixed pay-outs and materiality thresholds, the transaction shall materially transfer risk; |
| (cc) | the values of the relevant long leg and short leg usually move in the opposite direction, that is— |
| (AA) | a long cash position is hedged by a total return swap, or vice versa, as envisaged in paragraph (b)(iii)(aa)(BB) above, but an asset mismatch exists between the reference obligation and the underlying exposure, and the requirements relating to an asset mismatch specified in Regulation 26.6(17)(a)(xxiii) above are met; |
| (BB) | the relevant two legs relate to identical instruments as envisaged in paragraph(b)(iii)(aa)(AA) above but a currency or maturity mismatch exists between the credit protection and the underlying asset; |
| (CC) | the relevant positions meet the relevant requirements specified in paragraph (b)(iii)(bb) above except that a currency or maturity mismatch exists between the credit protection and the underlying asset; or |
| (DD) | the relevant positions meet the relevant requirements specified in paragraph (b)(iii)(bb) above but an asset mismatch exists between the cash position and the credit derivative instrument, and the underlying asset is included in the deliverable obligations in terms of the credit derivative instrument documentation; |
the reporting central counterparty must calculate and maintain a capital requirement only in respect of the side of the transaction with the highest capital requirement, that is, instead of adding the specific risk capital requirements for each side of the relevant transaction in respect of the credit protection and the underlying asset the reporting central counterparty must calculate and maintain a capital requirement only in respect of the side of the transaction that requires the highest capital requirement;
| (dd) | the relevant hedged position relates to a position other than the positions envisaged in paragraph (b)(iii)(aa)to (cc), the reporting central counterparty must calculate and maintain a capital requirement in respect of both sides of the relevant transaction. |
| (c) | A central counterparty, for matters relating to general risk,— |
| (i) | may, in order to calculate its general risk requirement, apply either the maturity method prescribed in paragraph (d) or duration method prescribed in paragraph (e); |
| (ii) | must apply a separate maturity ladder in respect of each relevant currency, provided that subject to the approval of and such conditions as may be determined by the Authority, the reporting central counterparty may apply a single maturity ladder in respect of currencies in which its business is insignificant, in which case the reporting central counterparty must, within each relevant time band— |
| (aa) | assign the relevant net long or short position in respect of each relevant currency; |
| (bb) | in order to calculate the central counterparty’s relevant gross position, irrespective whether or not a net position is long or short, aggregate the relevant net long positions and relevant net short positions; |
| (iii) | must, in respect of each relevant currency, separately calculate the central counterparty’s relevant required amount of capital; |
| (iv) | must, unless specifically otherwise provided for, base its calculation of the required amount of capital on the absolute amount of all relevant calculated positions, that is, the reporting central counterparty may not apply offsetting between calculated positions or requirements of opposite sign, provided that in respect of any debt instrument with a high yield to redemption the Authority may disallow offsetting of the relevant position against other relevant positions even when provision is otherwise made in terms of these Regulations for the central counterparty to offset the positions; |
| (v) | must, in the case of a credit-default swap, include any relevant periodic premium or interest payment due as a notional position in a government bond with the relevant fixed or floating rate; |
| (vi) | must, in the case of a total return swap contract, include the relevant interest rate legs of the contract as a notional short or long position, as the case may be; |
| (vii) | must in accordance with the relevant requirements specified in sub-paragraph (d) or (e) calculate and maintain a capital requirement in respect of general risk equal to the sum of the specified requirements relating to— |
| (aa) | the relevant net short or long position in respect of the central counterparty’s entire book; |
| (bb) | the relevant portion in respect of the specified offsetting positions within each relevant time-band; |
| (cc) | the relevant portion in respect of the specified offsetting positions across different time-bands; |
| (dd) | the relevant net requirement in respect of specified positions in options. |
| (d) | A central counterparty that adopted the maturity method for the measurement of its exposure to general risk, must— |
| (i) | assign to the relevant maturity band specified in the maturity ladder specified in Table 30(B) in Schedule A, the relevant actual or notional amount relating to each relevant long or short position in a debt security or other instrument of interest rate exposure held by the reporting central counterparty, including any relevant derivative instrument; provided that the central counterparty may omit from the interest rate maturity framework opposite positions of the same amount and in respect of the same issue, but not in respect of different issues by the same issuer; |
| (ii) | based on the relevant weights specified in Table 30(B), which weights reflect the price sensitivity of all relevant positions to assumed changes in interest rates, weight all relevant positions assigned by the central counterparty to the relevant maturity band; |
| (iii) | in order to determine a single short or long position in respect of each specified maturity band, offset the weighted long positions and weighted short positions within the maturity band; |
| (iv) | in respect of the lower aggregate amount of the relevant long or short positions in a particular maturity band calculate a 10% capital requirement in order to reflect basis risk and gap risk, since each relevant maturity band will include different instruments and different maturities. For example, when the sum of the weighted long positions in a particular time band is equal to R50 million and the sum of the weighted short positions in the time band is equal to R90 million, the deemed amount in respect of vertical disallowance for the particular time band shall be equal to 10% of R90 million (that is, R9.0 million); |
| (v) | offset the relevant net positions within each of the relevant three time zones specified in Table 30(B), and subsequently offset the relevant calculated net positions between the three different time zones specified in Table 30(B), provided that the offsetting of net positions must be subject to a scale of disallowances, which disallowance factors are specified in Table 30(C) in Schedule A and are expressed as a fraction of the relevant calculated matched and unmatched positions, that is, the reporting central counterparty must offset the weighted long positions and weighted short positions within each of the three specified time zones and subsequently offset the residual net position in each relevant time zone against opposite positions in the other time zones, provided that the offsetting of positions within and between the relevant time zones must be subject to the disallowance factors specified in Table 30(C), which disallowance factors must constitute a separate component of the reporting central counterparty’s required amount of capital; |
| (vi) | maintain a capital requirement equal to 100% of any residual position not subject to any form of offsetting as envisaged in paragraph (d)(iii) to (v), provided that subject to such conditions as may be determined by the Authority, the Authority may for purposes of calculating a central counterparty’s exposure to general risk disallow the reporting central counterparty to offset certain positions relating to high yield instruments against any other debt instruments; |
| (vii) | in the case of residual currencies as envisaged in paragraph (c)(ii) apply the risk weights specified in Table 30(B) in respect of the gross positions calculated in respect of each relevant time band, with no further offsets; |
| (viii) | maintain an aggregate capital requirement in respect of the maturity method equal to the sum of the relevant amounts specified in Table 30(B). |
| (e) | A central counterparty, that wishes to adopt the duration method for the measurement of its exposure to general risk17, must— |
| (i) | obtain the prior written approval of the Authority, and at all times, in addition to the relevant requirements specified in these Regulations, comply with such requirements as may be determined by the Authority; |
| (aa) | the maturity of each relevant instrument; |
| (bb) | the relevant requirements specified in Table 30(D) in Schedule A; and |
| (cc) | the relevant requirements specified in this paragraph, |
separately measure the price sensitivity of each relevant instrument in terms of a change in interest rates of between 0.6 and 1.0 percentage points;
| (iii) | assign to the relevant time band specified in the duration-based ladder specified in Table 30(D) the calculated sensitivity measure of the relevant instrument or position; |
| (iv) | in a manner similar to the method specified in paragraph (d)(iv), in order to capture basis risk in respect of the relevant long positions and short position within each relevant time band, calculate and maintain a 5% capital requirement, which capital requirement must constitute the vertical disallowance component; |
| (v) | subsequently carry forward the relevant net position in each relevant time band and offset the net positions within and between the relevant time zones in accordance with and subject to the relevant requirements and horizontal disallowance factors specified in subparagraph (d)(v) and in Table 30(D); |
| (vi) | maintain a capital requirement equal to 100% of any residual position not subject to any form of offsetting as envisaged in subparagraphs (e)(iv) and (v), provided that subject to such conditions as may be determined by the Authority, the Authority may for purposes of calculating a central counterparty’s exposure to general risk disallow the reporting central counterparty to offset certain positions relating to high yield instruments against any other debt instruments; |
| (vii) | in the case of residual currencies as envisaged in subparagraph (c)(ii), apply the assumed change in yield specified in Table 30(D) in respect of the gross positions calculated in respect of each relevant time band, with no further offsets. |
| (f) | A central counterparty must, for matters relating to interest rate derivative instruments,— |
| (i) | include in its calculation of market risk exposure all interest rate derivative instruments and off-balance sheet instruments that respond to changes in interest rates, which instruments are held by the central counterparty, including any forward rate agreement, any other forward contract, any bond future, any interest rate or cross-currency swap contract or any forward foreign exchange position; |
| (ii) | convert all relevant transactions in derivative instruments into positions in the relevant underlying instrument and calculate the relevant specific risk and general risk requirements in accordance with the relevant requirements specified in these Regulations, provided that the reporting central counterparty— |
| (aa) | calculates all relevant capital requirements relating to derivative instruments in accordance with the relevant requirements specified in paragraph (e), that is in the case of any future or forward contract, including any forward rate agreement, the central counterparty must treat the contract as a combination of a long position and a short position in a notional government security, and the maturity of the future or forward rate agreement must be the period until delivery or exercise of the contract plus the life of the underlying instrument when relevant18; |
| (bb) | in the case of a swap contract that pays or receives a fixed or floating interest rate against some other reference price, such as a stock index, includes the interest rate component in the relevant re-pricing maturity category, with the equity component being included in the equity framework in accordance with the relevant requirements specified in paragraph (g); |
| (cc) | in the case of a cross-currency swap contract, reports the relevant separate legs of the contract in the relevant maturity ladders relating to the currencies concerned; |
| (dd) | may, if it has a large swap book, use alternative formulae in order to calculate the swap positions to be included in the relevant maturity or duration ladder specified in Regulation 30 above and with prior written approval of, and subject to such conditions as may be determined by the Authority, provided that— |
| (AA) | all relevant positions must be denominated in the same currency; |
| (BB) | the calculated positions must fully reflect the sensitivity of the cash flows to interest rate changes; and |
| (CC) | the reporting central counterparty must capture all relevant calculated positions in the appropriate time bands. |
| (ee) | in the case of any interest rate or currency swap, forward-rate agreements, forward foreign exchange contract, interest rate future or future on an interest rate index such as JIBAR, no specific risk requirement shall apply. |
| (g) | A central counterparty must follow the principles below for matters relating to equity instruments and equity position risk: |
| (i) | Based on the relevant requirements specified in this subregulation, in respect of any relevant long or short equity position held by the central counterparty— |
| (AA) | any instrument that exhibits market behaviour similar to equities; |
| (BB) | any ordinary shares, irrespective whether or not the shares have voting rights attached to them; |
| (CC) | any commitment to buy or sell equity securities; |
| (DD) | any convertible instrument that trades in a manner similar to an equity instrument; |
| (bb) | excluding non-convertible preference shares, which preference shares are subject to the requirements specified in Regulation 30.2(5), the reporting central counterparty must separately calculate the relevant minimum required amount of capital relating to specific risk and general risk, but unless specifically otherwise provided in this Regulation, the central counterparty may report long positions and short positions in respect of the same issue on a net basis. |
| (ii) | In respect of a central counterparty’s gross equity positions, the sum of all relevant long equity positions and all relevant short equity positions, held in its book, a central counterparty must on a market by market basis (in respect of each relevant national market or currency in which the central counterparty holds equities) calculate and maintain a minimum required amount of capital relating to specific risk, which must,— |
| (aa) | in the case of a less liquid equity portfolio that complies with such requirements or criteria as may be determined by the Authority be equal to 12% of the gross equity position; |
| (bb) | in all other cases, be equal to 8% of the gross equity position. |
| (iii) | In respect of a central counterparty’s net position in a specific equity market or equity index (the difference between the sum of all relevant long equity positions and the sum of all relevant short equity positions in a particular national equity market or equity index) held in its book, a central counterparty must calculate and maintain a minimum required amount of capital relating to general risk equal to 8% of the net equity position. |
| (iv) | A central counterparty must include all equity derivative instruments and off-balance sheet positions that are affected by changes in equity prices, including any future or swap contract on individual equities or stock indices, and the central counterparty must— |
| (aa) | measure and report any equity position arising from an option contract in accordance with the relevant requirements in this subregulation; |
| (bb) | convert all relevant derivative positions into notional equity positions in the relevant underlying instruments; |
| (cc) | report any future or forward contract relating to an individual equity at the current market price; |
| (dd) | treat any equity swap contract as two notional positions; |
| (ee) | "carve out" any equity option or stock index option with its associated underlying and incorporate the relevant position in the measure of general market risk19. |
| (h) | A central counterparty must follow the principles set out below for matters relating to foreign exchange risk: |
| (i) | Based on the relevant requirements specified in this subregulation, a central counterparty must in the calculation of its minimum required amount of capital relating to foreign exchange risk, separately calculate— |
| (aa) | its exposure in respect of each relevant single foreign currency; |
| (bb) | the risks inherent in its mix of all relevant long and short positions in different foreign currencies. |
| (ii) | In respect of each relevant foreign currency, a central counterparty must calculate its net open foreign-currency position as the sum of— |
| (aa) | its net spot position, that is, all relevant asset items less all relevant liability items, including any relevant amount of accrued interest; |
| (bb) | its net forward position, that is, all relevant amounts to be received less all relevant amounts to be paid in respect of any forward foreign exchange transaction or futures transaction, including any currency future and the principal amount relating to a currency swap not included in the spot position; |
| (cc) | any relevant guarantee or similar instrument that is certain to be called, and is likely to be irrecoverable; |
| (dd) | any net future income or expense not yet accrued but already fully hedged; |
| (ee) | any other relevant item representing a profit or loss in foreign currency; |
| (ff) | the net delta equivalent value relating to all relevant foreign currency; |
| (iii) | In respect of item (h)(ii)(aa) to (h)(ii)(ff) above, the central counterparty— |
| (aa) | must separately report all relevant positions in composite currencies, and in order to measure its open foreign currency position, it may either treat the currencies as a currency in its own right or split the currencies into their component parts; |
| (bb) | may treat as a single currency any currency pair that is subject to a legally enforceable inter-governmental agreement in terms of which the respective currencies are linked; |
| (cc) | must include as a position any accrued interest, that is, interest earned but not yet received, or accrued expenses; |
| (dd) | may exclude from its calculation any unearned but expected future interest and anticipated expenses unless the amounts are certain and the central counterparty has entered into a hedge in respect of the interest or expense item, provided that when the central counterparty includes in its calculation any future income or expense as envisaged in this subparagraph, it must consistently include the amounts in all relevant calculations and not selectively include only expected future flows that reduce its foreign-currency position; |
| (ee) | in respect of any relevant forward currency position, must value the position based on current spot market exchange rates instead of forward exchange rates, provided that when the central counterparty reports in its management accounts the net present values of the forward positions, it must use the net present value in respect of each relevant forward, which positions must be discounted using current interest rates and valued based on current spot rates in order to measure the central counterparty’s forward currency; |
| (ff) | may exclude from its relevant calculation of minimum required capital relating to foreign exchange risk items such as investments in non-consolidated subsidiaries, which investments constitute deductions against the central counterparty’s capital. |
| (iv) | In order to measure a central counterparty’s exposure to foreign exchange risk arising from a portfolio of foreign currency positions, the central counterparty may apply the shorthand method specified in subparagraph (v); |
| (v) | In terms of the shorthand method all relevant currencies is treated in an equal manner; and when the reporting central counterparty adopts the shorthand method,— |
| (aa) | it must convert into Rand, at the relevant spot rates, the relevant nominal amount or net present value, as the case may be, of the net position calculated in respect of each relevant foreign currency; |
| (bb) | its overall net foreign-currency position shall be deemed to be equal to the greater of the sum of its net short positions or the sum of the its net long positions; |
| (cc) | its required amount of capital must be equal to 8% of the overall net open foreign-currency position calculated in accordance with the requirements specified in item (bb) above; |
15 The excess of an institution's long (short) positions over its short (long) positions in the same equity, debt and convertible issues and identical financial futures, options, warrants and covered warrants shall be its net position in each of those different instruments
16 "Long position" means a position in which an institution has fixed the interest rate it will receive at some time in the future, and "short position" means a position in which it has fixed the interest rate it will pay at some time in the future.
17 The method provides a more accurate measure of the central counterparty’s exposure to general risk than the maturity method due to the separate measurement of the price sensitivity of each relevant position.
18 For example, a long position in a June three month interest rate future, which contract is concluded in April, shall be reported as a long position in a government security with a maturity of five months and a short position in a government security with a maturity of two months.
19 For example, the central counterparty must treat an equity swap contract in terms of which the central counterparty receives an amount based on the change in value of one particular equity or stock index and pays a different index as a long position in the former and a short position in the latter. When one of the legs involves receiving/paying a fixed or floating interest rate, the central counterparty must report the relevant exposure in accordance with the relevant requirements for interest rate related instruments specified above.
