Related provisions for BIPRU 7.2.21

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BIPRU 7.2.22RRP
Table: Interest rate and foreign currency swapsThis table belongs to BIPRU 7.2.21RPaying leg (which must be treated as a short position in a zero-specific-risk security)Receiving leg (which must be treated as a long position in a zero-specific-risk security)Receiving fixed and paying floatingCoupon equals the floating rate and maturity equals the reset dateCoupon equals the fixed rate of the swap and maturity equals the maturity of the swapPaying fixed and receiving floatingCoupon
BIPRU 7.2.24RRP
Interest rate swaps or foreign currencyswaps with a deferred start must be treated as the two notional positions (one long, one short) shown in the table in BIPRU 7.2.25R.
BIPRU 7.2.25RRP
Table: Deferred start interest rate and foreign currency swapsThis table belongs to BIPRU 7.2.24RPaying leg (which must be treated as a short position in a zero-specific-risk security with a coupon equal to the fixed rate of the swap)Receiving leg (which must be treated as a long position in a zero-specific-risk security with a coupon equal to the fixed rate of the swap)Receiving fixed and paying floatingmaturity equals the start date of the swapmaturity equals the maturity of
BIPRU 7.2.46AGRP
3BIPRU 7.2.43 R includes both actual and notional positions. However, notional positions in a zero-specific-risk security do not attract specific risk. For example:(1) interest-rate swaps, foreign-currency swaps, FRAs, interest-rate futures, foreign-currencyforwards, foreign-currencyfutures, and the cash leg of repurchase agreements and reverse repurchase agreements create notional positions which will not attract specific risk; while(2) futures, forwards and swaps which are based
IFPRU 6.2.10GRP
Interest-rate swaps or foreign currency swaps with a deferred start should be treated as the two notional positions (one long, one short). The paying leg should be treated as a short position in a zero specific risk security with a coupon equal to the fixed rate of the swap. The receiving leg should be treated as a long position in a zero specific risk security, which also has a coupon equal to the fixed rate of the swap.