CTHIn ForceLegislation
Banking (prudential standard) determination No. 7 of 2024
Total-rate-of-return swapsTotal-rate-of-return swaps
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Total-rate-of-return swaps
- If an ADI is a protection buyer in a total-rate-of-return swap, it must enter into the maturity ladder a position in a notional debt instrument, where regular interest or fee cash flows are to be exchanged, to reflect the general market risk associated with those cash flows. General market risk and specific risk capital charges must also be calculated on the short position in the reference obligation.
- If an ADI is a protection seller in a total-rate-of-return swap, it must enter into the maturity ladder a position in a notional debt instrument, where regular interest or fee cash flows are to be exchanged, to reflect the general market risk associated with those cash flows. General market risk and specific risk capital charges must also be calculated on the long position in the reference obligation.