Article 330

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 2 > Section 1 > Article 330
Title:
Article 330
Description: 
Swaps
Main content: 

Swaps shall 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 shall 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.