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  • Permissible Offsetting of Closely Matched Positions for General Market Risk Only

    • CA-9.8.3

      For the purpose of calculation of the general market risk, in addition to the permissible offsetting of fully matched positions as described in Paragraph CA-9.8.1, opposite positions giving rise to interest rate exposure can be offset if they relate to the same underlying instruments, are of the same nominal value and are denominated in the same currency and, in addition, fulfil the following conditions:

      (a) For futures:
      Offsetting positions in the notional or underlying instruments to which the futures contract relates must be for identical products and mature within seven days of each other;
      (b) For swaps and FRAs:
      The reference rate (for floating rate positions) must be identical and the coupons must be within 15 basis points of each other; and
      (c) For swaps, FRAs and forwards:
      The next interest fixing date or, for fixed coupon positions or forwards, the residual maturity must correspond within the following limits:
      •   Less than one month:
      		same day;
      •   Between one month and one year:
      		within 7 days;
      •   Over one year:
      		within 30 days.
      January 2015