CA-9.2.12
Full allowance will be recognised when the values of two legs (i.e. long and short) always move in the opposite direction and broadly to the same extent. This would be the case in the following situations:
(a) The two legs consist of completely identical instruments; or
(b) A long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e. the cash position)46.
In these cases, no specific risk capital requirement applies to both sides of the position.
46 The maturity of the swap itself may be different from that of the underlying exposure.
January 2015