CA-9.4.2
The steps in the calculation of the general
(a) Individual long or short positions in interest-rate related instruments, including derivatives, are slotted into a maturity ladder comprising thirteen time-bands (or fifteen time-bands in the case of zero-coupon and deep-discount instruments, defined as those with a coupon of less than 3%), on the following basis:
(i) Fixed rate instruments are allocated according to their residual term to maturity (irrespective of embedded puts and calls), and whether their coupon is below 3%;
(ii) Floating rate instruments are allocated according to the residual term to the next repricing date;
(iii) Positions in derivatives, and all positions in repos, reverse repos and similar products are decomposed into their components within each time band. Derivative instruments are covered in greater detail in Sections CA-9.6 to CA-9.9;
(iv) Opposite positions of the same amount in the same issues (but not different issues by the same issuer), whether actual or notional, can be omitted from the interest rate maturity framework, as well as closely matched swaps, forwards, futures and FRAs which meet the conditions set out in Section CA-9.8. In other words, these positions are netted within their relevant time-bands; and
(v) The CBB's advice must be sought on the treatment of instruments that deviate from the above structures, or which may be considered sufficiently complex to warrant the CBB's attention.
January 2015