CRR Tool
Capital Requirements Regulation (CRR)
Article 330

Article 330 - Swaps

Status
In force
Selected consolidated version from
30/09/2021
Search all articles and keywords within this legal act

Article 330

Swaps

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.

Related documents