Document ID: chunk:federal_register_of_legislation:F2023L00349:body:0:p34
Version: federal_register_of_legislation:F2023L00349
Segment Type: other
Provision Reference: 
Character Range: 103959–106396

approved but not yet advanced where a 2 year fixed rate has been offered to the borrower should be included in the >1 up to 2 years time bucket.[12]  In contrast to this, a loan approved but not yet advanced, where no rate has been locked in, should be omitted.

4.2.1 Interest rate - swaps

For an interest rate swap, the fixed leg should be allocated to the time bucket corresponding to the residual maturity of the swap and the floating leg should be allocated to the time bucket corresponding to the next rate reset date.  Additionally, the pay side should be recorded as negative the face value, while the receive side should be recorded as positive the face value.

Example 1

An ADI enters into a 3 year swap with a face value of $5 million, under which the ADI pays fixed and receives floating with quarterly resets.  The swap should be initially recorded in the repricing analysis form as negative $5 million in the >2 up to 3 years time bucket (as the swap has a residual maturity of 3 years) and positive $5 million in the >1 up to 3 months time bucket (as the next interest rate reset date occurs in 3 months' time).  Refer to table 2 below.

Table 2 Reporting the 3 year swap in example 1

       Total  >1 up to 3 months  >2 up to 3 years
Swaps  0      +5,000,000         -5,000,000

In subsequent quarters, the two legs of the swap would be allocated to different time buckets, as appropriate, such that the fixed leg corresponds to the residual maturity of the swap and the floating leg corresponds to the next rate reset date.

Example 2

On 11 June 2006, an ADI enters into a 4.5 year swap with a face value of $10 million, under which the ADI receives fixed and pays floating with semi-annual resets.  The swap should be recorded in the repricing analysis form as at 30 June 2006 as positive $10 million in the >4 up to 5 years time bucket (as the swap has a residual maturity of just less than 4.5 years) and negative $10 million in the >3 up to 6 months time bucket (as the next reset date of 11 December 2006 occurs in just under 6 months' time).

In subsequent quarters, the two legs of the swap would be allocated to different time buckets, as appropriate.  To illustrate, on 30 September 2006 the swap should be recorded as positive $10 million in the >4 up to 5 years time bucket and negative $10 million in the >1 up to 3 months time bucket (as the next reset date of 11 December 2006 has moved into