Document ID: chunk:federal_register_of_legislation:F2024L01519:body:0:p21
Version: federal_register_of_legislation:F2024L01519
Segment Type: other
Provision Reference: 
Character Range: 59749–62643

ADI may fully offset opposite positions within and across product groups, including (if using the delta-plus method for options)[19] the delta-equivalent value of options (including the delta-equivalent value of legs arising out of the treatment of caps and floors as set out in paragraph 81 of this Attachment), subject to meeting the following conditions:

        1.           the positions must relate to the same underlying instruments, be of the same nominal value and be denominated in the same currency;[20]

        2.           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; and

        3.           for swaps, FRAs and forwards,[21] the reference rate (for floating‑rate positions) must be identical and the coupons must differ by no more than 15 basis points. Also, the next interest fixing date or, for fixed coupon positions or forwards, the residual maturity, must correspond within the following limits:

                1.             if either instrument has an interest fixing date or residual maturity up to and including one month, the dates or residual maturities must be the same for both instruments; or

                2.          if either  instrument has an interest fixing date or residual maturity greater than one month and up to and including one year, the dates or residual maturities must be within seven days of each other; or

                3.        if either instrument has an interest fixing date or residual maturity over one year, the dates or residual maturities must be within thirty days of each other.

    Table 6: Time bands and risk weights

Coupon 3% or more           Coupon less than 3% or the duration method  Risk weight (%)  Assumed changes in yield (%)
1 month or less             1 month or less                             0.00             1.00
Over 1 and up to 3 months   Over 1 and up to 3 months                   0.20             1.00
Over 3 and up to 6 months   Over 3 and up to 6 months                   0.40             1.00
Over 6 and up to 12 months  Over 6 and up to 12 months                  0.70             1.00
Over 1 and up to 2 years    Over 1.0 and up to 1.9 years                1.25             0.90
Over 2 and up to 3 years    Over 1.9 and up to 2.8 years                1.75             0.80
Over 3 and up to 4 years    Over 2.8 and up to 3.6 years                2.25             0.75
Over 4 and up to 5 years    Over 3.6 and up to 4.3 years                2.75             0.75
Over 5 and up to 7 years    Over 4.3 and up to 5.7 years                3.25             0.70
Over 7 and up to 10 years   Over 5.7 and up to 7.3 years                3.75             0.65
Over 10 and up to 15 years  Over 7.3 and up to 9.3 years                4.50             0.60