anx_I__cpt_1__cpt_2__point_7__text_1

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) · European Union

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.

← 7. · All articles · A. TREATMENT OF THE PROTECTION SELLER →

Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.