Article 346 › 3

Full allowance shall be given when the values of the two legs always move in the opposite direction and broadly to the same extent. This will be the case in the following situations: (a) the two legs consist of completely identical instruments; (b) a long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e., the cash position). The maturity of the swap itself may be different from that of the underlying exposure. In these situations, a specific risk own funds requirement shall not be applied to either side of the position.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04