PRU A6.2.9

An interest rate and a currency swap must be treated as two notional government Securities as follows:

(a) where the Authorised Person is receiving fixed rate interest and paying floating rate interest:
(i) a notional long position with a maturity equal to the length of the swap; and
(ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date;
(b) where the Authorised Person is paying fixed rate interest and receiving floating rate interest:
(i) a notional short position with a maturity equal to the length of the swap; and
(ii) a notional long position with a maturity equal to the period remaining to the next interest rate reset date;
(c) where the Authorised Person is receiving fixed rate interest and paying fixed rate interest:
(i) a notional long position with a maturity equal to the length of the swap; and
(ii) a notional short position with a maturity equal to the length of the swap.
(d) where the Authorised Person is receiving floating rate interest and paying floating rate interest:
(i) a notional long position with a maturity equal to the period remaining to the next interest date reset date; and
(ii) a notional short position with a maturity equal to the period remaining to the next interest rate reset date; and
(e) the two notional government Securities must have a coupon equal to the rate of interest payable or receivable on the leg.