An Authorised Person must treat an equity swap as two notional positions: an interest rate leg and an equity leg, as follows:
(a) the interest rate leg must be included in the Interest Rate Risk Calculation and treated as a notional government Security in accordance with the provisions for interest rate swaps in Section 5.4; and.
(b) the equity leg must be treated as a long or short position in:
(i) where the payout or receipt of funds is based on, respectively, the appreciation or depreciation in price of the underlying equities, a Future; or
(ii) where the payout is the appreciation in price of the underlying equities, an Option, in which case the Authorised Person must calculate an Option Risk Capital Requirement in accordance with Section 5.8.