“For the purposes of this regulation, a “fixed interest rate” is an interest rate, which is not
reset at least every 90 days.”
suppose this is a float vs float swap, if the rates reset every 6 months, it’s considered a fixed rate swap, correct?
According to that definition, yes.
What regulation is this?
IIROC in Canada
to calculate margin
I’d ask them specifically, but it sure sounds like a plain vanilla interest rate swap with semiannual payments would be considered fixed-rate by their (odd) definition.
yep, thats exactly…it is odd, but i guess theyre being very conservative?