This guidance applies to periods of account starting on or after 1 January 2015 where the company has elected for regulation 9 to apply.

Meaning of ‘interest rate contract’

‘Interest rate contract’ is defined in regulation 9(4) as

a derivative contract whose underlying subject matter is, or includes, interest rates, or

a swap (other than one falling within the first bullet point) in which payments fall to be made by reference to a rate of interest, or an index determined by reference to income or retail prices.

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