Question
"Where the sum of floating rate instruments": Does the Sum refer to the 1)Net of reprining notional of Asset/Liability of floating rate instruments; or 2) Asset only ( as the denominator is 5% of assets), or 3)absolute value of Asset plus absolute value of Liability?
Background on the question
There is no definition of the Sum, apart from Paragraph 3 which says "Incoming notional repricing cash flows shall be allocated with a positive sign and outgoing notional repricing cash flows shall be allocated with a negative sign." If the answer to my above question is 1) and if the result is negative, e.g. -12%, do we take the absolute value of the 12% when measured against 5%?
Answer
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