Dubai Financial Services Authority (DFSA)
Laws
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 Futures on Interest Rates and Forward Rate Agreements |
Futures and Forwards on a Single Debt Security |
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Dec 9 2012 onwardsPIB A5.2.6
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A future on an interest rate and a forward rate agreement must be treated as two notional zero coupon government SecuritiesG as follows:
(a) where an Authorised FirmG sells an interest rate future or buys a forward rate agreement:
(i) the notional short position has a maturity equal to the time to expiry of the future (or the settlement date of the forward rate agreements) plus the maturity of the borrowing period; and
(ii) the notional long position has a maturity equal to the time to expiry of the future (or the settlement date of the forward rate agreement); and
(b) where an Authorised FirmG buys an interest rate future or sells a forward rate agreement:
(i) the notional short position has a maturity equal to the time to expiry of the future (or the settlement date of the forward rate agreement); and
(ii) the notional long position has a maturity equal to the time to expiry of the future (or the settlement date of the forward rate agreement) plus the maturity of the deposit period.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
| Futures on Interest Rates and Forward Rate Agreements |
Futures and Forwards on a Single Debt Security |
