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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB App5 Market Risk
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.2.6



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

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]