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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
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.2.7



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 and a forward on a single debt SecurityG must be treated as a notional debt SecurityG and a notional zero coupon government SecurityG as follows:

(a) where an Authorised FirmG has bought the future or forward:
(i) a notional long position in the underlying SecurityG with a maturity:
(A) in the case of a fixed rate bond, equal to the underlying SecurityG ; and
(B) in the case of a floating rate bond, at the time to the next reset; and
(ii) a notional short position in a zero coupon government SecurityG with a maturity equal to the time to expiry of the futures contract; and
(b) where an Authorised FirmG has sold the future or forward:
(i) a notional short position in the underlying SecurityG with a maturity:
(A) in the case of a fixed rate bond, equal to the underlying SecurityG ; and
(B) in the case of a floating rate bond, at the time to the next reset; and
(ii) a notional long position in a zero coupon government SecurityG with a maturity equal to the time to expiry of the futures contract.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]