Entire Section

  • Cash Legs of Repos

    • PIB A5.2.11 PIB A5.2.11

      The forward cash leg of a repo must be treated as a notional short position in a government Security with a maturity equal to that of the repo and coupon equal to the repo rate.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A5.2.11 Guidance

        If a Security is repo'd, the Authorised Firm continues to calculate an Interest Rate Risk Capital Requirement on the Security because, although legal ownership transfers to the Counterparty, the economic benefit or loss remains with the Authorised Firm.

        Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]