Entire Section

  • Cash Legs of Reverse Repos

    • PIB A5.2.12 PIB A5.2.12

      (1) The forward cash leg of a reverse repo must be treated as a notional long position in a government security with a maturity equal to that of the reverse repo and coupon equal to the repo rate.
      (2) An Authorised Firm may exclude from the interest rate maturity framework (for both Specific and General Market Risk) long and short positions (both actual and notional) in identical derivative instruments with exactly the same issuer, coupon, currency and maturity. A fully-matched position in a future or forward and its corresponding underlying instrument may also be fully offset, and thus excluded from the calculation.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

      • PIB A5.2.12 Guidance

        If a Security is reverse repo'd, the Authorised Firm does not calculate an Interest Rate Risk Capital Requirement on the Security because, although the firm obtains the legal title, the economic benefit or loss remains with the original holder.

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