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PIB A5.2.7

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

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