PRU A6.2.6

A Future on an interest rate and a forward rate agreement must be treated as two notional zero coupon government Securities as follows:

(a) where an Authorised Person 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 Person 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.