Forward Repricing Date
(Last updated: )
The concept of a “Forward Repricing Date” relates to “Forward Transactions” entered into under a GMRA.
The “Forward Repricing Date” with respect to any Forward Transaction is the date which is such number of Business Days before the Purchase Date as is equal to the minimum period for the delivery of margin applicable under paragraph 4(g). In other words, the “Forward Repricing Date” with respect to any Forward Transaction is the date which is X Business Days prior to the Purchase Date where “X” is either:
- The period the parties have agreed to in part 1(j) of Annex I; or
- If no period is agreed in part 1(j) of Annex I, “such minimum period as is customarily required” for the settlement or delivery of money or securities of the relevant kind.
The parties can agree that Forward Transactions are adjusted in the period between the “Forward Repricing Date” and the “Purchase Date”. Specifically, the parties can choose to adjust (a) the “Purchase Price” (in other words, the amount of the ‘loan’), or (b) the number of “Purchased Securities” (in other words, the amount of ‘collateral’). They would be likely to do this if either party has incurred “Transaction Exposure” during this period (meaning, in simple terms, that the ‘loan’ represented by the Repurchase Transaction was either over- or under- collateralised due, primarily, to movements in the price of the underlying securities in the period prior to the “Purchase Date”).
Contact Us