All Banks/DFIs/Investment Banks &
Brokerage Houses,

Dear Sirs/Madam,

Calculation of Accrued Interest in Repo/ Reverse Repo Contracts

Primary Dealers in the 3rd Quarterly SBP-PD meeting had raised concern over the calculation of accrued interest in Repo/Reverse Repo contracts maturing on unscheduled bank/public holidays, as SBP neither paid nor received interest on the extended period of these contracts.

Subsequently, after reviewing best practices & detailed discussions, it is decided that if any Repo/Reverse Repo Contract(s) is/are maturing on public/bank holidays then such contracts will be extended to the next business day, and accrued interest calculations will incorporate this extended period. As far as for calculations the interest rate may remain the same for extended period as used in original contract(s).

This change in practice is effective from the date of this circular, will be specific for Repo/Reverse Repo Contracts only and will not apply on securities sold/purchased on outright basis by SBP.

Please acknowledge receipt.