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The minimum Dealer Member inventory margin and client account margin requirements for convertible commercial and corporate bonds, debentures, and notes not in default, and non‑negotiable and non‑transferable trust company and mortgage loan company obligations registered in the Dealer Member’s name are as follows:
Term to maturity Minimum margin required expressed as a percentage of market value or as a dollar amount
Category (i)
Margin required when market value is above par value
Category (ii)
Margin required when market value is at or below par value
Category (iii)
Margin required when market value is 50% or less of par value and issuer has a low current credit rating
Basic margin requirement
Within 1 year
3.00%
x
number of days
to maturity
365multiplied by par value
plus any excess of convertible debt market value over convertible debt par value.
3.00%
x
number of days
to maturity
365multiplied by par value
50.00% of market value
Over 1 to 3 years
6.00% of par value
plus any excess of convertible debt market value over convertible debt par value.
6.00% of market value
Over 3 to 7 years
7.00% of par value
plus any excess of convertible debt market value over convertible debt par value.
7.00% of market value
Over 7 to 11 years
10.00% of par value
plus any excess of convertible debt market value over convertible debt par value.
10.00% of market value
Over 11 years
Alternative margin requirement
As an alternative to the margin requirements set out above, the margin requirement may be calculated for categories (i) through (iii) as the sum of the margin required for the underlying security plus any excess of the convertible debt market value over the underlying security market value.
There is no history log for this rule.