5221. Convertible commercial and corporate bonds, debentures, notes and other securities not in default

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    1. 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
      365

      multiplied by par value

      plus any excess of convertible debt market value over convertible debt par value.

      3.00%
      x
      number of days
      to maturity
      365

      multiplied 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.

    There is no history log for this rule.