5224. Convertible commercial residual debt not in default

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    1. The minimum Dealer Member inventory margin and client account margin requirements for convertible commercial residual debt not in default 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 for commercial convertible residual debt

      Category (ii)

      Margin required for commercial convertible residual debt where the underlying security has a market value of 50% or less of par value and has a low current credit rating

      Basic margin requirement

      Within 1 year

      The greater of

      1. margin calculated for underlying security under subsection 5221(1); and
      2. margin calculated for residual debt instrument under subsection 5223(1).

      50.00%

      Over 1 to 3 years

      Over 3 to 7 years

      Over 7 to 11 years

      Over 11 to 20 years

      Over 20 years

      Alternative margin requirement

      As an alternative to the margin requirements set out above, the margin requirement may be calculated for categories (i) and (ii) 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.