5241. Determining debt margin surcharge

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    1. IIROC determines the debt margin surcharge according to the calculations in section 5241.

    2. IIROC monitors government of Canada - issued debt securities maturing in each of the three periods:

      1. over 1 year to 3 years,

      2. over 3 years to 7 years, and

      3. over 7 years,

      4. for price volatility in the primary markets in which a Dealer Member trades them. Each maturity is considered a separate class of debt securities.

    3. IIROC measures price volatility as follows:

      1. start with the closing price on a trading day for a security in monitored markets (the base day),

      2. compare the closing price of a security on each of the four trading days after the base day to the closing price in clause 5241(3)(i),

      3. the first day (if any) of the four days in clause 5241(3)(ii) on which the percentage change in price (negative or positive) between the closing price on that day and the closing price in clause (i) is greater than the margin rate required in Rule 5200, is an “offside base day”,

      4. if an offside base day has occurred, it becomes the base day for making further comparisons under clauses 5241(3)(i) and 5241(3)(ii),

      5. if an offside base day does not occur in the four trading days following the base day, then the trading day after the base day becomes the new base day, and the calculations under clauses 5241(3)(ii) through 5241(3)(iv) are made with reference to that new base day,

      6. for any 90 day period, IIROC must determine p% as follows:

        # of offside base days x 100          =  p%
        total # trading days in the period

      7. If p% is greater than 5% for any two of the three classes of debt securities monitored, a margin surcharge will be required.

    4. After a margin surcharge has been required for at least 30 days under subsection 5240(3), IIROC will look at the number of offside base days. If the number of offside base days is not more than 5% of the total number of trading days in the immediately preceding 90 day period, the margin surcharge will no longer be required.

    5242. - 5249.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.