5440. Interest rate swaps

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    1. For interest rate swaps where payments are calculated with reference to a notional amount, the Dealer Member obligation to pay and entitlement to receive shall each be margined as separate components as follows:

      1. where a component is a payment calculated according to a fixed interest rate, the margin required is the margin rate percentage specified in subsection 5210(1) category (i) for a security with the same term to maturity as the outstanding term of the swap, multiplied by 125% and in turn multiplied by the notional amount of the swap, and

      2. where a component is a payment calculated according to a floating interest rate, the margin required is the margin rate percentage specified in subsection 5210(1) category (i) for a security with the same term to maturity as the remaining term to the swap reset date, multiplied by the notional amount of the swap.

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    There is no history log for this rule.