5441. Total performance swaps

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    1. For total performance 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 based on the performance of a stipulated underlying security or underlying basket of securities, with reference to a notional amount, the margin requirement is the normal margin required for the underlying security or underlying basket of securities relating to this component, based on the market value of the underlying security or underlying basket of securities, 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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