5466. Foreign exchange position offsets for Dealer Members

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    1. A Dealer Member must calculate Dealer Member inventory margin and client margin for foreign exchange positions according to the currency groups and rates in subsection 5460(1).

    2. If a Dealer Member has a monetary asset and monetary liability in the same currency, the term risk margin requirement may be netted according to the following table:

      Dealer Member position

      Term risk margin requirement

      1. Monetary asset and monetary liability, both with a term to maturity of 2 years or less

      Term risk margin requirement for both positions may be netted

      1. Monetary asset and monetary liability, both with a term to maturity of over 2 years

      Term risk margin requirement for both positions is the greater of term risk margin requirement for the monetary asset and the monetary liability.

      1. Monetary asset (monetary liability) with a term to maturity of 2 years or less and monetary liability (monetary asset) with a term to maturity of over 2 years where difference in the terms to maturity is 180 days or less.

      Term risk margin requirement for both positions may be netted

    3. If a Dealer Member has a monetary asset and a monetary liability in the same currency group and one of the positions has a term to maturity of 2 years or less and the other has a term to maturity of more than 2 years, the term risk margin requirement for the two positions need not be greater than the following:

      Currency Group

      1

      2

      3

      4

      Market value of positions offset
      x
      5.00%

      Market value of positions offset
      x
      10.00%

      Market value of positions offset
      x
      20.00%

      Market value of positions offset
      x
      50.00%

    There is no history log for this rule.

    There is no history log for this rule.