5467. Alternative calculation approach for Dealer Member foreign exchange positions

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    1. As an alternative to the foreign exchange margin requirement determined under sections 5463 through 5466 for futures and forward contract inventory positions denominated in a currency which has a currency futures contract which trades on an applicable exchange, the foreign exchange margin requirement may be calculated as follows.

      1. Futures contracts - Foreign exchange positions consisting of futures contracts may be margined at the margin rates prescribed by the exchange on which such futures are listed.

      2. Forward contracts offsets - Forward contract positions which are not denominated in Canadian dollars may be margined as follows:

        1. the margin requirement is the greater of the requirement determined under sections 5463 through 5466 on each of the two positions,

        2. two forward contracts held by a Dealer Member which have one currency common to both contracts, are for the same value date, and the amount of the common currency positions are equal and offsetting, may be treated as a single contract for the purposes of sub-clause 5467(1)(ii)(b).

      3. Futures and forward contract offsets - Futures and forward contract positions which are not denominated in Canadian dollars may be margined as follows:

          1. the margin requirement is the greater of the requirement determined under sections 5463 through 5466 on each of the two positions,

          2. margin rates applicable to unhedged positions under paragraph 5467(1)(iii)(a)(l) are the rates established by sections 5461 through 5466  and not the rates prescribed by the exchange on which the futures contracts are listed,

        1. two forward contracts held by a Dealer Member which have one currency common to both contracts, are for the same value date, and the amount of the common currency positions are equal and offsetting, may be treated as a single contract for the purposes of sub-clause 5467(1)(iii)(b).

    There is no history log for this rule.

    There is no history log for this rule.