5550. Long qualifying basket of index securities – Short index participation units – Commitment to purchase index participation units 

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    1. Where a Dealer Member inventory account contains the following combination:


      Long position


      Short position




      qualifying basket of index securities


      index participation units based on the same index


      commitment to purchase index participation units pursuant to an underwriting agreement

      and equivalent quantities of each position in the combination are held, the minimum margin required for the combination is calculated in accordance with subsection 5550(2).

    2. No margin is required provided the long qualifying basket of index securities:

      1. is of size sufficient to comprise a basket of securities or multiple thereof required to obtain the participation units,

      2. and

      3. does not exceed the Dealer Member’s commitment to purchase the participation units.

    There is no history log for this rule.

    There is no history log for this rule.