5551. Long qualifying basket of index securities – Short index participation unit call options – Commitment to purchase index participation units

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

       

      Long position

       

      Short option position

       

      Commitment

      (i)

      qualifying basket of index securities

      and

      index participation unit  call option based on the same index

      and

      commitment to purchase index participation units pursuant to an underwriting agreement

      and equivalent quantities of each position in the combination are held and the underwriting period expires after the expiry date of the short call options, the minimum margin required for the combination is calculated in accordance with subsection 5551(2).

    2. Subject to additional margin requirements set out in subsection 5551(3), the minimum margin required is the normal margin required on the long qualifying basket less the market value of the short call options, but in no event shall the margin required be less than zero.

    3. Where the qualifying basket of index securities is imperfect, additional margin is required to be provided in the amount of the calculated incremental basket margin rate for the basket multiplied by the market value of the basket.

    There is no history log for this rule.

    There is no history log for this rule.