5552. Long qualifying basket of index securities – Long index participation unit put options – Commitment to purchase index participation units

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

   	Long position		Long option position		Commitment
   (i)	qualifying basket of index securities	and	index participation unit put 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 long put options, the minimum margin required for the combination is calculated in accordance with subsection 5552(2).

2. Subject to additional margin requirements set out in subsection 5552(3), the minimum margin required is:

   1. 100% of the market value of the long put options,

   2. plus

   3. the lesser of:

      1. the normal margin required on the long qualifying basket of index securities,

      2. or

      3. the market value of the qualifying basket of index securities less the aggregate exercise value of the put options.

      4. A negative value calculated under sub-clause 5552(2)(ii)(b) may reduce the margin required on the put 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.

5553. - 5559.  Reserved.