OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5610. Summary reference tables

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    1. The following reference table summarizes the reduced margin offset strategies available among government debt securities:

       

      Short Canada debt securities

      Short United States debt securities

      Short Canada Provincial debt securities 

      Short Canada Municipal debt securities

      Long Canada debt securities

      same maturity band 

      • 5611 and 5612

      same maturity band 

      - 5614(3)(i)

      same maturity band 

      - 5614(1)(i) 

      same maturity band 

      • 5614(1)(ii) and 5614(3)(iii)

      different maturity bands 

      - 5613(1)(i)

      different maturity bands 

      • no offset available

      different maturity bands 

      - 5613(1)(ii)

      different maturity bands 

      • no offset available

      Long United States debt securities

      same maturity band 

      • 5614(3)(i)

      same maturity band 

      • 5611 and 5612

      same maturity band 

      • 5614(3)(ii)

      same maturity band 

      • 5614(3)(iv)

      different maturity bands

      • no offset available

      different maturity bands

      • no offset available

      different maturity bands

      • no offset available

      different maturity bands

      • no offset available

      Long Canada Provincial debt securities

      same maturity band 

      • 5614(1)(i) 

      same maturity band 

      • 5614(3)(ii)

      same maturity band 

      • 5611 and 5612

      same maturity band 

      • 5614(1)(iii) and 5614(3)(v)

      different maturity bands 

      • 5613(1)(ii)

      different maturity bands 

      • no offset available

      different maturity bands 

      • 5613(1)(iii)

      different maturity bands 

      • no offset available

      Long Canada Municipal debt securities

      same maturity band 

      • 5614(1)(ii) and 5614(3)(iii)

      same maturity band 

      • 5614(3)(iv)

      same maturity band 

      • 5614(1)(iii) and 5614(3)(v)

      same maturity band 

      • offset available for long and short positions in same security

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available
    2. The following reference table summarizes the reduced margin offset strategies available between Canadian government debt securities and strip and residual debt instruments:

       

      Short Canada debt securities

      Short Canada Provincial debt securities

      Short Canada strips or Canada residuals

      Short Provincial strips or Provincial residuals

      Long Canada debt securities

      Refer to table in subsection 5610(1)

      same issuer and maturity band 

      • 5615(1)(i) and 5615(1)(ii)

      same maturity band 

       
      • 5615(2)(i) and 5615(2)(ii)

      different issuers or maturity bands 

      • no offset available

      different maturity bands 

       
      • no offset available

      Long Canada Provincial debt securities

      same maturity band 

      • 5615(2)(iii) and 5615(2)(iv)

      same maturity band 

      • 5615(1)(v) and 5615(1)(vi)

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      Long Canada strips or Canada residuals

      same maturity band 

      • 5615(1)(i) and 5615(1)(ii)

      same maturity band 

      • 5615(2)(iii) and 5615(2)(iv)

      same maturity band 

      • 5615(3)(i) through 5615(3)(iii)

      same maturity band 

      • 5615(4)(i) through 5615(4)(iv)

      different maturity bands

      • no offset available

      different maturity bands

      • no offset available

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      Long Provincial strips or Provincial residuals

      same maturity band 

      • 5615(2)(i) and 5615(2)(ii)

      same maturity band 

      • 5615(1)(v) and 5615(1)(vi)

      same maturity band 

      • 5615(4)(i) through 5615(4)(iv)

      same maturity band 

      • 5615(3)(iv) through 5615(3)(vi)

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available

      different maturity bands 

      • no offset available
    3. The following reference table summarizes the reduced margin offset strategies available between foreign federal government debt securities and foreign federal government strip and residual debt instruments:

       

      Short foreign federal government debt securities

      Short foreign federal government strips or foreign federal government residuals

      Long foreign federal government debt securities

      Refer to table in subsection 5610(1)

      same issuer and maturity band 

      • 5615(1)(iii) and 5615(1)(iv)

      different issuers or maturity bands 

      • no offset available

      Short foreign federal government strips or foreign federal government residuals

      same issuer and maturity band

      • 5615(1)(iii) and 5615(1)(iv)

      same issuer and maturity band 

      • offset available for long and short positions in same security

      different issuer or maturity bands

      - no offset available

      different issuer or maturity bands

      - no offset available

    4. The following reference table summarizes the reduced margin offset strategies available between Canadian government debt securities and Canadian government guaranteed mortgage-backed securities:

       

      Short Canada debt securities

      Short Canada mortgage-backed securities

      Long Canada debt securities

      Refer to table in subsection 5610(1)

      same maturity band

      - 5616(1)(i)

      different maturity bands 

      • no offset available

      Long Canada mortgage-backed securities

      same maturity band 

      - 5616(1)(i)

      same maturity band 

      • offset available for long and short positions in same security

      different maturity bands

      • no offset available

      different maturity bands 

      • no offset available
    5. The following reference table summarizes the reduced margin offset strategies available between government debt securities and government debt futures contracts:

       

      Short Canada debt securities

      Short Canada Provincial debt securities

      Short Canada Municipal debt securities

      Short Canada bond futures

      Long Canada debt securities

      Refer to table in subsection 5610(1)

      same maturity band 

      - 5617(1)(i)

      different maturity bands 

      - 5618(1)(i)

      Long Canada Provincial debt securities

      same maturity band 

      - 5618(1)(ii)

      different maturity bands 

      - 5618(1)(ii)

      Long Canada Municipal debt securities

      same maturity band 

      - 5618(1)(iii)

      different maturity bands

      • no offset available

      Long Canada bond futures

      same maturity band 

      • 5617(1)(i)

      same maturity band 

      • 5618(1)(ii)

      same maturity band 

      • 5618(1)(iii)

      same maturity band

      • same contract - margin computed on the net long or net short contract position
      • different contracts - refer to requirements on exchange on which the contract trades

      different maturity bands 

      • 5618(1)(i)

      different maturity bands 

      • 5618(1)(ii)

      different maturity bands 

      • no offset available

      different maturity bands 

      • refer to requirements on exchange on which the contract trades

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    There is no history log for this rule.