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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
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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
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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
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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
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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
There is no history log for this rule.