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OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5610. Summary reference tables

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Series 5000: Dealer Member Margin Rules
    Rule

    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
    Guidance/Notices

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      Jump to another section in Rule 5600
      5601. Introduction
      5611. Government debt securities of same issuer and both maturing within one year 
      5612. Government debt securities of same issuer with same maturity band and both maturing in greater than or equal to one year
      5613. Government debt securities with different maturity bands
      5614. Government debt securities of different issuers with same maturity band
      5615. Offsets involving government debt securities and strip coupons or residuals
      5616. Offsets involving government debt securities and government guaranteed mortgage-backed securities 
      5617. Offsets involving government debt securities and Government of Canada notional bond futures contracts with same underlying issuer and same maturity bands
      5618. Other offsets involving government debt securities and Government of Canada notional bond futures contracts
      5620. Summary reference tables
      5621. Commercial and corporate debt securities of same issuer with same maturity band
      5622. Offsets involving Canadian chartered bank acceptances and Canadian bankers acceptance futures contracts with same maturity bands
      5623. Offsets involving commercial and corporate debt securities and strip coupons or residuals
      5624. Offsets involving commercial and corporate debt securities and Government of Canada notional bond futures contracts
      5630. Summary reference table
      5631. Government and commercial corporate debt securities with same maturity band
      5640. Summary reference table
      5641. Offset where convertible security is held long and is currently convertible
      5642. Offset where convertible security is held long and is not currently convertible
      5643. Offset where convertible security is held short
      5644. Offset relating to a pending amalgamation, acquisition, spin-off or other securities related reorganization transaction
      5650. Summary reference tables
      5651. Offset involving long capital share and short underlying common share positions
      5652. Offset involving long capital share, long split share preferred share and short underlying common share positions
      5653. Offset involving short capital share and long underlying common share positions
      5654. Offset involving short capital share, short split share preferred share and long underlying common share positions
      5655. Offset involving long capital share and short call option contract positions
      5660. Summary reference tables
      5661. Offset where exercisable security is held long and is currently exercisable
      5662. Offset where exercisable security is held long and is not currently exercisable
      5663. Offset where exercisable security is held short
      5670. Offsets involving callable, extendible and retractable debt securities
      5671. Offsets involving Canadian government debt or Canadian listed equity securities and futures and forward contracts
      5680. Offset involving two interest rate swaps
      5681. Offsets involving interest rate swaps and federal government debt securities
      5682. Offsets involving total performance swaps and underlying securities

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