OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5613. Government debt securities with different maturity bands

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    1. Where a Dealer Member or a client has one of the following long government debt security position and short government debt security position pairings:

       

      Long (short) position

       

      Short (long) position

      (i)

      Canada debt securities

      and

      Canada debt securities

      (ii)

      Canada debt securities

      and

      Canada Provincial debt securities

      (iii)

      Canada Provincial debt securities

      and

      Canada Provincial debt securities

      and the positions have the same currency denomination and market value but are within different maturity bands, the two positions may be offset and the minimum margin required for both positions may be computed as 50% of the greater of the margins normally required on the long (or short) and the short (or long) positions.

    There is no history log for this rule.

    There is no history log for this rule.