OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5614. Government debt securities of different issuers with same maturity band

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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 Provincial debt securities

      (ii)

      Canada debt securities

      and

      highly rated Canada Municipal debt securities

      (iii)

      Canada Provincial debt securities

      and

      highly rated Canada Municipal debt securities

      and the positions have the same currency denomination and market value and are within the same maturity band, 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.

      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5614(1) will be repealed and replaced with the following:

      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 Provincial debt securities
      (ii) Canada debt securities and Canada Municipal debt securities with a high issuer credit rating
      (iii) Canada Provincial debt securities and Canada Municipal debt securities with a high issuer credit rating
      and the positions have the same currency denomination and market value and are within the same maturity band, 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
    2. In subsection 5614(1) “highly rated Canada Municipal debt securities” are Canada Municipal debt securities currently rated “A” or higher by DBRS, Moody’s or S&P Corporation.

      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5614(2) will be repealed and replaced with the following:
      In subsection 5614(1) “Canada Municipal debt securities with a high issuer credit rating” are debt securities issued or guaranteed by a Canadian municipal government with a long-term issuer credit rating of “A” or higher by a designated rating organization.

    3. 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

      United States debt securities

      (ii)

      United States debt securities

      and

      Canada Provincial debt securities

      (iii)

      Canada debt securities

      and

      Canada Municipal debt securities

      (iv)

      United States debt securities

      and

      Canada Municipal debt securities

      (v)

      Canada Provincial debt securities

      and

      Canada Municipal debt securities

      and the positions have the same currency denomination and market value and are within the same maturity band, the two positions may be offset and the minimum margin required for both positions may be computed as 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.