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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.
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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.
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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.