-
Where a Dealer Member or a client has one of the following long (short) government debt security position and short (long) government strip coupon or residual position pairings:
Long (short) position
Short (long) position
(i)
Canada debt securities
and
Canada strips
(ii)
Canada debt securities
and
Canada residuals
(iii)
Federal government debt securities eligible for margin pursuant to category (i) of subsection 5210 (1)
and
Same federal government strips
(iv)
Federal government debt securities eligible for margin pursuant to category (i) of subsection 5210 (1)
and
Same federal government residuals
(v)
Canada Provincial debt securities
and
Canada Provincial strips
(vi)
Canada Provincial debt securities
and
Canada Provincial residuals
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 excess of the normal margin required on the strip coupon or residual position over the normal margin required on the debt security position.
-
Where a Dealer Member or a client has one of the following long (short) government debt security position and short (long) government strip coupon or government residual position pairings:
Long (short) position
Short (long) position
(i)
Canada debt securities
and
Canada Provincial strips
(ii)
Canada debt securities
and
Canada Provincial residuals
(iii)
Canada Provincial debt securities
and
Canada strips
(iv)
Canada Provincial debt securities
and
Canada residuals
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 total normal margin required for both positions.
-
Where a Dealer Member or a client has one of the following government strip coupon or government residual position pairings:
Long (short) position
Short (long) position
(i)
Canada strips
and
Canada strips
(ii)
Canada residuals
and
Canada residuals
(iii)
Canada strips
and
Canada residuals
(iv)
Canada Provincial strips
and
Canada Provincial strips
(v)
Canada Provincial residuals
and
Canada Provincial residuals
(vi)
Canada Provincial strips
and
Canada Provincial residuals
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 excess of the normal margin required on the long (or short) position over the normal margin required on the short (or long) position.
-
Where a Dealer Member or a client has one of the following government strip coupon or government residual position pairings:
Long (short) position
Short (long) position
(i)
Canada strips
and
Canada Provincial strips
(ii)
Canada strips
and
Canada Provincial residuals
(iii)
Canada residuals
and
Canada Provincial strips
(iv)
Canada residuals
and
Canada Provincial residuals
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 total normal margin required for both positions.
There is no history log for this rule.