OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5615. Offsets involving government debt securities and strip coupons or residuals

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    1. 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.

    2. 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.

    3. 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.

    4. 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.

    There is no history log for this rule.