OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5616. Offsets involving government debt securities and government guaranteed mortgage-backed securities 

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    1. Subject to subsection 5616(2), where a Dealer Member or a client has the following pairing:

       

      Long (short) position

       

      Short (long) position

      (i)

      Canada debt securities

      and

      Canada guaranteed mortgage-backed 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 excess of the normal margin required on the mortgage-backed security position over the normal margin required on the debt security position.

    2. Where:

      1. the market value of the mortgage‑backed securities position equals or exceeds the remaining principal amount of such position, and 

      2. the mortgages underlying the mortgage‑backed securities position are subject to being repaid with or without penalty in full at the option of the mortgagee prior to maturity, 

      3. the two positions may be offset and the minimum margin required for both positions may be computed as the greater of the normal margin required on the mortgage‑backed security position and the normal margin required on the debt security position.

    There is no history log for this rule.

    There is no history log for this rule.