OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5617. Offsets involving government debt securities and Government of Canada notional bond futures contracts with same underlying issuer and same maturity bands

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    1. Where a Dealer Member or a client has the following pairing:

       

      Long (short) position

       

      Short (long) position

      (i)

      Canada debt securities

      and

      Government of Canada notional bond futures contract

      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 with respect to the net long or net short position only.

    There is no history log for this rule.

    There is no history log for this rule.