OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5618. Other offsets involving government debt securities and Government of Canada notional bond futures contracts

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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 of Canada notional bond futures contract position pairings:

       

      Long (short) position

       

      Short (long) position

      (i)

      Canada debt securities in different maturity band

      and

      Government of Canada notional bond futures contract

      (ii)

      Canada Provincial debt securities in same or different maturity band

      and

      Government of Canada notional bond futures contract

      (iii)

      highly rated Canada Municipal debt securities in same maturity band

      and

      Government of Canada notional bond futures contract

      and the positions have the same currency denomination and market value, 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.

    2. In subsection 5618(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.

    5619.  Reserved.
     

    There is no history log for this rule.

    There is no history log for this rule.