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

      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5618(1) will be repealed and replaced with the following:
      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) Canada Municipal debt securities with a high issuer credit rating 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.

      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5618(2) will be repealed and replaced with the following:
      In subsection 5618(1) “Canada Municipal debt securities with a high issuer credit rating” are debt securities issued or guaranteed by a Canadian municipal government with a long-term issuer credit rating of “A” or higher by a designated rating organization.

    5619.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.