OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

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

Or jump to a Series:

    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) 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) “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.

    Notice 21-0028 - Amendments to Dealer Member Rules [IIROC Rules] and Form 1 regarding the securities concentration test and designated rating organizations

    There is no history log for this rule.