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The following reference table summarizes the reduced margin offset strategies available among commercial and corporate debt securities:
Short commercial and corporate debt securities
Short Canadian chartered bank acceptances
Short Canadian bankers acceptance futures contracts
Long commercial and corporate debt securities
same maturity band
- offset available for securities of same issuer
- 5621(1)(i)
same maturity band
- no offset available
same maturity band
- no offset available
different maturity bands
- no offset available
different maturity bands
- no offset available
different maturity bands
- no offset available
Long Canadian chartered bank acceptances
same maturity band
- no offset available
same maturity band
- offset available for same security only
same maturity band
- 5622(1)(i)
different maturity bands
- no offset available
different maturity bands
- no offset available
different maturity bands
- no offset available
Long Canadian bankers acceptance futures contracts
same maturity band
- no offset available
same maturity band
- 5622(1)(i)
same maturity band -
- same contract - margin computed on the net long or net short contract position
- different contracts - refer to requirements on exchange on which the contract trades
different maturity bands
- no offset available
different maturity bands
- no offset available
different maturity bands
- refer to requirements on exchange on which the contract trades
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The following reference table summarizes the reduced margin offset strategies available between commercial and corporate debt securities and strip and residual debt instruments:
Short commercial and corporate debt
Short commercial and corporate debt strips or residuals
Long commercial and corporate debt
Refer to table in subsection 5620(1)
same maturity band
- offset available where strip or residual is of the same issuer
- 5623(1)(i)
different maturity bands
- no offset available
Long commercial and corporate debt strips or residuals
same maturity band
- offset available where strip or residual is of the same issuer
- 5623(1)(i)
same maturity band
- offset available for long and short positions in same strip or same residual
different maturity bands
- no offset available
different maturity bands
- no offset available
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The following reference table summarizes the reduced margin offset strategies available between commercial and corporate debt securities and government debt futures contracts:
Short commercial and corporate debt
Short Canada bond futures
Long commercial and corporate debt
Refer to table in subsection 5620(1)
same maturity band
- 5624(1)(i)
different maturity bands
- no offset available
Long Canada bond futures
same maturity band
- 5624(1)(i)
Refer to table in subsection 5610(5)
different maturity bands
- no offset available
There is no history log for this rule.