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OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5620. Summary reference tables

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Series 5000: Dealer Member Margin Rules
    Rule

    1. 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

    2. 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

    3. 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
    Guidance/Notices
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      Jump to another section in Rule 5600
      5601. Introduction
      5610. Summary reference tables
      5611. Government debt securities of same issuer and both maturing within one year 
      5612. Government debt securities of same issuer with same maturity band and both maturing in greater than or equal to one year
      5613. Government debt securities with different maturity bands
      5614. Government debt securities of different issuers with same maturity band
      5615. Offsets involving government debt securities and strip coupons or residuals
      5616. Offsets involving government debt securities and government guaranteed mortgage-backed securities 
      5617. Offsets involving government debt securities and Government of Canada notional bond futures contracts with same underlying issuer and same maturity bands
      5618. Other offsets involving government debt securities and Government of Canada notional bond futures contracts
      5621. Commercial and corporate debt securities of same issuer with same maturity band
      5622. Offsets involving Canadian chartered bank acceptances and Canadian bankers acceptance futures contracts with same maturity bands
      5623. Offsets involving commercial and corporate debt securities and strip coupons or residuals
      5624. Offsets involving commercial and corporate debt securities and Government of Canada notional bond futures contracts
      5630. Summary reference table
      5631. Government and commercial corporate debt securities with same maturity band
      5640. Summary reference table
      5641. Offset where convertible security is held long and is currently convertible
      5642. Offset where convertible security is held long and is not currently convertible
      5643. Offset where convertible security is held short
      5644. Offset relating to a pending amalgamation, acquisition, spin-off or other securities related reorganization transaction
      5650. Summary reference tables
      5651. Offset involving long capital share and short underlying common share positions
      5652. Offset involving long capital share, long split share preferred share and short underlying common share positions
      5653. Offset involving short capital share and long underlying common share positions
      5654. Offset involving short capital share, short split share preferred share and long underlying common share positions
      5655. Offset involving long capital share and short call option contract positions
      5660. Summary reference tables
      5661. Offset where exercisable security is held long and is currently exercisable
      5662. Offset where exercisable security is held long and is not currently exercisable
      5663. Offset where exercisable security is held short
      5670. Offsets involving callable, extendible and retractable debt securities
      5671. Offsets involving Canadian government debt or Canadian listed equity securities and futures and forward contracts
      5680. Offset involving two interest rate swaps
      5681. Offsets involving interest rate swaps and federal government debt securities
      5682. Offsets involving total performance swaps and underlying securities

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