OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5620. Summary reference tables

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    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

    There is no history log for this rule.

    There is no history log for this rule.