OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5622. Offsets involving Canadian chartered bank acceptances and Canadian bankers acceptance futures contracts with same maturity bands

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    1. Where a Dealer Member or a client has the following pairing:

       

      Long (short) position

       

      Short (long) position

      (i)

      highly rated chartered bank acceptances

      and

      Canadian banker acceptance futures contract

      and the positions have the same currency denomination and market value and are within the same maturity band, the two positions may be offset and the minimum margin required for both positions may be computed with respect to the net long or net short position only.

    2. In subsection 5622(1) highly rated chartered bank acceptances are bank acceptances 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      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5622(2) will be repealed and replaced with the following:
      In subsection 5622(1) “highly rated chartered bank acceptances” are bank acceptances currently rated “A” or higher by a designated rating organization.

    There is no history log for this rule.

    There is no history log for this rule.