Where a Dealer Member or a client has the following pairing:
Long (short) position
Short (long) position
highly rated chartered bank acceptances
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.
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As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5622(2) will be repealed and replaced with the following: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.