OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5623. Offsets involving commercial and corporate debt securities and strip coupons or residuals

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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 non-convertible commercial and corporate debt securities

      and

      strips or residuals whose underlier is highly rated non-convertible commercial and corporate debt securities of the same issuer

      and the positions have the same currency denomination and market value and are within the same maturity band, the minimum margin required for both positions may be computed as the greater of the margins normally required on the long (or short) and the short (or long) positions, subject to a maximum margin rate requirement of 20%.

    2. In subsection 5623(1) highly rated non‑convertible commercial and corporate debt securities” are non‑convertible commercial and corporate debt securities 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      As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5623(2) will be repealed and replaced with the following:
      In subsection 5623(1) “highly rated non-convertible commercial and corporate debt securities” are non-convertible commercial and corporate debt securities 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.