OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5624. Offsets involving commercial and corporate debt securities and Government of Canada notional bond futures contracts

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    1. Where a Dealer Member or a client has one of the following long (short) commercial and corporate debt security position and short (long) Government of Canada notional bond futures contract position pairings:

       

      Long (short) position

       

      Short (long) position

      (i)

      highly rated non‑convertible commercial and corporate debt securities

      and

      Government of Canada notional bond 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 as the greater of the margins normally required on the long (or short) and the short (or long) positions.

    2. In subsection 5624(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.

    5625. - 5629.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.