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
highly rated non‑convertible commercial and corporate debt securities
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.
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.