OFFSETS INVOLVING GOVERNMENT AND COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5631. Government and commercial corporate debt securities with same maturity band

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    1. Where a Dealer Member or a client has one of the following long (short) government and short (long) commercial and corporate debt security position pairings:

       

      Long (short) position

       

      Short (long) position

      (i)

      Canada debt securities

      and

      highly rated non-convertible commercial and corporate debt securities

      (ii)

      United States treasury debt securities

      and

      highly rated non-convertible commercial and corporate debt securities

      (iii)

      Canada Provincial debt securities

      and

      highly rated non-convertible commercial and corporate debt securities

      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 5631(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.

      1. As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5631(2) will be repealed and replaced with the following:
        In subsection 5631(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.

    5632. - 5639.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.