OFFSETS INVOLVING CAPITAL SHARES

5655. Offset involving long capital share and short call option contract positions

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    1. Where a Dealer Member or a client holds a long capital share position and a short call option contract position expiring on or before the redemption date of the capital shares and equivalent quantities of both positions are held, the two positions may be offset and the minimum margin required for both positions may be computed as the sum of:

      1. lesser of:

        1. the normal margin required on the capital share position less the market value of the call option contract position, provided that the net amount may not be less than zero,

        2. and

        3. any excess of the market value of the underlying common shares over the aggregate exercise value of the call option contract position,

      2. and

      3. the capital share conversion loss, if any,

      4. and

      5. if the capital shares cannot be delivered to the split share company for retraction directly into the underlying security at the holder’s option, 20% of the normal margin required on the underlying common shares.

    5656. - 5659.  Reserved. 

    There is no history log for this rule.

    There is no history log for this rule.