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Where a Dealer Member holds a position in callable, extendible or retractable debt securities they may elect to use a different maturity date for reduced margin offset purposes than the original maturity date of the security if the applicable conditions in the chart below are met:
Security
Condition
Maturity date election
- Callable debt security
Market value of security at or below 101% of call value
Original maturity date
Market value of security greater than 101% of the call value First business day after expiry date of call protection period - Extendible debt security
Extension election period has not expired and security is trading at or below the:
extension factor x current principal amount
Original maturity date
Extension election period has not expired and security is trading above the:
extension factor x current principal amount
Extension maturity date Extension election period has expired Original maturity date - Retractable debt security
Retraction election period has not expired and security is trading at or above the:
retraction factor x current principal amount
Original maturity date
Retraction election period has not expired and security is trading below the:
retraction factor x current principal amount
Retraction maturity date Retraction election period has expired Original maturity date
There is no history log for this rule.