DEBT SECURITIES

5670. Offsets involving callable, extendible and retractable debt securities

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    1. 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

      1. 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
      1. 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
      1. 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.

    There is no history log for this rule.