SWAP POSITIONS

5680. Offset involving two interest rate swaps

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    1. Where a Dealer Member:

      1. is a party to an interest rate swap requiring it to pay (or entitling it to receive) Canadian dollar or United States dollar fixed (or floating) interest rate amounts calculated with reference to a notional amount,

      2. and

      3. is a party to another offsetting interest rate swap entitling it to receive (or requiring it to pay) a fixed (or floating) interest rate amount calculated with reference to the same notional amount, denominated in the same currency and within the same maturity band for margin purposes as the interest rate swap referred to in clause 5680(1)(i),

      4. the two positions in clauses 5680(1)(i) and 5680(1)(ii) may be offset and the minimum margin required for both positions may be computed as the net of the normal margin required for each position, provided that the normal margin required on the fixed interest rate payment (or receipt) component position may only be offset against the normal margin required on the fixed interest rate receipt (or payment) component position, and the normal margin required on the floating interest rate payment (or receipt) component position may only be offset against the normal margin required on the floating interest rate receipt (or payment) component position.

    There is no history log for this rule.

    There is no history log for this rule.