SWAP POSITIONS

5681. Offsets involving interest rate swaps and federal government debt securities

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    1. Offset involving fixed interest rate swap component and federal government debt securities - 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 interest rate amounts calculated with reference to a notional amount,

      2. and

      3. holds a long (or short) position in Canada debt securities, United States debt securities, or any other debt securities described in category (i) of subsection 5210(1) with a principal amount equal to and denominated in the same currency as the notional amount of the interest rate swap and with a term to maturity that is within the same maturity band for margin purposes as the interest rate swap,

      4. the two positions in clauses 5681(1)(i) and 5681(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. Any margin requirement calculated for the separate floating interest rate receipt (or payment) component position will continue to be required unless that position separately qualifies for the offset set out in subsection 5681(2).

    2. Offset involving floating interest rate swap component and federal government debt securities - 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 floating interest rate amounts calculated with reference to a notional amount,

      2. and

      3. holds a long (or short) position in Canada debt securities, United States debt securities, or any other debt security described in category (i) of subsection 5210(1), maturing within one year with a principal amount equal to and denominated in the same currency as the notional amount of the swap,

      4. the two positions in clauses 5681(2)(i) and 5681(2)(ii) may be offset and the minimum margin required for both positions may be computed as the net of the normal margin required in respect of the positions. Any margin requirement calculated for the separate fixed interest rate receipt (or payment) component position will continue to be required unless that position qualifies for the offset set out in subsection 5681(1).

    There is no history log for this rule.

    There is no history log for this rule.