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5770. Long qualifying basket of index securities – short index participation units

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Series 5000: Dealer Member Margin Rules
    Rule

    1. Where a Dealer Member inventory or client account contains the following combination:

       

      Long position

       

      Short position

      (i)

      qualifying basket of index securities

      and

      index participation units based on the same index

      and equivalent quantities of each position in the combination are held, the minimum margin is calculated in accordance with subsection 5770(2).

    2. The minimum margin required shall be the sum of:

      1. the published tracking error margin rate,

      2. plus

      3. the calculated incremental basket margin rate for the qualifying basket of index securities,

      4. multiplied by the market value of the index participation units.

    Guidance/Notices

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    History

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    Disciplinary History
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      Jump to another section in Rule 5700
      5701. Introduction
      5710. Agreement and account requirements
      5711. Requirement to calculate and obtain margin from clients
      5712. Requirements for option offset strategies
      5713. Imposition of special margin requirements
      5714. Treatment of option positions issued by different clearing corporations
      5715. Summary reference tables of common strategies
      5720. Long option positions
      5721. Short option positions
      5725. Hedged option positions 
      5730. Call option spreads and put option spreads
      5731. Short call option – short put option spread
      5732. Long call option – long put option spread
      5733. Long call option – short call option – long put option
      5734. Long warrant – short call option
      5735. Box spread
      5736. Long butterfly spread
      5737. Short butterfly spread
      5738. Long condor spread
      5739. Short iron butterfly spread
      5740. Short iron condor spread
      5750. Long underlying interest or convertible security – short call option combination
      5751. Long underlying interest – long put option combination
      5752. Short underlying interest – long call option combination
      5753. Short underlying interest – short put option combination
      5754. Conversion or long tripo combination
      5755. Reconversion or short tripo combination
      5760. Long index futures contract – short call option combination
      5761. Long futures contracts – long put option combination
      5762. Short futures contracts – long call option combination
      5763. Short futures contracts – short put option combination
      5764. Futures conversion or long tripo combination
      5765. Reconversion or short tripo combination
      5771. Long index participation units – short qualifying basket of index securities
      5772. Index futures contracts – qualifying baskets of index securities or index participation units
      5775. Cross index offset combinations involving index products
      5776. Optional use of the Standard Portfolio Analysis methodology
      5780. Long option positions 
      5781. Short option positions
      5782. Hedged option positions
      5783. Option spreads and combinations
      5784. Confirmation, delivery and exercise
      5790. Minimum margin requirements 

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