Where a Dealer Member inventory or client account contains the following combination:
qualifying basket of index securities
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).
The minimum margin required shall be the sum of:
the published tracking error margin rate,
the calculated incremental basket margin rate for the qualifying basket of index securities,
multiplied by the market value of the index participation units.