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

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    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.

    There is no history log for this rule.

    There is no history log for this rule.