Where a Dealer Member inventory or client account contains the following combination:
index participation units
qualifying basket of index securities of the same index
and equivalent quantities of each position in the combination are held, the minimum margin is calculated in accordance with subsection 5771(2).
The minimum margin required shall be the sum of:
the published tracking error margin rate, unless the long index participation units position is of size sufficient to be converted into a basket of index securities or a multiple thereof,
the calculated incremental basket margin rate for the qualifying basket of index securities, multiplied by the market value of the index participation units.