5771. Long index participation units – short qualifying basket of index securities

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

       

      Long position

       

      Short position

      (i)

      index participation units

      and

      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).

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

      1. 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,

      2. plus

      3. the calculated incremental basket margin rate for the qualifying basket of index securities, multiplied by the market value of the index participation units.

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    There is no history log for this rule.