5772. Index futures contracts – qualifying baskets of index securities or index participation units

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

       

      Long (short) futures position

       

      Short (long) position

      (i)

      index futures contracts

      and

      qualifying basket of index securities of the same index

      (ii)

      index futures contracts

      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 5772(2).

    2. Subject to additional margin requirements set out in subsection 5772(3), the minimum margin required shall be the published tracking error margin rate for the spread between the index futures contracts and the related index or the index futures contracts and the related index participation units, multiplied by the market value of the qualifying basket of index securities or the index participation units held.

    3. Where the combination involves a qualifying basket of index securities and the basket is imperfect, additional margin is required to be provided in the amount of the calculated incremental basket margin rate for the basket multiplied by the market value of the basket.

    5773. - 5774.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.