5775. Cross index offset combinations involving index products

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    1. Offsets involving products based on two different indices are permitted provided:

      1. both indices qualify as an index as defined in subsection 5130(9),

      2. there is significant performance correlation between the indices, and

      3. IIROC has made available a published tracking error margin rate for cross index offsets involving the two indices.

      4. Where offsets involving products based on two different indices are permitted the margin requirements set out in sections 5730 through 5772 may be used provided that any margin requirement calculated shall be no less than the published tracking error margin rate for cross index offsets involving the two indices.

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