5903. Margin requirements for securities loan, repurchase agreements, and reverse repurchase agreements with term risk

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    1. Despite any margin requirement set out in Form 1 regarding a securities loan, repurchase agreement or reverse repurchase agreement, if the special conditions set out in the chart below are met, the minimum Dealer Member inventory margin requirement for unhedged agreement positions is as follows:

      Position

      Special conditions

      Margin required

      Unhedged position

      Securities loan, repurchase agreement, or reverse repurchase agreement

       

      • the obligation to repurchase, resell or terminate the loan is outstanding for more than five business days,
      • the date of repurchase, resale, or termination of a loan is decided at the time of entering into the transaction,
      • the amount of any compensation, price differential, fee, commission, or other financing charge to be paid in connection with the repurchase, resale, or loan is calculated according to a fixed rate, and
      • the Dealer Member must perform the calculations daily and make full provision for any principal and return of capital then payable, and for all accrued interest, dividends, or other distributions on securities used as collateral.

      The minimum Dealer Member inventory margin required for any unhedged term risk shall be determined by multiplying:

      1. the relevant margin rate for the security involved in the loan / agreement with a term to maturity that is equal to the remaining loan / agreement term, as set out in section 5210,
      2. by
      3. the loan / agreement market value.
    2. Despite any margin requirement set out in Form 1 regarding a securities loan, repurchase agreement or reverse repurchase agreement, if the special conditions set out in the chart below are met, the minimum Dealer Member inventory margin requirements for offsets involving agreement positions is as follows:

      Position

      Special conditions

      Margin required

      Offsetting positions

      Securities loan versus securities loan

      or

      Repurchase agreement versus reverse repurchase agreement

      • the date of repurchase, resale, or termination of a loan is less than one year away for each of the offsetting positions,
      • the offsetting positions are denominated in the same currency, and
      • the offsetting positions meet the special conditions set out in subsection 5903(1) for unhedged positions.

      The minimum Dealer Member inventory margin required for any residual offset term risk is the difference between the unhedged margin calculated for the two loan / agreement positions pursuant to subsection 5903(1)

      Securities loan versus securities loan

      or

      Repurchase agreement versus reverse repurchase agreement

      • the date of repurchase, resale, or termination of a loan is greater than or equal to one year away for each of the offsetting positions,
      • the offsetting positions are in the same maturity band for margin purposes and are denominated in the same currency, and
      • the offsetting positions meet the special conditions set out in subsection 5903(1) for unhedged positions.

      The minimum Dealer Member inventory margin required for any residual offset term risk shall be determined by multiplying:

      1. the relevant margin rate for the securities involved in the loans / agreements with terms to maturity that are equal to the remaining loan / agreement terms, as set out in section 5210,
      2. by
      3. the net market value of the two loans / agreements.

    5904. – 5999.  Reserved.

    6000. – 6999.  Reserved.

    There is no history log for this rule.

    There is no history log for this rule.