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Series 5000: Dealer Member Margin Rules

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5100: MARGIN REQUIREMENTS - APPLICATION AND DEFINITIONS
5101. Introduction
5110. Margin requirements - purposes
5111. Margin requirements - general application
5112. Application of margin requirements – Dealer Member inventory positions
5113. Application of margin requirements - client account positions
5114. Client securities that are collateral for a margin debt
5115. Dealer Member’s rights in securities of indebted clients
5116. Dealer Member may buy or sell client securities
5117. Dealer Member’s right to recover from indebted client
5120. Margin requirements – when a rate is not specified
5130. Definitions
5200: MARGIN REQUIREMENTS FOR DEBT SECURITIES AND MORTGAGES
5201. Introduction

GOVERNMENT DEBT SECURITIES

5210. Government issued or guaranteed bonds, debentures, treasury bills, notes and certain other non-commercial securities not in default
5211. Government residual debt and stripped coupons not in default
5212. Government floating rate debt obligations
5213. Government mortgage-backed securities
5214. Other non-commercial issuers not qualifying under sections 5210 through 5212

CORPORATE DEBT SECURITIES

5220. Commercial and corporate bonds, debentures, notes and other securities not in default
5221. Convertible commercial and corporate bonds, debentures, notes and other securities not in default
5222. Bank paper not in default
5223. Commercial residual debt and stripped coupons not in default
5224. Convertible commercial residual debt not in default
5225. Commercial and corporate floating rate debt obligations not in default
5226. Commercial and corporate income bonds not in default
5227. Commercial and corporate mortgage-backed securities

DEBT SECURITIES IN DEFAULT

5230. Debt securities in default

DEBT MARGIN SURCHARGE

5240. Circumstances under which debt margin surcharge is imposed
5241. Determining debt margin surcharge

MORTGAGES

5250. Mortgages
5300: MARGIN REQUIREMENTS FOR EQUITY SECURITIES AND INDEX PRODUCTS
5301. Introduction

EQUITY SECURITIES

5310. Determining the basic margin requirement
5311. Canada and United States equity securities eligible for margin
5312. Foreign listed equity securities eligible for margin
5313. Government guaranteed equity securities
5314. Floating rate preferred shares
5315. Other equity securities

INSTALLMENT RECEIPTS

5320. Installment receipts

CONVERTIBLE AND EXCHANGEABLE EQUITIES

5330. Convertible and exchangeable equities

CONTROL BLOCKS

5340. Control blocks

RIGHTS AND WARRANTS

5350. Canada and United States rights and warrants eligible for margin

INDEX PRODUCTS

5360. Index participation units and qualifying baskets of index securities
5370. Securities held in a Trader’s account
5400: MARGIN REQUIREMENTS FOR OTHER INVESTMENT PRODUCTS
5401. Introduction

SECURITIES SUBJECT TO REDEMPTION CALL OR OFFER

5410. Securities subject to redemption call or offer

UNITS

5420. Units

PRECIOUS METAL CERTIFICATES AND BULLION

5430. PRECIOUS METAL CERTIFICATES AND BULLION

INTEREST RATE AND TOTAL PERFORMANCE SWAPS

5440. Interest rate swaps
5441. Total performance swaps
5442. Swap counterparty margin requirements

MUTUAL FUNDS

5450. Margin requirements for mutual fund positions

FOREIGN EXCHANGE POSITIONS

5460. General margin requirements for foreign exchange positions
5461. Foreign exchange currency group criteria and monitoring
5462. Spot risk margin rate
5463. Spot risk margin requirement
5464. Term risk margin requirement
5465. Maximum security margin requirement
5466. Foreign exchange position offsets for Dealer Members
5467. Alternative calculation approach for Dealer Member foreign exchange positions
5468. Client account margin requirements
5469. Foreign exchange concentration charge
5500: MARGIN REQUIREMENTS FOR UNDERWRITING COMMITMENTS AND WHEN ISSUED TRADING
5501. Introduction

UNDERWRITING COMMITMENT AMOUNT

5510. Underwriting commitment amount

MARGIN REQUIREMENTS FOR UNDERWRITING COMMITMENTS

5520. Margin requirements for underwriting commitments where a new issue letter has not been obtained
5521. Margin requirements for underwriting commitments where a new issue letter has been obtained
5522. Margin requirements for underwriting commitments where expressions of interest from exempt purchasers have been affirmed
5523. Alternative approach to margining of private placements of restricted equity securities during the distribution period
5524. Margin requirements for a standby commitment to purchase securities under a rights offering

UNDERWRITING RELATED AGREEMENTS

5530. New issue letter

INDIVIDUAL AND OVERALL UNDERWRITING CONCENTRATION CHARGES

5540. Individual underwriting concentration charge
5541. Overall underwriting concentration charge

SPECIFIC OFFSET STRATEGIES INVOLVING COMMITMENTS TO PURCHASE

5550. Long qualifying basket of index securities – Short index participation units – Commitment to purchase index participation units
5551. Long qualifying basket of index securities – Short index participation unit call options – Commitment to purchase index participation units
5552. Long qualifying basket of index securities – Long index participation unit put options – Commitment to purchase index participation units

MARGIN REQUIREMENTS FOR WHEN ISSUED TRADING POSITIONS

5560. Margin for short positions
5561. Margin for hedged positions
5562. Margin for long positions
5600: MARGIN REQUIREMENTS FOR OFFSET STRATEGIES INVOLVING DEBT AND EQUITY SECURITIES AND RELATED INSTRUMENTS
5601. Introduction

DEALER MEMBER INVENTORY AND CLIENT ACCOUNT OFFSET STRATEGIES

OFFSETS INVOLVING GOVERNMENT DEBT SECURITIES AND RELATED INSTRUMENTS

5610. Summary reference tables
5611. Government debt securities of same issuer and both maturing within one year
5612. Government debt securities of same issuer with same maturity band and both maturing in greater than or equal to one year
5613. Government debt securities with different maturity bands
5614. Government debt securities of different issuers with same maturity band
5615. Offsets involving government debt securities and strip coupons or residuals
5616. Offsets involving government debt securities and government guaranteed mortgage-backed securities
5617. Offsets involving government debt securities and Government of Canada notional bond futures contracts with same underlying issuer and same maturity bands
5618. Other offsets involving government debt securities and Government of Canada notional bond futures contracts

OFFSETS INVOLVING COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5620. Summary reference tables
5621. Commercial and corporate debt securities of same issuer with same maturity band
5622. Offsets involving Canadian chartered bank acceptances and Canadian bankers acceptance futures contracts with same maturity bands
5623. Offsets involving commercial and corporate debt securities and strip coupons or residuals
5624. Offsets involving commercial and corporate debt securities and Government of Canada notional bond futures contracts

OFFSETS INVOLVING GOVERNMENT AND COMMERCIAL AND CORPORATE DEBT SECURITIES AND RELATED INSTRUMENTS

5630. Summary reference table
5631. Government and commercial corporate debt securities with same maturity band

OFFSETS INVOLVING CONVERTIBLE SECURITIES

5640. Summary reference table
5641. Offset where convertible security is held long and is currently convertible
5642. Offset where convertible security is held long and is not currently convertible
5643. Offset where convertible security is held short
5644. Offset relating to a pending amalgamation, acquisition, spin-off or other securities related reorganization transaction

OFFSETS INVOLVING CAPITAL SHARES

5650. Summary reference tables
5651. Offset involving long capital share and short underlying common share positions
5652. Offset involving long capital share, long split share preferred share and short underlying common share positions
5653. Offset involving short capital share and long underlying common share positions
5654. Offset involving short capital share, short split share preferred share and long underlying common share positions
5655. Offset involving long capital share and short call option contract positions

OFFSETS INVOLVING WARRANTS, RIGHTS, INSTALLMENT RECEIPTS AND OTHER EXERCISABLE SECURITIES

5660. Summary reference tables
5661. Offset where exercisable security is held long and is currently exercisable
5662. Offset where exercisable security is held long and is not currently exercisable
5663. Offset where exercisable security is held short

OFFSETS ONLY AVAILABLE FOR DEALER MEMBER INVENTORY POSITIONS

DEBT SECURITIES

5670. Offsets involving callable, extendible and retractable debt securities
5671. Offsets involving Canadian government debt or Canadian listed equity securities and futures and forward contracts

SWAP POSITIONS

5680. Offset involving two interest rate swaps
5681. Offsets involving interest rate swaps and federal government debt securities
5682. Offsets involving total performance swaps and underlying securities
5700: MARGIN REQUIREMENTS FOR OFFSET STRATEGIES INVOLVING DERIVATIVE PRODUCTS
5701. Introduction

GENERAL REQUIREMENTS AND SUMMARY REFERENCE TABLES

5710. Agreement and account requirements
5711. Requirement to calculate and obtain margin from clients
5712. Requirements for option offset strategies
5713. Imposition of special margin requirements
5714. Treatment of option positions issued by different clearing corporations
5715. Summary reference tables of common strategies

EXCHANGE-TRADED OPTIONS - UNHEDGED OPTION POSITIONS

5720. Long option positions
5721. Short option positions

EXCHANGE-TRADED OPTIONS - HEDGED OPTION POSITIONS

5725. Hedged option positions
5730. Call option spreads and put option spreads
5731. Short call option – short put option spread
5732. Long call option – long put option spread
5733. Long call option – short call option – long put option
5734. Long warrant – short call option
5735. Box spread
5736. Long butterfly spread
5737. Short butterfly spread
5738. Long condor spread
5739. Short iron butterfly spread
5740. Short iron condor spread

EXCHANGE-TRADED OPTIONS - SECURITY AND OPTION COMBINATIONS AND CONVERSIONS

5750. Long underlying interest or convertible security – short call option combination
5751. Long underlying interest – long put option combination
5752. Short underlying interest – long call option combination
5753. Short underlying interest – short put option combination
5754. Conversion or long tripo combination
5755. Reconversion or short tripo combination

EXCHANGE-TRADED OPTIONS - FUTURES AND OPTIONS COMBINATIONS AND CONVERSIONS

5760. Long index futures contract – short call option combination
5761. Long futures contracts – long put option combination
5762. Short futures contracts – long call option combination
5763. Short futures contracts – short put option combination
5764. Futures conversion or long tripo combination
5765. Reconversion or short tripo combination

EXCHANGE-TRADED OPTIONS - BASKET, PARTICIPATION UNIT AND FUTURES COMBINATIONS

5770. Long qualifying basket of index securities – short index participation units
5771. Long index participation units – short qualifying basket of index securities
5772. Index futures contracts – qualifying baskets of index securities or index participation units

EXCHANGE-TRADED OPTIONS - CROSS INDEX OFFSETS AND THE OPTIONAL USE OF THE STANDARD PORTFOLIO ANALYSIS METHODOLOGY

5775. Cross index offset combinations involving index products
5776. Optional use of the Standard Portfolio Analysis methodology

OVER-THE-COUNTER OPTIONS

5780. Long option positions
5781. Short option positions
5782. Hedged option positions
5783. Option spreads and combinations
5784. Confirmation, delivery and exercise

FUTURES CONTRACTS AND FUTURES CONTRACT OPTIONS

5790. Minimum margin requirements
5800: ACCOUNT RELATED AGREEMENTS
5801. Introduction
5810. IIROC standard agreements
5820. General account guarantee requirements
5821. Requirements for account guarantees by shareholders, Registered Representatives or employees
5822. Prohibited account guarantee arrangements
5823. Exception for immediate family
5824. Margin relief for guarantee agreements
5825. Account guarantee agreement minimum terms
5830. Hedge agreements
5840. Cash and securities loan agreements
5850. Repurchase agreements and reverse repurchase agreements
5900: AGREEMENT RELATED MARGIN REQUIREMENTS
5901. Introduction
5902. Definitions
5903. Margin requirements for securities loan, repurchase agreements, and reverse repurchase agreements with term risk