4504. Marking to market

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    1. Unless otherwise agreed by the parties, a Dealer Member must periodically review its margins to ensure that they are still appropriate for the maturity dates.

    2. Unless otherwise agreed by the parties, a Dealer Member that wants to mark-to-market its counterparties must do so by 11:30 a.m.. The mark‑to‑market must be done on a net basis and not done by issue.

    3. If the parties cannot agree on a price, the current mid-market prices must be used to determine the mark‑to‑market price. A Dealer Member must use the composite prices on an inter-dealer broker’s screen to determine mid-market price.

    4. A Dealer Member must maintain margin through margin calls and not through substitutions.

    5. Cash and collateral considerations:

      1. unless the parties agree otherwise, all dealer‑to-dealer margin calls must be met with the transfer of cash or collateral,

      2. if a Dealer Member chooses to meet the margin call with cash, the cash must not be used to change the economic nature of the trade. The cash will bear interest at the rate agreed between the parties,

      3. if a Dealer Member chooses to meet a margin call using collateral, the collateral must have characteristics similar to or better than the security being repurchased or resold, be reasonably acceptable to the other party and be applied on a reasonable basis, and

      4. a Dealer Member may deliver a maximum of one piece of collateral per million dollars.

    6. A Dealer Member that wishes to substitute previously margined collateral must do so by 11:30 a.m.

    There is no history log for this rule.