List of floating and tracking error margin rates for qualifying Canadian and U.S. index products
Amendments effective August 8, 2023
Notice 22-0063 and Rules Bulletin 23-0072 detail the amendments to the Investment Dealer and Partially Consolidated Rules (IDPC Rules) and to IDPC Form 1 regarding the floating index margin rate methodology (Amendments). The Amendments are effective on August 8, 2023. The Amendments set the following floor margin rates, codified in IDPC Rule subsection 5360(2), that apply starting with this list:
Floor margin rates
|Qualifying index, individual and offset strategies
Broad based index as defined in subsection 5130(9)
Sector index as defined in subsection 5130(9)
|Floor rate percentage to be used in determining margin rate for unhedged positions in index participation units and qualifying basket of index securities
|Floor rate percentage to be used in determining tracking error margin rate for qualifying offset strategies involving index products
As part of the implementation, we have also:
- updated the floating margin rate list webpage to reflect the Amendments,
- discontinued regular margin rate-setting for unhedged U.S. index futures contracts, and
- discontinued regular monthly floating margin rate list publications.
Dealer Members should note that for “Other U.S. index products”, as described on the webpage, we have increased the minimum tracking error margin rate to 3.00%.
Going forward, this list will be published when a floating or tracking error margin rate change occurs above a minimum floor margin rate required under IDPC Rule subsection 5360(2). This includes instances where margin rates are reduced back to their floor margin rates.
The list provides the margin rates for Canadian and U.S. index products on qualifying indices that meet the minimum requirements of an “index” in IDPC Rule subsection 5130(9). A qualifying index may be either a broad based index or a sector index.
Individual positions in and offsets involving Canadian and U.S. index products on qualifying indices can use the floating margin rate methodology for margining purposes. The list includes the ticker symbols of the eligible IPUs for each qualifying index.
Floating and tracking error margin update:
The list is prepared using data available up to the period ending July 31, 2023 and will be effective on August 8, 2023 until replaced by a subsequent list. The margin rates have been calculated according to IDPC Rule section 5360.
The list of floating and tracking error margin rates for qualifying Canadian and U.S. index products is available in Microsoft Excel format on the IIROC website, under Rules and Enforcement – IIROC Rules – Supporting Resources – Supporting Schedules. At a later date, the Supporting Schedules section of the IIROC website will be added to the website of Canadian Investment Regulatory Organization.
This list replaces the previous list provided in Rules Bulletin 23-0098, issued on July 12, 2023.