List of floating and tracking error margin rates for qualifying Canadian and U.S. index products

Overview:

This list is 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(10). 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 updated list is prepared using data available up to the period ending April 30, 2025. and will be effective on May 12, 2025 until replaced by a subsequent list. The margin rates have been calculated according to IDPC Rule section 5360.

Microsoft Excel Format:

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 CIRO website, under Rules and Enforcement – Dealer Member Rules – Supporting Resources – Supporting Schedules.

Secure File Transfer Protocol (SFTP)

Dealer Members may also download the current list (Microsoft Excel format) via a SFTP connection to a CIRO server. Dealer Members that report debt transactions to CIRO will automatically have access to the current list in a folder entitled “FloatingIndexMargin” in the Reference Data directory on the server. Other Dealer Members that wish to download the list via SFTP will need to set up an account with CIRO.

This list replaces the previous list provided in Rules Bulletin 23-0115, issued on August 8, 2023.