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

23-0002
Type: Rules Bulletin >
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This list is published monthly and provides the margin rates for Canadian and U.S. index products whose index qualifies as an “index” in subsection 5130(9) of the Investment Dealer and Partially Consolidated Rules (IDPC Rules). The IDPC Rules replaced the IIROC Rules on January 1, 2023. By qualifying as an index, these products can use the floating margin rate methodology for margining purposes.

The list is prepared using data available up to the period ending December 31, 2022 and will be effective on January 13, 2023 until replaced by a subsequent list. The margin rates have been calculated according to subsection 5360(3) of the IDPC Rules.

The list includes the ticker symbols of the eligible IPUs for each qualifying index.

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 New Self-Regulatory Organization of Canada, a consolidation of IIROC and the MFDA.

23-0002
Type: Rules Bulletin >
Technical
Distribute internally to
Credit
Internal Audit
Legal and Compliance
Operations
Regulatory Accounting
Retail
Senior Management
Trading Desk
Rulebook connection
IDPC Rules
Division
Investment Dealer

Contact

Other Notices associated with this Enforcement Proceeding: