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

This list is published when a floating or tracking error margin rate change occurs above a minimum floor margin rate required under subsection 5360(2) of the IDPC Rules. 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.

Individual positions

Individual positions (i.e. non-offset positions) of index participation units (IPUs, also known as exchange traded funds or ETFs) and qualifying baskets of index securities for customer and Investment Dealer Member inventory positions are margined according to IDPC Rule section 5360. Individual positions of index options are margined according to IDPC Rule sections 5720 and 5721.

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

Offset positions

Offset positions involving index participation units, qualifying basket of index securities, index options, and index futures can be margined according to IDPC Rule 5700.

Ineligible ETFs

Non-traditional index tracking ETFs are not eligible for the floating margin rate methodology, such as the following: (1) leveraged and inverse ETFs, whose performance may be based upon the performance of a qualifying index; (2) ETFs that do not hold the underlying securities in substantially the same proportion as those securities are reflected in the index; (3) ETFs that use any active management strategy; and (4) ETFs that are in a different currency from the underlying securities.

Other U.S. index products

For U.S. index products that are not on the list and have U.S. OCC index options based on a security or index that qualifies as a U.S. “Broad index stock group” as per FINRA Rule 4210(f)(2)(A)(vii), the floating margin rate is 15.00%. The minimum tracking error margin rate for these index products is 3.00%. The “Ineligible ETFs” criteria detailed above also apply to “Other U.S. index products”.

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

Contact information

Member Regulation Policy
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