This list is published monthly and provides the margin rates for Canadian and U.S. index products whose index qualifies under the definition of an “index” in Dealer Member Rule 100.9(a)(xii). By qualifying as an index, these products can use the floating margin rate methodology for margining purposes.
Individual positions (i.e. non-offset positions) of index participation units (also known as exchange traded funds or ETFs) and qualifying baskets of index securities for customer and Dealer Member inventory positions must be margined according to Dealer Member Rule 100.2(f)(vii). Individual positions of index options are to be margined according to Dealer Member Rules 100.9 and 100.10 accordingly.
Offset positions involving index participation units, qualifying basket of index securities, index options, and index futures can be margined according to Dealer Member Rules 100.9 and 100.10 accordingly.
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; (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 2.50%.
List of floating and tracking error margin rates for qualifying Canadian and U.S. index products