Foreign currency groups

This list is published from time to time and identifies the group that each foreign currency is in. For margin and capital purposes, IIROC groups foreign currencies into 4 groups based on quantitative and qualitative criteria, which are detailed in section 5461 of the IIROC Rules and summarized in the notes and instructions to Schedules 11 and 11A of Form 1.

Each group is assigned a base spot risk margin rate and a term risk margin rate. IIROC monitors the spot risk of each currency in groups 1, 2, and 3, and increases the spot risk margin rate of a currency when its volatility exceeds certain thresholds. This increase is communicated through the list of foreign exchange (FX) spot risk margin rates for Canadian and U.S. base currency accounts.

A Dealer Member is to use this list, sections 5460 to 5469, and the list of foreign exchange (FX) spot risk margin rates for Canadian and U.S. base currency accounts in margining unhedged foreign exchange customer and Dealer Member (inventory) positions and any other customer and Dealer Member transactions that result in an exposure to foreign exchange risk.

Foreign currency groups - Attachment (pdf)

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