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

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 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 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.
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; (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
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Release date |
Floating and tracking error margin rates |
Effective date |
April 9, 2021
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IIROC Notice 21-0073
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April 14, 2021 |
March 9, 2021
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IIROC Notice 21-0049
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March 12, 2021 |
February 8, 2021
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IIROC Notice 21-0024
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February 11, 2021 |
January 11, 2021
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IIROC Notice 21-0005
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January 14, 2021 |
December 7, 2020
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IIROC Notice 20-0260
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December 10, 2020 |
November 5, 2020
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IIROC Notice 20-0231
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November 10, 2020 |
October 6, 2020
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IIROC Notice 20-0205
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October 9, 2020 |
September 9, 2020
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IIROC Notice 20-0187
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September 14, 2020 |
August 11, 2020
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IIROC Notice 20-0171
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August 14, 2020 |
July 14, 2020
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IIROC Notice 20-0155
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July 17, 2020 |
June 12, 2020
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IIROC Notice 20-0122
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June 17, 2020
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May 11, 2020
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IIROC Notice 20-0096
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May 14, 2020
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April 16, 2020
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IIROC Notice 20-0080
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April 21, 2020
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March 12, 2020
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IIROC Notice 20-0045
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March 17, 2020 |
February 6, 2020
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IIROC Notice 20-0029
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February 11, 2020 |
January 13, 2020
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IIROC Notice 20-0008
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January 16, 2020 |
December 6, 2019
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IIROC Notice 19-0208
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December 11, 2019 |
November 12, 2019
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IIROC Notice 19-0192
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November 15, 2019 |
October 08, 2019
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IIROC Notice 19-0176
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October 11, 2019 |
September 12, 2019
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IIROC Notice 19-0163
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September 17, 2019 |
August 14, 2019
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IIROC Notice 19-0141
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August 19, 2019 |
July 9, 2019
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IIROC Notice 19-0116
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July 12, 2019 |
June 17, 2019
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IIROC Notice 19-0108
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June 20, 2019 |
May 8, 2019
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IIROC Notice 19-0085
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May 13, 2019 |
April 10, 2019
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IIROC Notice 19-0064
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April 15, 2019 |
March 8, 2019
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IIROC Notice 19-0043
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March 13, 2019 |
February 11, 2019
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IIROC Notice 19-0022
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February 14, 2019 |
January 11, 2019
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IIROC Notice 19-0007
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January 16, 2019 |
December 13, 2018
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Download in ZIP Format
IIROC Notice 18-0232
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December 18, 2018 |
November 9, 2018
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IIROC Notice 18-0205
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November 14, 2018 |
October 12, 2018
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IIROC Notice 18-0191
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October 17, 2018 |
September 13, 2018
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IIROC Notice 18-0178
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September 18, 2018 |
August 9, 2018
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IIROC Notice 18-0156
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August 14, 2018 |
July 9, 2018
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Download in ZIP Format
IIROC Notice 18-0131
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July 12, 2018 |
June 11, 2018
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Download in ZIP Format
IIROC Notice 18-0114
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June 14, 2018 |
May 7, 2018
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IIROC Notice 18-0098
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May 10, 2018 |
April 6, 2018
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Download in ZIP Format
IIROC Notice 18-0074
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April 11, 2018 |
March 12, 2018
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Download in ZIP Format
IIROC Notice 18-0057
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March 15, 2018 |
February 9, 2018
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Download in ZIP Format
IIROC Notice 18-0039
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February 14, 2018 |
January 10, 2018
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Download in ZIP Format
IIROC Notice 18-0010
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January 15, 2018 |
December 11, 2017
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Download in ZIP Format
IIROC Notice 17-0237
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December 14, 2017 |
November 8, 2017 |
Download in ZIP Format
IIROC Notice 17-0212
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November 13, 2017 |
October 11, 2017 |
Download in ZIP Format
IIROC Notice 17-0196
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October 16, 2017 |
September 7, 2017 |
Download in ZIP format
IIROC Notice 17-0181
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September 12, 2017 |
August 15, 2017 |
Download in ZIP format
IIROC Notice 17-0172
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August 18, 2017 |
Contact information
Member Regulation Policy [email protected]
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