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 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
Release date | Floating and tracking error margin rates | Effective date |
---|---|---|
August 8, 2023 | Download in Excel Format Notice 23-0115 | August 8, 2023 |
July 12, 2023 | Download in Excel Format Notice 23-0098 | July 17, 2023 |
June 9, 2023 | Download in Excel Format Notice 23-0077 | June 14, 2023 |
May 10, 2023 | Download in Excel Format Notice 23-0066 | May 15, 2023 |
April 11, 2023 | Download in Excel Format Notice 23-0048 | April 14, 2023 |
March 8, 2023 | Download in Excel Format Notice 23-0031 | March 13, 2023 |
February 8, 2023 | Download in Excel Format Notice 23-0016 | February 13, 2023 |
January 10, 2023 | Download in Excel Format Notice 23-0002 | January 13, 2023 |
December 9, 2022 | Download in Excel Format IIROC Notice 22-0196 | December 14, 2022 |
November 8, 2022 | Download in Excel Format IIROC Notice 22-0171 | November 11, 2022 |
October 11, 2022 | Download in Excel Format IIROC Notice 22-0157 | October 14, 2022 |
September 12, 2022 | Download in Excel Format IIROC Notice 22-0141 | September 15, 2022 |
August 11, 2022 | Download in Excel Format IIROC Notice 22-0126 | August 16, 2022 |
July 11, 2022 | Download in Excel Format IIROC Notice 22-0106 | July 14, 2022 |
June 9, 2022 | Download in Excel Format IIROC Notice 22-0089 | June 14, 2022 |
May 10, 2022 | Download in Excel Format IIROC Notice 22-0069 | May 13, 2022 |
April 11, 2022 | Download in Excel Format IIROC Notice 22-0052 | April 14, 2022 |
March 10, 2022 | Download in Excel Format IIROC Notice 22-0034 | March 15, 2022 |
February 9, 2022 | Download in Excel Format IIROC Notice 22-0023 | February 14, 2022 |
January 10, 2022 | Download in Excel Format IIROC Notice 22-0007 | January 13, 2022 |
December 8, 2021 | Download in Excel Format IIROC Notice 21-0231 | December 13, 2021 |
November 9, 2021 | Download in Excel Format IIROC Notice 21-0204 | November 12, 2021 |
October 15, 2021 | Download in Excel Format IIROC Notice 21-0191 | October 20, 2021 |
September 9, 2021 | Download in Excel Format IIROC Notice 21-0160 | September 14, 2021 |
August 4, 2021 | Download in Excel Format IIROC Notice 21-0141 | August 9, 2021 |
July 7, 2021 | Download in Excel Format IIROC Notice 21-0120 | July 12, 2021 |
June 8, 2021 | Download in Excel Format IIROC Notice 21-0108 | June 11, 2021 |
May 11, 2021 | Download in Excel Format IIROC Notice 21-0097 | May 14, 2021 |
April 9, 2021 | Download in Excel Format IIROC Notice 21-0073 | April 14, 2021 |
March 9, 2021 | Download in Excel Format IIROC Notice 21-0049 | March 12, 2021 |
February 8, 2021 | Download in Excel Format IIROC Notice 21-0024 | February 11, 2021 |
January 11, 2021 | Download in Excel Format IIROC Notice 21-0005 | January 14, 2021 |
December 7, 2020 | Download in Excel Format IIROC Notice 20-0260 | December 10, 2020 |
November 5, 2020 | Download in Excel Format IIROC Notice 20-0231 | November 10, 2020 |
October 6, 2020 | Download in Excel Format IIROC Notice 20-0205 | October 9, 2020 |
September 9, 2020 | Download in Excel Format IIROC Notice 20-0187 | September 14, 2020 |
August 11, 2020 | Download in Excel Format IIROC Notice 20-0171 | August 14, 2020 |
July 14, 2020 | Download in Excel Format IIROC Notice 20-0155 | July 17, 2020 |
June 12, 2020 | Download in Excel Format IIROC Notice 20-0122 | June 17, 2020 |
May 11, 2020 | Download in Excel Format IIROC Notice 20-0096 | May 14, 2020 |
April 16, 2020 | Download in Excel Format IIROC Notice 20-0080 | April 21, 2020 |
March 12, 2020 | Download in Excel Format IIROC Notice 20-0045 | March 17, 2020 |
February 6, 2020 | Download in Excel Format IIROC Notice 20-0029 | February 11, 2020 |
January 13, 2020 | Download in Excel Format IIROC Notice 20-0008 | January 16, 2020 |
December 6, 2019 | Download in Excel Format IIROC Notice 19-0208 | December 11, 2019 |
November 12, 2019 | Download in Excel Format IIROC Notice 19-0192 | November 15, 2019 |
October 08, 2019 | Download in Excel Format IIROC Notice 19-0176 | October 11, 2019 |
September 12, 2019 | Download in Excel Format IIROC Notice 19-0163 | September 17, 2019 |
August 14, 2019 | Download in Excel Format IIROC Notice 19-0141 | August 19, 2019 |
July 9, 2019 | Download in Excel Format IIROC Notice 19-0116 | July 12, 2019 |
June 17, 2019 | Download in Excel Format IIROC Notice 19-0108 | June 20, 2019 |
May 8, 2019 | Download in Excel Format IIROC Notice 19-0085 | May 13, 2019 |
April 10, 2019 | Download in Excel Format IIROC Notice 19-0064 | April 15, 2019 |
March 8, 2019 | Download in Excel Format IIROC Notice 19-0043 | March 13, 2019 |
February 11, 2019 | Download in Excel Format IIROC Notice 19-0022 | February 14, 2019 |
January 11, 2019 | Download in Excel Format IIROC Notice 19-0007 | January 16, 2019 |
December 13, 2018 | Download in Excel Format IIROC Notice 18-0232 | December 18, 2018 |
Contact information
Member Regulation Policy
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