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 subsection 5130(9) of the IIROC Rules. 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 section 5360. Individual positions of index options are to be margined according to section 5720 and section 5721.

Offset positions

Offset positions involving index participation units, qualifying basket of index securities, index options, and index futures can be margined according to IIROC 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; (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

Release date ​Floating and tracking error margin rates ​Effective date
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​​

 

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