Exemption from subsection 4803(6) of the IIROC Rules – Interest calculation for monthly pay instruments

Type: Rules Notice> Guidance Note
Rule connection:
Distribute internally to:
Regulatory Accounting
Trading Desk
Internal Audit
Corporate Finance


Member Regulation Policy

Executive Summary

Effective Date: December 31, 2021 

The accrued interest calculation in subsection 4803(6) of the IIROC Rules1 , which was illustrated in GN 4800-21-002, is intended for monthly pay instruments that compound interest monthly. 

However, instruments such as NHA mortgaged-backed securities (NHA MBS), compound interest semi-annually. Furthermore, the interest is due on the first day of the month, but is not paid to the investor until mid-month. Consequently, these instruments require a different accrued interest calculation and are exempt from the accrued interest calculation in subsection 4803(6); and therefore, should follow the calculation in Appendix 1. 

  • 1In this Guidance, all rule references are to the IIROC Rules unless otherwise specified. 
  1. Applicable Rules 

IIROC Rules this Guidance Note relates to: 

  • section 4803. 

  1. Previous Guidance Note  

This Guidance Note replaces MR0148 - Exemption from Regulation 800.48 – Interest Calculation for Monthly Pay Instruments. 

  1. Appendices  

Appendix 1 – Exempt from accrued interest calculation example 


An example to demonstrate the accrued interest calculation on the sale of NHA MBS, settling on April 30, 2002. 

Face Value 


Coupon rate 




Coupon compounding frequency 


Payment date 

15th of each month 

Accrued interest calculation (NHA MBS convention) 

= (face value x monthly coupon rate x (number of days from the first day of the settlement month to the settlement day)) / ((number of days in the settlement month)) 


= (100,000 x 0.473525% x (29))/((30)) 



Monthly coupon rate 

= ((1+(5.75%/2))(1/6) – 1) 


= 0.473525% 



Value date (settlement date) 


Number of days from the first day of the settlement month to the settlement day 




Number of days in the settlement month 


Accrued interest 


MFDA and IIROC have consolidated

As of January 1, 2023 the MFDA and IIROC have come together as New Self-Regulatory Organization of Canada (New SRO).

New SRO has assumed the regulatory responsibilities of the MFDA and IIROC.

We have set up an interim website for updates and information related to the New SRO including:

  • Executive Management
  • Governance
  • New SRO Rules
  • Member Application
  • Investor Office and the Investor Advisory Panel
  • Information concerning mutual fund dealers registered in Québec
  • Complaints
  • Careers

Enforcement proceedings, membership lists, continuing education, investor education resources and any other information not set out above continue to reside on www.mfda.ca and www.iiroc.ca.