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

21-0160
Type: Rules Notice> Technical
Rule connection:
Legacy DMR Rules
Distribute internally to:
Credit
Internal Audit
Legal and Compliance
Operations
Regulatory Accounting
Retail
Senior Management
Trading Desk

Contact:

Bruce Grossman
Senior Information Analyst, Member Regulation Policy
Telephone:
Email:
Mindy Sequeira
Senior Information Analyst, Member Regulation Policy
Telephone:
Email:

This list is published monthly and provides the margin rates for Canadian and U.S. index products whose index qualifies as an “index” in Dealer Member Rule clause 100.9(a)(xii). By qualifying as an index, these products can use the floating margin rate methodology for margining purposes.

The list is prepared using data available up to the period ending August 31, 2021 and is effective from September 14, 2021 until replaced by a subsequent list. The margin rates have been calculated according to Dealer Member Rule clause 100.9(a)(x).

The list of floating and tracking error margin rates for qualifying Canadian and U.S. index products is available in Microsoft Excel format on the IIROC website, under Rules and Enforcement – Dealer Member Rules – Supporting Schedules.