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

22-0007
Type: Rules Notice> Technical
Rule connection:
IIROC Rules
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Contact:

Member Regulation Policy
Email:
Bruce Grossman
Senior Information Analyst, Member Regulation Policy
Telephone:
Email:
Mindy Sequeira
Senior Information Analyst, Member Regulation Policy
Telephone:
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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) [subsection 5130(9) of the IIROC Rules]1 . 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 December 31, 2021 and is effective from January 13, 2022 until replaced by a subsequent list. The margin rates have been calculated according to Dealer Member Rule clause 100.9(a)(x) [subsection 5360(3) of the IIROC Rules].

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.

  • 1See IIROC Notice 21-0190 for more information on the IIROC Rules.