This list is published monthly and provides the margin rates for Canadian and U.S. index products whose index qualifies as 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.
The list is prepared using data available up to the period ending May 31, 2022 and will be effective on June 14, 2022 until replaced by a subsequent list. The margin rates have been calculated according to subsection 5360(3).
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 – IIROC Rules – Supporting Resources – Supporting Schedules.