5460. General margin requirements for foreign exchange positions

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    1. The minimum Dealer Member inventory margin and client account margin requirements for a particular foreign exchange position are the aggregate of the spot risk margin requirement and term risk margin requirement, calculated using one of the following groups of spot risk margin rates and term risk margin rates for the relevant foreign currency:

       

       

      Spot risk and term risk margin required as a percentage of market value of the foreign exchange position

      Currency Group

      1

      2

      3

      4

      Spot risk margin rate

      greater of:

      1. 1.00%
      2. and
      3. spot risk surcharge rate

      greater of:

      1. 3.00%
      2. and
      3. spot risk surcharge rate

      greater of:

      1. 10.00%
      2. and
      3. spot risk surcharge rate

      25.00%

      Term risk margin rate

      lesser of:

      1. 1.00% x foreign exchange position term to maturity,
      2. and
      3. 4.00%

      lesser of:

      1. 3.00% x foreign exchange position term to maturity,
      2. and
      3. 7.00%

      lesser of:

      1.  5.00% x foreign exchange position term to maturity,
      2. and
      3. 10.00%

      lesser of:

      1. 12.50% x foreign exchange position term to maturity,
      2. and
      3. 25.00%
    2. The foreign exchange currency group that a particular country currency qualifies for is determined based on the currency group criteria set out in subsection 5461(1).

    3. The spot risk margin surcharge rate that may be in effect from time to time for a particular country currency is determined using the approach set out in subsection 5462(2).

    4. Dealer Members are permitted at their option to margin certain inventory positions in accordance with section 5467 instead of the other applicable provisions within sections 5461 through 5466.

    5. References to conversion to Canadian dollars at the spot exchange rate are to the rate quoted by a recognized quote vendor for contracts with a term to maturity of one day.

    6. Monetary assets and liabilities are assets and liabilities, respectively, of a Dealer Member in respect of money and claims to money whether denominated in foreign or domestic currency, which are fixed by contract or otherwise.

    7. Inventory long or short currency futures contracts listed on an applicable exchange which are included in the unhedged foreign exchange calculations hereunder are not required to be margined pursuant to section 5790.

    8. Dealer Members are permitted at their option to exclude non-allowable monetary assets from monetary assets for the purpose of calculating the margin requirement within sections 5461 through 5467.

    9. The foreign exchange position term to maturity is the term to maturity of a particular foreign exchange position expressed in years.

    There is no history log for this rule.

    There is no history log for this rule.