5462. Spot risk margin rate

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    1. Minimum rates - The minimum spot risk margin rates for each Currency Group are as follows:

       

      Minimum spot risk margin required as a percentage of market value of the foreign exchange position

      Currency Group

      1

      2

      3

      4

      Minimum spot risk margin rate

      1.00%

      3.00%

      10.00%

      25.00%

    2. Spot price volatility levels - To monitor the volatility of each Group 1, 2 or 3 currency, the Canadian dollar equivalent closing price on each of the four trading days succeeding the "base day" is compared to the base day closing price. The first of four succeeding trading days on which the percentage change in price (negative or positive) between the closing price on the succeeding day and the closing price on the base day is greater than the spot risk margin rate prescribed for the particular currency in subsection 5460(1) is designated an "offside base day". If an offside base day has been designated, the offside base day is designated the base day for the purpose of making further base day closing price comparisons.

      If the number of offside base days during any 60 trading day period is greater than three, the currency is deemed to have exceeded the volatility threshold of the currency group.

      If the volatility of a Group 1, 2 or 3 currency exceeds the volatility threshold, the individual currency spot risk margin rate is increased by increments of 10% until the application of the increased margin rate would result in no more than two offside days during the preceding 60 trading days. The increased margin rate shall apply for a minimum of 30 trading days and is automatically decreased to the margin rate otherwise applicable when after such 30 trading day period the volatility of the currency is less than the volatility threshold.

      IIROC is responsible for determining the required increase or decrease in foreign exchange spot risk margin rates under this subsection 5462(2).

    There is no history log for this rule.

    There is no history log for this rule.