Canada’s investment industry body changes certain FX spot risk margin rates

Maria Nikolova

IIROC changes a set of FX spot risk margin rates for Canadian and U.S. dollar base currency accounts.

The Investment Industry Regulatory Organization of Canada (IIROC) has announced changes to FX spot risk margin rates for Canadian and U.S. base currency accounts.

Based on the volatility of the Canadian dollar exchange rates, effective March 27, 2020, the following spot risk margin rate(s) apply until further notice:

  • Japanese yen versus Canadian dollar from 3.00% to 3.70%;
  • Israeli new shekel versus Canadian dollar from 3.00% to 4.30%;
  • Mexican New Peso versus Canadian dollar from 3.00% to 5.50%;
  • Norwegian krone versus Canadian dollar from 3.00% to 5.90%.

Based on the volatility of the U.S. dollar exchange rates, effective March 27, 2020, the following spot risk margin rate(s) apply until further notice:

  • Norwegian krone versus U.S. dollar from 3.00% to 5.20%;
  • Mexican new peso versus U.S. dollar from 4.90% to 8.90%.

Let’s recall that the United States National Futures Association (NFA) has also made similar changes to margin rates. The requirements for the security deposits for FX transactions with Forex Dealer Members (FDMs) have been changed since March 22, 2020.

The Association said that, in light of the recent volatility in the currency markets, and the margin increases that CME and ICE have implemented with respect to foreign currency futures involving the Norwegian Krone and Mexican Peso, the Executive Committee has determined to increase the minimum security deposits required to be collected and maintained by FDMs under NFA Financial Requirements Section 12 to the following:

  • Norwegian Krone – 7%;
  • Mexican Peso – 10%.

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