Descriptions of Charts in Notice 22 – 0063 (Proposed Amendments to the IIROC Rules and to Form 1 regarding the floating index margin rate methodology)

Text description of the figure entitled “TSX 60 Index participation unit (XIU) unit price and floating index margin during COVID outbreak”.

Figure 1 is a line graph with two lines. One line shows the price trend of the S&P TSX 60 IPU from Feb to August of 2020. The other line shows the trend of the floating margin rates for the same period.

The graph demonstrates that in March 2020 when the price of the IPU dropped significantly, the floating margin rate increased significantly and the two lines diverged. The floating margin rate peaked at approximately 25% and the IPU price bottomed at approximately $17.

The graph also demonstrates that when the IPU price stabilized the divergence reversed and the lines for both the IPU price and the floating margin rate flattened. By the beginning of August the floating margin rate is below 10%.

Text description of the figure entitled “S&P TSX 60 Basket of index securities – margin rate analysis 1999 - 2020”.

Figure 2 shows a line graph representing the floating margin rate for the S&P TSX 60 Index for the period from 1999 to 2020.

The graph shows 2 lines. One line is a fixed horizontal line at 10% representing the proposed floor margin rate for a broad based index. The other line is a variable line which shows the trend of the floating margin rate.

Over this 20 year time horizon, the floating margin rate was typically below the floor margin rate of 10% with the exception of 3 notable periods of volatility in 2000, 2008-2009 and 2020.