Updated Guidance – Margin treatment of unhedged foreign exchange positions held in client accounts

New SRO is publishing an updated version of GN-5400-21-003 – Margin treatment of unhedged foreign exchange positions held in client accounts.

This Guidance Note was originally published on October 14, 2021. As described in Notice 22-0191, the margin requirements for futures contracts in section 5790 of the IDPC Rules have been amended for client accounts of acceptable institutions and acceptable counterparties. As a result, we have updated the sections of the Guidance Note related to the margin requirements on foreign exchange futures contracts for acceptable institutions and acceptable counterparties to reflect the amendments in Notice 22-0191. We also made minor amendments to the Guidance Note to improve the clarity.

We also removed the Appendix showing the Security Volatility Program report because this report is outdated and does not include the current foreign exchange spot risk margin rates. When the foreign exchange spot risk margin rates are amended as a result of the security volatility program, an updated ‘List of foreign exchange spot risk margin rates for Canadian and US base currency accounts’ is published as a Technical Notice.

The Guidance Note will be effective March 31, 2023.

Appendices

Appendix A – GN-5400-23-001 – Guidance on margin treatment of unhedged foreign exchange positions held in client accounts