List of foreign exchange (FX) spot risk margin rates for Canadian and U.S. base currency accounts

Overview:

This list is published when a Group 1, 2, or 3 currency’s spot risk margin rate is increased, because the volatility of the currency exceeds the volatility threshold that is set out in subsection 5462(2) of the Investment Dealer and Partially Consolidated Rules (IDPC Rules). In addition, the list is also published when the increased spot risk margin rate for the currency is reduced, because a minimum of 30 trading days has passed since the currency’s spot risk margin rate increase and the currency’s volatility no longer exceeds the volatility threshold.

Excess volatility in a currency is measured and tracked as an “offside day”. An offside day is triggered when the percentage change in the exchange rate of the currency over five-day intervals, through a period of 60 trading days, exceeds the margin rate for the currency group. When the number of offside base days during the period reaches 4, a margin surcharge is applied.

A Dealer Member must use the spot risk margin rates provided in the attached list and sections 5461 to 5469 of the IDPC Rules in margining unhedged foreign exchange customer and Dealer Member (inventory) positions and any other customer and Dealer Member transactions that result in an exposure to foreign exchange risk.

Foreign Exchange (FX) Spot Risk Margin Update:

and U.S. dollar base currency accounts, which has been prepared as at August 5, 2025 listing all currencies presently in Groups 1-3.

Based on the volatility of the Canadian dollar exchange rates, effective August 13, 2025, the following spot risk margin rate(s) apply until further notice:

• U.S. dollar versus Canadian dollar from 2.20% to 2.00%
• Japanese yen versus Canadian dollar from 3.90% to 3.00%
• Mexican peso versus Canadian dollar from 4.10% to 3.00%

Based on the volatility of the U.S. dollar exchange rates, effective August 13, 2025, the following spot risk margin rate(s) apply until further notice:

• Canadian dollar versus U.S. dollar from 2.20% to 2.00%.
• Mexican peso versus U.S. dollar from 4.50% to 3.00%

This list of foreign exchange spot risk margin rates replaces the previous list provided in Rules Bulletin 25-0103, issued on April 10, 2025.

Microsoft Excel Format:

The list is available in Microsoft Excel format on the Supporting Schedules section of the Canadian Investment Regulatory Organization (CIRO) website, under Rules and Enforcement – Dealer Member Rules – Supporting Resources – Supporting Schedules.

Secure File Transfer Protocol (SFTP):

Dealer Members may also download the current list (Microsoft Excel format) via SFTP connection to the Market Trade Reporting System 2.0 (MTRS 2.0). Dealer Members that report debt transactions to CIRO will automatically have access to the current list in a folder entitled “FXMargin” in the Reference Data directory on the server. Other Dealer Members that wish to download the list via SFTP will need to set up an account with CIRO.