Futures contracts margin rates
The Regulatory Division of the Bourse de Montréal Inc. (“the Division”) wishes to inform its Participants that as of November 1, 2017, the following changes came into effect:
- Futures contracts margin rates will only be available in CSV format
- Implementation of the Price Scan Range methodology in the calculation of BAX margin rates. This will result in different margin rates for each Three-Month Canadian Bankers’ Acceptance Futures contracts (BAX) expiry and distinct margin rates for multiple BAX strategies (Spreads and Butterflies).
On calendar days during which the Bourse de Montreal offices are closed but the Canadian derivative markets are open (day after New Year’s Day & Quebec Saint-Jean Baptiste holiday in June), please refer to the most recently published futures contracts margin rates file as the rates will not have been modified from the previous business day. Kindly refer to the holidays calendar for more information.
Note for Foreign Approved Participants: According to the terms of their admission to the Bourse, Foreign Approved Participants (FAPs) are exempt from the margin and capital Rules and Policies of the Bourse. FAPs are therefore exempt from the Bourse requirement to apply the Futures contract margin rate produced by the Regulation Division.
Additionally, note that for the purpose of monitoring intraday margins requirements, the margins on futures contracts executed through the Basis Trade on Close ("BTC") functionality are identical to the margins required for their respective associated futures contracts.
The Bourse deems it is permissible to provide margin relief for fully offset SXF-SXM combinations with the same expiry month, for Client accounts of Approved Participants. For example, if a Client account holds 4 SXM against 1 SXF, there is margin relief provided that both contracts have the same expiry month. See circular 019-20 for further details.