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CIRCULAR July 6, 2009 FUTURES CONTRACTS MARGIN REQUIREMENTS AND CURRENCY OPTION MARGIN RATES
Bourse de Montréal Inc. (the Bourse) sets futures contracts margin rates and currency options margin rates. The Bourse updates these rates on a monthly basis or when justified by market conditions. The Bourse, in collaboration with Canadian Derivatives Clearing Corporation (CDCC), has determined that futures contract margin rates, in the case of speculators and hedgers, must be modified as follows: FUTURES CONTRACTS ONX - 30-Day Overnight Repo Rate BAX - Three-month Canadian Bankers' Acceptance CGZ - Two-year Canadian Government Bond CGF -Five-year Canadian Government Bond CGB - Ten-year Canadian Government Bond LGB - Thirty-year Canadian Government Bond SCF - S&P/TSX Composite Index (mini contract) SXF - S&P/TSX 60 Index SXA - S&P/TSX Global Gold Index SXB - S&P/TSX Capped Financials Index SXH - S&P/TSX Capped Information Technology Index SXY - S&P/TSX Capped Energy Index MCX – Carbon Dioxide Equivalent (CO2e) Units
MARGIN TYPE Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger
PREVIOUS RATE $1,200 $1,100 $800 $750 $1,750 $1,650 $2,300 $2,200
NEW RATE $1,200 $1,100 $700 $650 $1,650 $1,550 $2,250 $2,150
Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger
$2,700 $2,600 $5,650 $5,450 $6,150 $5,950 $15,850 $15,650 $14,350 $14,150 $4,650 $4,450 $1,450 $1,350 $9,850 $9,650 $450 $400
$2,700 $2,600 $4,750 $4,550 $5,950 $5,750 $15,350 $15,150 $13.600 $13,400 $4,550 $4,350 $1,450 $1,350 $9,000 $8,800 $500 $450
Note: The "Speculator" designation applies to all clients, except acceptable institutions, acceptable counterparties, regulated entities and bona fide hedgers, as defined in the Rules and Policies of the Bourse.
Circular no.: 105-2009
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Circular no.: 105-2009 FUTURES CONTRACT SPREAD POSITIONS
The following is a summary of the margin rates applicable to spread positions in futures contracts listed at Bourse de Montréal Inc.: MARGIN TYPE SPREADS MARGIN TYPE SPREADS BUTTERFLY (consecutive expiry months) BUTTERFLY (non-consecutive expiry months)
INDEX FUTURES CONTRACTS/CARBON DIOXIDE FUTURES CONTRACTS SXF
SXA
SXB
SXH
SXY
MCX
$350
$100
$100
$100
$100
$445
ONX
INTEREST RATE FUTURES CONTRACTS BAX CGZ CGF CGB
LGB
$132
$301
$200
$200
$200
$200
N/A
$213
N/A
N/A
N/A
N/A
N/A
$356
N/A
N/A
N/A
N/A
MARGIN ON INTER-COMMODITY SPREAD POSITIONS SPREAD POSITION CGF - CGZ Speculator Hedger
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$4,130 $3,935
$4,000 $3,800
Note : For margin and capital calculation purposes, since the size of the CGF and CGZ futures contracts are different, the abovementioned margin may be used only if the pairing is made by taking into account the size difference of these futures contracts. This means that the spread position must consist of two (2) CGF futures contracts (100,000 size) and one (1) CGZ futures contract (200,000 size).
SPREAD POSITION CGB-CGZ Speculator Hedger
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$4,290 $4,110
$4,230 $4,050
Note : For margin and capital calculation purposes, since the size of the CGB and CGZ futures contracts are different, the abovementioned margin may be used only if the pairing is made by taking into account the size difference of these futures contracts. This means that the spread position must consist of two (2) CGB futures contracts (100,000 size) and one (1) CGZ futures contract (200,000 size).
SPREAD POSITION CGF - CGB Speculator Hedger SPREAD POSITION LGB-CGB Speculator Hedger
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$3,500 $3,360
$3,465 $3,325
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$5,845 $5,635
$5,215 $5,005
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Circular no.: 105-2009 SPREAD POSITION CGB-BAX Speculator Hedger SPREAD POSITION CGF-BAX Speculator Hedger
SPREAD POSITION SXF-SCF Speculator Hedger
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$2,265 $2,175
$2,235 $2,145
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$3,275 $3,125
$2,600 $2,475
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$3,940 $3,860
$4,260 $4,180
CURRENCY OPTION MARGIN RATES
CURRENCY OPTION MARGIN RATES USX - US Dollar Option
RATES PREVIOUS RATE
NEW RATE
4.75%
4.80%
These new margin requirements will be implemented with end of day processing on Tuesday, July 7, 2009. Also take note that the index products floating margin rates and tracking error margin rates which used to be published in the same circular as the above futures contracts margin requirements and currency option margin rates will be published in a separate circular. For further information, please contact Santo Ferraiuolo, Market Analyst, Regulatory Division, at 514 871-4949, extension 413, or by e-mail at
[email protected].
Francis Larin Director and Legal Counsel Regulatory Division