Trading – Interest Rate Derivatives Trading – Equity and Index Derivatives Back-office – Futures
Back-office - Options Technology Regulation MCeX
CIRCULAR February 3, 2011 FUTURES CONTRACTS MARGIN REQUIREMENTS
Bourse de Montréal Inc. (the Bourse) sets futures contracts 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 WCH – Canadian Heavy Crude Oil Differential Price Futures - Daily
MARGIN TYPE Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger Speculator Hedger
PREVIOUS RATE $600 $550 $350 $300 $1,250 $1,150 $1,500 $1,400 $2,600 $2,500 $4,600 $4,400 $2,650 $2,550 $5,800 $5,600 $6,000 $5,800 $1,550 $1,450 $800 $750 $3,450 $3,250 $150 $100 $3,700 $3,500
NEW RATE $550 $500 $350 $300 $1,250 $1,150 $1,350 $1,250 $2,150 $2,050 $3,450 $3,250 $2,650 $2,550 $6,000 $5,800 $5,700 $5,500 $1,550 $1,450 $850 $800 $3,900 $3,700 $150 $100 $5,350 $5,150
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.: 026-2011
Page 2
Circular no.: 026-2011 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
INDEX FUTURES CONTRACTS/CARBON DIOXIDE FUTURES CONTRACTS
SPREADS
SCF
SXF
SXA
SXB
SXH
SXY
MCX
WCH
$200
$350
$100
$100
$100
$100
$100
$3,450
INTEREST RATE FUTURES CONTRACTS
MARGIN TYPE SPREADS BUTTERFLY (consecutive expiry months) BUTTERFLY (non-consecutive expiry months)
ONX
BAX
CGZ
CGF
CGB
LGB
$132
$142
$200
$200
$200
$200
N/A
$84
N/A
N/A
N/A
N/A
N/A
$154
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
$2,765 $2,570
$2,570 $2,375
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
$2,260 $2,155
$1,945 $1,840
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
$2,870 $2,730
$2,450 $2,310
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$2,880 $2,760
$2,240 $2,120
Page 3
Circular no.: 026-2011
SPREAD POSITION CGB-BAX Speculator Hedger SPREAD POSITION CGF-BAX Speculator Hedger
SPREAD POSITION SXF-SCF Speculator Hedger
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$1,370 $1,310
$1,145 $1,085
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$2,050 $1,900
$1,865 $1,715
PREVIOUS MARGIN RATE
NEW MARGIN RATE
$845 $815
$865 $835
These new margin requirements will be implemented with end of day processing on Monday February 7, 2011. For further information, please contact Santo Ferraiuolo, Market Analyst, Regulatory Division, at 514 871-4949, extension 413, or by e-mail at
[email protected].
Jacques Tanguay Vice-President, Regulatory Division