Equity Securities
Rule 5310–5315 ↗Basic margin rates apply to Canada and US listed equities eligible for margin (Rule 5311). Dealer Member (DM) inventory and client account rates differ for LSERM-eligible securities.
| Security type | Market value per share | DM inventory | Client account | Rule |
|---|---|---|---|---|
| Long & Short — LSERM-eligible (List of Securities Eligible for Reduced Margin) | ||||
| Canada / US listed — LSERM | ≥ $2.00 | 25% | 30% | 5310(1) |
| Long & Short — Standard listed equities | ||||
| Canada / US listed | ≥ $2.00 (non-LSERM) | 50% | 50% | 5310(1) |
| $1.75 – $1.99 | 60% | 60% | 5310(1) | |
| $1.50 – $1.74 | 80% | 80% | 5310(1) | |
| < $1.50 | 100% | 100% | 5310(1) | |
| Short positions — additional price bands | ||||
| $0.25 – $1.49 | 100% | 100% | 5310(1) | |
| < $0.25 | $0.25/share | $0.25/share | 5310(1) | |
| Special categories | ||||
| Foreign listed equity | All | 50% | 50% | 5312(1) |
| Government-guaranteed equity | All | 25% | 25% | 5313(1) |
| Other equity (not eligible for margin) | All (long) | 100% | 100% | 5315(1) |
Government Bonds, T-Bills & Notes (not in default)
Rule 5210 ↗Cat (i) — Govts of Canada, UK, US and AAA-rated countries | Cat (ii) — Canadian provincial govts, IBRD | Cat (iii) — Canadian and UK municipal corporations
| Term to maturity | Cat (i) GoC / AAA sovereign | Cat (ii) Provincial / IBRD | Cat (iii) Municipal |
|---|---|---|---|
| < 1 year | 1% × days/365 | 2% × days/365 | 3% × days/365 |
| 1 year to < 3 years | 1.00% | 3.00% | 5.00% |
| 3 years to < 7 years | 2.00% | 4.00% | 6.00% |
| 7 years to < 11 years | 4.00% | 5.00% | 8.00% |
| ≥ 11 years | 6.00% | 8.00% | 12.00% |
Note: For BC government guaranteed parity bonds (Cat ii), minimum margin is 0.25% of par value on long positions. For called/redeemable securities, term is measured to redemption date.
Government mortgage-backed securities (Rule 5213): 1.25× the applicable rate under Rule 5210 or 5214.
Government Residual Debt & Stripped Coupons (not in default)
Rule 5211 ↗Same three categories as Rule 5210. Rates are approximately 1.5× the corresponding bond rates to reflect price volatility of zero-coupon instruments.
| Term to maturity | Cat (i) GoC / AAA sovereign | Cat (ii) Provincial / IBRD | Cat (iii) Municipal |
|---|---|---|---|
| < 1 year | 1.5% × days/365 | 3.0% × days/365 | 4.5% × days/365 |
| 1 year to < 3 years | 1.50% | 4.50% | 7.50% |
| 3 years to < 7 years | 3.00% | 6.00% | 7.50% |
| 7 years to < 11 years | 6.00% | 7.50% | — |
| 11 years to < 20 years | 12.00% | 15.00% | — |
| ≥ 20 years | 15.00% | — | — |
Government floating rate debt (Rule 5212): 50% of the otherwise applicable rate on par value, plus 100% of any excess of market value over par.
Commercial & Corporate Bonds, Debentures, Notes (not in default)
Rule 5220 ↗Cat (i) — Commercial/corporate bonds, debentures and acceptable commercial paper | Cat (ii) — Same issuers where market value ≤ 50% of par and issuer has a low current credit rating (flat 50% regardless of term)
| Term to maturity | Cat (i) Investment grade / acceptable | Cat (ii) Low credit / ≤50% par |
|---|---|---|
| < 1 year | 3% × days/365 | 50% |
| 1 year to ≤ 3 years | 6.00% | 50% |
| 3 years to ≤ 7 years | 7.00% | 50% |
| 7 years to ≤ 11 years | 10.00% | 50% |
| > 11 years | 20.00% | 50% |
Convertible corporate bonds (Rule 5221): same rates applied to par value, plus 100% of any excess of market value over par. Alternative: margin for underlying security plus excess of convertible value over underlying.
Commercial residual debt / stripped coupons (Rule 5223): 4.5% × days/365 (<1yr); 9% (1–3yr); 10.5% (3–7yr); 15% (7–11yr); 30% (>11–20yr); flat 50% for low-credit/≤50% par issues.
Bank Paper (not in default)
Rule 5222 ↗Cat (i) — BAs, deposit certificates, promissory notes and debentures issued by a Canadian chartered bank; and foreign bank paper (net worth ≥ $200M) | Cat (iii) — Cat (i)/(ii) issues with market value ≤ 50% of par and low credit rating
| Term to maturity | Cat (i) Chartered bank / eligible foreign bank | Cat (iii) Low credit / ≤50% par |
|---|---|---|
| < 1 year | 2% × days/365 | 50% |
| 1 year to ≤ 3 years | 6.00% | 50% |
| 3 years to ≤ 7 years | 7.00% | 50% |
| 7 years to ≤ 11 years | 10.00% | 50% |
Other Non-Commercial Issuers
Rule 5214 ↗Applies to non-commercial issuers not qualifying under Rules 5210–5212 (e.g. supranational bodies other than IBRD, certain Crown corporations).
| Term to maturity | Cat (i) Bonds & debentures | Cat (ii) Residual debt & stripped coupons |
|---|---|---|
| 1 year to < 3 years | 10.00% | 15.00% |
| 3 years to < 7 years | 15.00% | — |
| 7 years to < 11 years | — | — |
| 11 years to < 20 years | 30.00% | — |
| ≥ 20 years | 30.00% | — |
Repurchase Agreements, Reverse Repos & Securities Borrowing/Lending
Form 1 Schedule 7 ↗ AI/AC definitions ↗ Schedule 7 note 8(v) ↗ Rule 5850 ↗ Rule 5903 ↗CIRO's repo margin framework is primarily counterparty-based, not security-type-based. The required margin depends on (a) counterparty classification, (b) whether a qualifying written agreement is in place, and (c) the term of the transaction.
| Counterparty type | Margin required |
|---|---|
| Acceptable institution | No margin |
| Acceptable counterparty | Market value deficiency¹ |
| Regulated entity | Market value deficiency¹ |
| Other | Margin required |
| Counterparty & term | Margin required |
|---|---|
| Acceptable institution ≤ 30 days | No margin |
| Acceptable institution > 30 days | Margin required |
| Acceptable counterparty / regulated ≤ 30 days | Market value deficiency¹ |
| Acceptable counterparty / regulated > 30 days | Margin required |
| Other | 200% of margin (max: MV of securities) |
| Counterparty type | Margin required |
|---|---|
| Acceptable institution | No margin |
| Acceptable counterparty | Excess collateral deficiency² |
| Regulated entity | Excess collateral deficiency² |
| Other | Margin required |
| Counterparty type | Margin required |
|---|---|
| Acceptable institution | No margin |
| Acceptable counterparty | Excess collateral deficiency² |
| Regulated entity | Excess collateral deficiency² |
| Other | Margin required |
Term Risk — Repos & SBL (> 5 Business Days, Fixed Rate)
Rule 5903Where a repo or securities loan is outstanding for more than five business days, the repurchase/resale date is fixed at inception, and the financing charge is a fixed rate, a term risk margin applies regardless of counterparty type.
| Position type | Margin calculation |
|---|---|
| Unhedged term position | GoC debt margin rate (Rule 5210 Cat i) for term = remaining term of agreement × loan/agreement market value |
| Offsetting positions (same currency, <1 yr remaining) | Difference between unhedged margins of the two legs |
| Offsetting positions (same currency, same maturity band, ≥1 yr) | GoC debt margin rate (Rule 5210 Cat i) for relevant term × net market value of the two legs |
In practice: an unhedged overnight/open repo carries no term margin; a 3-month fixed-rate repo carries 1% term margin (GoC rate for <1yr term = 1% × days/365). A 5-year term repo carries 2% (GoC rate for 3–7yr).
¹ Market value deficiency — no initial margin. No margin is posted at inception. A deficiency arises only if the market value of the securities repurchased falls below the cash received after the trade is on (i.e., collateral depreciates). The shortfall must be cured within one business day or funded from the Dealer Member's capital. For a GoC bond repo this is a low-probability call in normal conditions. This is a daily mark-to-market maintenance obligation, not an upfront buffer.
² Excess collateral deficiency: any excess of market value of collateral delivered over 102% of the loan amount (cash loans), or over MV of securities received (securities loans). Must be corrected within one business day or provided from Dealer Member capital. (Schedule 7 notes 11–13)
Any transaction not confirmed by an acceptable institution, acceptable counterparty or regulated entity within 15 business days must be margined.
Definitions (Form 1 General Notes): an acceptable institution is an entity with which a Dealer Member may deal on an unsecured basis without capital penalty (schedule 1 & foreign banks >$100M capital, governments, pension funds >$200M, etc.); an acceptable counterparty is an entity recorded on a value-for-value basis with mark-to-market on outstanding transactions (banks ≤$100M capital, corporations ≥$75M net worth, trusts/LPs >$100M, pension funds >$10M, municipalities >50k pop., etc.).