Government of Canada bond rate
- Equity derivatives
- Currency derivatives
- Index derivatives
- Interest rate derivatives
Underlying
C$100, 000 nominal value of a Government of Canada bond with a 6% notional coupon.
Expiry cycle
March, June, September and December.
Price quotation
Per C$100 nominal value.
Minimum price fluctuation
0.01 = C$10 per contract.
Contract type
Physically-delivered: delivery of eligible Government of Canada bonds.
Last trading day
Trading ceases at 1:00 p.m. on the seventh business day preceding the last business day of the delivery month.
Expiration day
Expiration occurs on the last trading day.
Delivery notices
Delivery notices should be submitted before 5:30 p.m. or before such time set by the clearing corporation on any business day, between the third business day preceding the first business day of the delivery month and the third business day preceding the last business day of the delivery month, inclusively.
Delivery day
Delivery should be made on the third business day following the submission of the delivery notice by the member holding a seller's position or on any other day as determined by the clearing corporation. Delivery shall be completed no later than the last business day of the delivery month.
Delivery standards
Government of Canada Bonds which:
- have a remaining time to maturity of between 4¼ years and 5¼ years as of the first day of the delivery month, calculated by rounding down to the nearest whole month period;
- have an outstanding amount of at least C$3.5 billion nominal value;
- are originally issued at five-year Government of Canada bond auctions;
- are issued and delivered on or before the fifteenth day preceding the first delivery notice day of the contract.
Position reporting threshold
250 contracts.
Position limit
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars. For position limit for the first contract month, please see the First contract month position limit page on the Regulatory Division website.
Price limit
None.
Trading hours
Regular session: 6:00** a.m. to 4:30 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds.
Clearing corporation
Canadian Derivatives Clearing Corporation (CDCC).
Trading strategies
CGF® is a registered trademark of Bourse de Montréal Inc.
The information contained in this document is for information purposes only and shall not be construed as legally binding. This document is a summary of the product's specifications which are set forth in the Rules of Bourse de Montréal Inc. (“Rules of the Bourse”). While Bourse de Montréal Inc. endeavors to keep this document up to date, it does not guarantee that it is complete or accurate. In the event of discrepancies between the information contained in this document and the Rules of the Bourse, the latter shall prevail. The Rules of the Bourse must be consulted in all cases concerning products' specifications.