One-Month CORRA Futures (COA)
Underlying
Compounded daily Canadian Overnight Repo Rate Average ("CORRA") during the Contract Month.
Trading Unit
Compounded daily Canadian Overnight Repo Rate Average (CORRA) during the Contract Month, such that each basis point per annum of interest = $25 per contract. The contract size is C$2500 x Index.
Contract Month
For each contract, the Contract Month corresponds to the settlement month.
Expiry Cycle
Up to the nearest seven (7) monthly contract months.
(Note: The initial listing (on January 23, 2023) will be the four (4) nearest contract months)
Price Quotation
Index: 100 - R.
R = the compounded daily CORRA for the contract month.
Minimum Price Fluctuation
- 0.0025 = C$6.25 for the nearest listed contract month
- 0.005 = C$12.50 for all other contract months
Contract Type
Cash-settled.
Last Trading Day
Last business day of the Contract Month
Final Settlement Price
The final settlement price shall be 100 minus the compounded daily CORRA rate over the Contract Month. It is calculated in accordance with the following formula:
Where:
"do", the number of Business Days in the Contract Month;
"i" is a series of whole numbers from one to do, each representing the relevant Business Day in chronological order from, and including, the first Business Day in the relevant Contract Month;
CORRAi = Canadian Overnight Repo Rate Average ("CORRA") value calculated and representative of the ith day of the Contract Month;
"ni" is the number of calendar days in the relevant Contract Month on which the rate is CORRAi;
"d" is the number of days from, and including, the first Business Day in the relevant Contract Month up to, and excluding, the first Business Day in the next calendar month.
The calculation period for a contract month is from, and including, the first Business Day in the relevant contract month up to, and excluding, the first Business Day in the next calendar month.
Position Reporting Threshold
300 contracts.
Position Limit
- All-months position limit: not applicable.
- Spot month position limit: information can be obtained from the Regulatory Division as they are subject to periodic changes. See the position limits page on the Regulatory Division website.
Minimum Margin Requirements
Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.
Trading Hours
Regular session: 2:00** a.m.to 4:30 p.m. ET.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds
Clearing Corporation
The Canadian Derivatives Clearing Corporation (CDCC).
MX Symbol
COA
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.
