Three-Month Canadian Bankers' Acceptance Futures (BAX)

Trading unit

C$1,000,000 nominal value of Canadian bankers' acceptance with a three-month maturity.

Contract months

March, June, September, December, extending out three years (total of 12 contracts) plus two nearest non-quarterly months (serials).

Price quotation

Index: 100 minus the annualized yield of a Three-Month Canadian Bankers' Acceptance.

Last trading day / Expiration

Trading ceases at 10:00 a.m. (Montréal time) on the 2nd London (Great Britain) banking day prior to the 3rd Wednesday of the contract month. If the fixed day is a Bourse or bank holiday in Montréal or Toronto, the last trading day shall be the previous bank business day.

The final settlement price is based on the average of the Three-Month Canadian Bankers' Acceptance bid rates as quoted on CDOR page of Reuters' Monitor Service on the last trading day at 10:15 a.m., excluding the highest and lowest values. CDOR is based on 365 days.

Contract type

Cash settlement.

Minimum price fluctuation

• 0.005 = C$12.50 per contract for the nearest three listed contract months, including serials
• 0.01 = C$25.00 per contract for all other contract months

Reporting limit

300 contracts.

Position limits

Information on position limits can be obtained from the Exchange as they are subject to periodic changes. See Circulars.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Exchange as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.

Trading hours (Montréal time)

6:00 a.m. to 4:00 p.m.

Note: During early closing days, the regular session closes at 1:30 p.m.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC)

Trading procedures

• Daily settlement price procedures for futures contracts and options on futures contracts
• Procedures applicable to the execution of cross transactions and the execution of prearranged transactions
• Procedures for the execution and reporting of exchange for physical (EFP), exchange for risk (EFR) and substitution of OTC derivative instruments for futures contracts transactions
• Procedures for the cancellation or adjustment of trades

Trading strategies

• Hedge a future commercial paper issuance against a possible rise in interest rate
• Yield curve strategy – calendar spread
• International spread between BAX and Eurodollar (BED spread)

BAX® is a registered trademark of Bourse de Montréal Inc.