Canadian Derivatives Exchange*

Five-Year Government of Canada Bond Futures (CGF)

Trading unit

C$100,000 nominal value of Government of Canada bond with 6% notional coupon.

Contract months

Four months in the March, June, September, December quarterly cycle.

Price quotation

Par is on the basis of 100 points where 1 point equals C$1,000.

Last trading day / Expiration

Trading ceases at 1:00 p.m. on the 7th business day preceding the last business day of the delivery month.

Contract type

Physical delivery of eligible Government of Canada bonds. See Circulars.

Delivery notices

Delivery notices must be submitted before 5:30 p.m. or before such time set by the clearing corporation on any business day, between the 3rd business day preceding the 1st business day of the delivery month and the 3rd business day preceding the last business day of the delivery month inclusively.

Delivery date

Delivery must be made on the 3rd 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.

Minimum price fluctuation

0.01 = C$10 per contract.

Reporting limit

250 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.

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 5-year Government of Canada bond auctions;
  • are issued and delivered on or before the 15th day preceding the first delivery notice day of the contract.

More information on delivery standards is available in Article 15613 of the Rules.

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

Trading strategies

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