Five-Year Government of Canada Bond Futures (CGF)
C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon.
March, June, September and December.
Per C$100 nominal value.
Minimum price fluctuation
0.01 = C$10 per contract.
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 occurs on the last trading day.
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 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.
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.
More information on delivery standards is available in Article 15613 of the Rules of the Bourse.
Position reporting threshold
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.
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.
Regular session: 6:00** a.m. to 4:00 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds.
Canadian Derivatives Clearing Corporation (CDCC).
- 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 applicable to the execution of block trades
- 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
- Futures invoice spread
- Cash-and-carry trade
- Hedging the CTD
- Bond portfolio duration adjustment
- Hedging open swap positions
- Cross hedging: Hedging a portfolio of Canada Mortgage Bonds (CMBs)
- Trading on the yield curve
- Credit spread
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.