Canadian Derivatives Exchange*

Five-Year Government of Canada Bond Futures (CGF)

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.

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

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.

Price limit

None.

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: 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.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Trading strategies

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