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Two-Year Government of Canada Bond Futures (CGZ)

Trading unit

C$200,000 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$2,000.

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 should be submitted before 5:30 p.m. or before such time set by the clearing corporation on any business day, between the 2nd business day preceding the 1st business day of the delivery month, and the 2nd business day preceding the last business day of the delivery month inclusively.

Delivery date

Delivery shall be made on the 2nd 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

0.005 = 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 1½ years and 2½ 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$2.4 billion nominal value;
are originally issued at 2-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)

Early session: 6:00 a.m. to 8:05 a.m.
Regular session: 8:20 a.m. to 3:00 p.m.
Extended session*: 3:06 p.m. to 4:00 p.m.

* There is no extended session on the last trading day of the expiring contract month.

Note: During early closing days, the regular session closes at 1:00 p.m., time at which the daily settlement price is established. In those circumstances, the extended session is from 1:06 p.m. to 1:30 p.m.