Two-Year Government of Canada Bond Futures (CGZ)
C$200,000 nominal value of Government of Canada bond with 6% notional coupon.
Four months in the March, June, September, December quarterly cycle.
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.
Physical delivery of eligible Government of Canada bonds. See Circulars.
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 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 must 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.
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.
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)
6:00 a.m. to 4:00 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
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
CGZ® is a registered trademark of Bourse de Montréal Inc.