Overnight Index Swap Futures (OIS)
C$5,000,000 nominal value of a fixed for floating interest rate swap where a fixed rate is swapped against a floating rate. The floating rate is the compounded daily overnight repo rate (CORRA) over the period of the contract month.
Contract months will be listed to match the Bank of Canada's schedule of Fixed Announcement Dates.
Index: 100 - R
R = the compounded daily overnight repo rate (CORRA) for the contract month. It is calculated in accordance with the following formula:
"do", the number of Business Days in the calculation period;
"i" is a series of whole numbers from one to do, each representing the relevant Business Day in chronological order from, and including, the first Business Day in the relevant Calculation Period;
ORRi = Overnight Repo Rate (CORRA) on the ith day of the calculation period (if the ith day is not a business day, the previous available CORRA is used);
"ni" is the number of calendar days in the relevant Calculation Period on which the rate is ORRi;
"d" is the number of calendar days in the relevant Calculation Period.
Minimum price fluctuation
0.005 = C$31.25 (one-half of 1/100 of one percent of C$5,000,000 on a 45.625/365 day basis).
Last trading day
The day of a Bank of Canada fixed announcement date.
Expiration occurs on the last trading day.
Final settlement price
The final settlement price shall be 100 minus the compounded daily overnight repo rate (CORRA) over the period of the contract month that begins the day following the last Bank of Canada Fixed Announcement Date to the day of the next Bank of Canada Fixed Announcement Date. Weekend and holiday rates are considered to be the rate applicable on the previous business day for which a rate was reported. For example, Friday's rate is used for Saturday and Sunday rates.
The daily overnight repo rate (CORRA) is calculated and reported by the Bank of Canada.
The final settlement price is rounded to the nearest 1/10th of one basis point (0.001). In the case a decimal fraction ends with 0.0005 or higher, the final settlement price shall be rounded up.
The final settlement price is determined on the first business day following the last day of trading.
Position reporting threshold
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.
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.
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
- Hedging an expected change in the overnight repo rate (CORRA)
- Predicting a change in the overnight repo rate (CORRA)
- Spreading OIS futures against BAX futures
OIS-MXTM is a trademark of Bourse de Montréal Inc.