Canadian Derivatives Exchange*

Overnight Index Swap Futures (OIS)

The Exchange's offices and markets are closed today, March 29, 2014 (Good Friday).

Trading unit

Each contract shall be for a nominal value of C$5,000,000.

Underlying

The compounded daily overnight repo rate (CORRA) quoted in terms of an overnight repo rate index.

Fixed rate and floating rate of the swap

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

Contract months will be listed to match the Bank of Canada's schedule of fixed announcement dates.

Price quotation

Index: 100 - R

R = the compounded daily overnight repo rate (CORRA) for the contract month. It is calculated in accordance with the following formula:

R = LaTeX

where:

"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.

Last trading day / Expiration

The day of a Bank of Canada fixed announcement date.

Contract type

Cash settlement.

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).

Reporting limit

300 contracts.

Position limit

Information on position limits can be obtained from the Exchange as they are subject to periodic changes. See Circulars.

Final settlement price

The final settlement price shall be determined by the Bourse and shall be equal to 100 minus the compounded daily overnight repo rate (CORRA) expressed in terms of an overnight repo rate index and calculated 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.

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.

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.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC)

Trading procedures

Trading strategies

OIS-MXTM is a trademark of Bourse de Montréal Inc.