30-Day Overnight Repo Rate Futures (ONX)
Each contract shall be for a nominal value of C$5,000,000.
March, June, September and December plus three nearest non-quarterly months (serials).
Index: 100 minus the compounded daily overnight repo rate for the contract month.
Last day of trading
Last business day of the contract month.
Minimum price fluctuation
0.005 = C$20.55 (one-half of 1/100 of one percent of C$5,000,000 on a 30-day basis).
Information on position limits can be obtained from the Exchange as they are subject to periodical changes.
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 on the first calendar day of the contract month and ends on the last calendar day of the contract month. The daily overnight repo rate (CORRA) is calculated and reported by the Bank of Canada. 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 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 periodical changes.
Daily price limits
Trading hours (Montréal time)
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
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