Canadian Derivatives Exchange*

30-Day Overnight Repo Rate Futures (ONX)

Trading unit

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

Contract months

March, June, September and December plus three nearest non-quarterly months (serials).

Price quotation

Index: 100 minus the compounded daily overnight repo rate for the contract month.

Last day of trading

Last business day of the contract month.

Contract type

Cash settlement.

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).

Reporting limit

300 contracts.

Position limits

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

None.

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.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC)

Trading procedures

Trading strategies

ONX® is a registered trademark of Bourse de Montréal Inc.