Canadian Derivatives Exchange*

30-Day Overnight Repo Rate Futures (ONX)

Underlying

C$5,000,000 nominal value of the compounded daily overnight repo rate (CORRA).

Expiry cycle

  • Quarterlies: March, June, September and December.
  • Serials: the three (3) nearest non-quarterly months.

Price quotation

Index: 100 minus the monthly average overnight repo rate for 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).

Contract type

Cash-settled.

Last trading day

The last business day of the contract month.

Expiration day

Expiration occurs on the last trading day.

Final settlement price

The contract is cash settled against the monthly average of the daily overnight repo rate for the contract month. The daily overnight repo rate (CORRA) is calculated and reported by the Bank of Canada. The monthly average is a simple arithmetic average corresponding to the sum of the daily overnight repo rates divided by the number of calendar days in the month. 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.

Position reporting threshold

300 contracts.

Position limit

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

Price limit

None.

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.

Trading hours

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.
** ± 15 seconds.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Trading strategies

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