30-Day Overnight Repo Rate Futures (ONX)
Interest rate derivative trading will cease at 1:30 p.m. today, June 30, 2016. Furthermore, the Exchange's offices and markets will be closed on July 1, 2016 (Canada Day).
C$5,000,000 nominal value of the compounded daily overnight repo rate (CORRA).
- Quarterlies: March, June, September and December.
- Serials: the three (3) nearest non-quarterly months.
Index: 100 minus the compounded daily 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).
Last trading day
The last business day of the contract month.
Expiration occurs on the last trading day.
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. 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
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.
** ± 15 seconds.
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
ONX® is a registered trademark of Bourse de Montréal Inc.
The information contained in this document is for information purposes only and shall not be construed as legally binding. This document is a summary of the product's specifications which are set forth in the Rules of Bourse de Montréal Inc. (“Rules of the Bourse”). While Bourse de Montréal Inc. endeavors to keep this document up to date, it does not guarantee that it is complete or accurate. In the event of discrepancies between the information contained in this document and the Rules of the Bourse, the latter shall prevail. The Rules of the Bourse must be consulted in all cases concerning products' specifications.