30-Day Overnight Repo Rate Futures (ONX)
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 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).
Last trading day
The last business day of the contract month.
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
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.