Three-Month Canadian Bankers' Acceptance Futures (BAX)
C$1,000,000 nominal value of Canadian bankers' acceptances with a three-month maturity.
- Quarterlies: March, June, September and December.
- Serials: two (2) nearest non-quarterly months.
Index: 100 minus the yield in percentage point on an annual basis for a 365-day year on Canadian bankers' acceptances with a three-month maturity.
Minimum price fluctuation
- 0.005 = C$12.50 per contract for the ten (10) nearest listed contract months, including serials
- 0.01 = C$25.00 per contract for all other contract months
Last trading day
Trading ceases at 10:15 a.m. (Montréal time) on the second London (Great Britain) banking day preceding the third Wednesday of the contract month, provided it is a business day. If it is not a business day, trading will cease on the first preceding business day.
Expiration occurs on the last trading day.
Final settlement price
Based on the average bid-rate of Canadian bankers' acceptance with a three-month maturity, as quoted on CDOR on the last trading day at 10:15 a.m., excluding the highest and the lowest values.
Position reporting threshold
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.
Maximum price variation thresholds
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: 2:00** a.m. to 4:30 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 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
- Hedge a future commercial paper issuance against a possible rise in interest rate
- Yield curve strategy – calendar spread
- International spread between BAX and Eurodollar (BED spread)
BAX® 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.