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Two-Year Government of Canada Bond Futures (CGZ)
C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon.
March, June, September and December.
Per C$100 nominal value.
Minimum price fluctuation
0.005 = C$5 per contract.
Physically-delivered: delivery of eligible Government of Canada bonds.
Last trading day
Trading ceases at 1:00 p.m. on the seventh business day preceding the last business day of the delivery month.
Expiration occurs on the last trading day.
Delivery notices must be submitted before 5:30 p.m. or before such time set by the clearing corporation on any business day, between the second business day preceding the first business day of the delivery month, and the second business day preceding the last business day of the delivery month inclusively.
Delivery shall be made on the second business day following the submission of the delivery notice by the member holding a seller's position or on any other day as determined by the clearing corporation. Delivery shall be completed no later than the last business day of the delivery month.
Government of Canada Bonds which:
- have a remaining time to maturity of between 1½ year and 2½ years as of the first day of the delivery month, calculated by rounding down to the nearest whole month period;
- have an outstanding amount of at least C$2.4 billion nominal value (a bond which has not been originally issued at a Two-year Government of Canada Bond auction and which would otherwise meet the standards of this rule, is also deemed to be deliverable, if during the last 12-month period preceding the first Delivery notice day of the Delivery Month, its re-openings total a minimum nominal amount of $2.4 billion);
- are originally issued at two-year Government of Canada bond auctions;
- are issued and delivered on or before the fifteenth day preceding the first delivery notice day of the contract.
More information on delivery standards is available in Article 12.112 of the Rules of the Bourse.
Position reporting threshold
Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars. For position limit for the first contract month, please see the First contract month position limit page on the Regulatory Division website.
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).
Please refer to the Rules of the Bourse.
- Futures invoice spread
- Cash-and-carry trade
- Hedging the CTD
- Reducing the duration of a bond portfolio
- Lengthening the duration of a T-bill portfolio
- Bond portfolio duration adjustment
- Hedging open swap positions
- Cross hedging: Hedging a portfolio of Canada Mortgage Bonds (CMBs)
- Trading on the yield curve (ex: 2y-10Y curve spread)
- Credit spread (BAX - CGZ)
- Yield Curve Spread Canada–U.S.
- Synthetic bond portfolio
- Hedging of future borrowing costs
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.
CGZ® is a registered trademark of Bourse de Montréal Inc.