- Interest Rate Derivatives
- Riskless Basis Cross Transactions
- Options and Futures Quotes
- Trading Calendar
- List of Fees
- Articles & Newsletters
- TMX Group Board of Directors and Corporate Governance
- Historical Data
- Market Making Programs
- User Defined and Inter-Group Strategies
- Position Limits
- Margin Requirements
Three-Month CORRA Futures (CRA)
Compounded daily Canadian Overnight Repo Rate Average ("CORRA") during the Reference Quarter.
Compounded daily Canadian Overnight Repo Rate Average (CORRA) during the Reference Quarter, such that each basis point per annum of interest = $25 per contract. The contract size is C$2500 x Index.
Based on International Monetary Market ("IMM") dates. For a given contract, interval from (and including) the 3rd Wednesday of the Contract Reference Month, to (and not including) the 3rd Wednesday of the Delivery Month. The Contract Reference Month is different from the Delivery Month.
Contract Reference Month: For each contract, the Contract Reference Month is the month in which the Reference Quarter begins.
Delivery Month: For each contract, the Delivery Month is the month in which the Reference Quarter ends. Example for a June contract: The Reference Quarter starts on IMM Wednesday of June, the Contract Reference Month, and ends with Termination of Trading on the first business day before IMM Wednesday of September, the contract Delivery Month.
Nearest twelve (12) quarterly contract months.
Index: 100 - R.
R = the compounded daily CORRA for the Reference Quarter.
Minimum Price Fluctuation
0.005 = C$12.50 for all quarterly contracts*.
*Note that the minimum price fluctuation for the nearest quarterly contract will be 0.005 = C$12.50 until further notice. The Bourse expects to change this minimum price fluctuation to 0.0025 = C$6.25 in the coming months.
Last Trading Day
First business day preceding the 3rd Wednesday of the Delivery Month.
Final Settlement Price
The final settlement price shall be 100 minus the compounded daily CORRA rate over the Reference Quarter. It is calculated in accordance with the following formula:
"do", the number of Business Days in the Reference Quarter;
"i" is a series of whole numbers from one to do, each representing the relevant Business Day in chronological order from, and including, the first Business Day in the relevant Reference Quarter;
CORRAi = Canadian Overnight Repo Rate Average ("CORRA") value calculated and representative of the ith day of the Reference Quarter;
"ni" is the number of calendar days in the relevant Reference Quarter on which the rate is CORRAi;
"d" is the number of calendar days in the relevant Reference Quarter.
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.
Regular session: 8:00 p.m.** (t-1) to 4:30 p.m.
Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds
The Canadian Derivatives Clearing Corporation (CDCC).
- Hedging an expected change in the overnight repo rate target
- Predicting a change in the Canadian overnight repo rate target
- Spreading CRA futures against BAX futures
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.