Three-Month Canadian Bankers' Acceptance Futures (BAX)
Underlying
The reference Three-month Canadian Bankers' Acceptance rate. The Reference Canadian Bankers' Acceptance Rate means the daily "Canadian Dollar Offered Rate" (CDOR) expressed as an interest rate per annum.
Expiry cycle
- Quarterlies: March, June, September and December.
- Serials: two (2) nearest non-quarterly months.
Price quotation
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 six (6) nearest contract months: the two (2) nearest non quarterlies (serials) and the four (4) nearest quarterly
- 0.01 = C$25.00 per contract for all other contract months
Contract type
Cash-settled.
Last trading day
(a) For contract months expiring on or before June 28, 2024: Trading of Canadian Bankers' Acceptance Futures ceases at 10:15 a.m. (Montréal time) on the second London (Great Britain) banking day preceding the third Wednesday of the Settlement Month.
(b) For contract months expiring after June 28, 2024: Trading of Canadian Bankers' Acceptance Futures ceases at 10:15 a.m. (Montréal time) on the third Wednesday of the Settlement Month.
(c) If this day is not a business day for the Bourse or for the Montreal or Toronto banks, trading of Canadian Bankers' Acceptance Futures ceases at 10:15 a.m. (Montréal time) on the preceding business day.
Expiration 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
300 contracts.
Position limit
- All-months position limit: not applicable.
- Spot month position limit: information can be obtained from the Regulatory Division as they are subject to periodic changes. See the position limits page on the Regulatory Division website.
Maximum price variation thresholds
None.
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.
Trading hours
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.
Clearing corporation
Canadian Derivatives Clearing Corporation (CDCC).
Trading procedures
Please refer to the Rules of the Bourse.
Trading strategies
- 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)
- Credit spread (BAX - CGZ)
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.
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