Overnight Index Swap Futures (OIS)
Each contract shall be for a nominal value of C$5,000,000.
The compounded daily overnight repo rate (CORRA) quoted in terms of an overnight repo rate index.
Fixed rate and floating rate of the swap
Fixed for floating interest rate swap where a fixed rate is swapped against a floating rate. The floating rate is the compounded daily overnight repo rate (CORRA) over the period of the contract month.
Contract months will be listed to match the Bank of Canada's schedule of fixed announcement dates.
Index: 100 minus the compounded daily overnight repo rate (CORRA) for the contract month.
Last trading day / Expiration
The day of a Bank of Canada fixed announcement date.
Minimum price fluctuation
0.001 = C$6.25 (one-tenth of 1/100 of one percent of C$5,000,000 on a 45.625/365 day basis).
Information on position limits can be obtained from the Exchange as they are subject to periodic changes. See Circulars.
Final settlement price
The final settlement price shall be determined by the Bourse and shall be equal to 100 minus the compounded daily overnight repo rate (CORRA) expressed in terms of an overnight repo rate index and calculated over the period of the contract month that begins the day following the last Bank of Canada fixed announcement date to the day of the next Bank of Canada fixed announcement date. 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 daily overnight repo rate (CORRA) is calculated and reported by the Bank of Canada.
The final settlement price is rounded to the nearest 1/10th of one basis point (0.001). In the case a decimal fraction ends with 0.0005 or higher, the final settlement price shall be rounded up.
The final settlement price is determined on the first business day following the last day of trading.
Minimum margin requirements
Information on minimum margin requirements can be obtained from the Exchange as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.
Trading hours (Montréal time)
- Early session
- 6:00 a.m. to 7:45 a.m.
- Regular session
- 8:00 a.m. to 3:00 p.m.
- Extended session*
- 3:09 p.m. to 4:00 p.m.
* There is no extended session on the last trading day of the expiring contract month.
Note: During early closing days, the regular session closes at 1:00 p.m., time at which the daily settlement price is established. In those circumstances, the extended session is from 1:09 p.m. to 1:30 p.m.
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
- Hedging an expected change in the overnight repo rate (CORRA)
- Predicting a change in the overnight repo rate (CORRA)
- Spreading OIS futures against BAX futures
OIS-MXTM is a trademark of Bourse de Montréal Inc.