Three-Month Canadian Bankers' Acceptance Futures (BAX)


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 all contract months

Contract type


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 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


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: 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.

Clearing corporation

Canadian Derivatives Clearing Corporation (CDCC).

Trading procedures

Please refer to the Rules of the Bourse.

Trading strategies

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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