Five-Year Government of Canada Bond Futures (CGF)

Underlying

C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon.

Expiry cycle

March, June, September and December.

Price quotation

Per C$100 nominal value.

Minimum price fluctuation

0.01 = C$10 per contract.

In some cases for inter-group strategies (IGS), the allocation price can be smaller than the minimum tick. Click here for more details.

Contract type

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 day

Expiration occurs on the last trading day.

Delivery notices

Delivery notices should be submitted before 5:30 p.m. or before such time set by the clearing corporation on any business day, between the first business day preceding the first business day of the delivery month and the first business day preceding the last business day of the delivery month, inclusively.

Delivery day

Delivery should be made on the first 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.

Delivery standards

Government of Canada Bonds which:

have a remaining time to maturity of between 4 ½ years and 5 ½ 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$3 billion nominal value;
are originally issued at five-year Government of Canada bond auctions (a bond which has an original maturity of more than five years and nine months 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 $3 billion);
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 12.212 of the Rules of the Bourse.

Position reporting threshold

250 contracts.

Position limit

Information on position limits 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: 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.

CGF® is a registered trademark of Bourse de Montréal Inc.