Montréal Exchange - Two-Year Government of Canada Bond Futures (CGZ)

CGZ^TM – Two-Year Government of Canada Bond Futures

Trading Unit

C$200,000 nominal value Government of Canada bond with 4% notional coupon.

Contract Months

March, June, September and December.

Price Quotation

Par is on the basis of 100 points where one point equals to C$2,000.

Last Trading Day/Expiration

Trading ceases at 1:00 p.m. (Montréal time) on the 7th business day preceding the last business day of the delivery month.

Contract Type

Physical delivery of eligible Government of Canada Bonds. See Circulars.

Price Fluctuation

0.005 = C$10

Reporting Limit

250 contracts.

Delivery Standards

Government of Canada bonds which:

have a remaining time to maturity of between 1½ year and 2½ 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$2.4 billion nominal value.
are originally issued at 2-year, 5-year or 10-year Government of Canada bond auctions.
are issued and delivered on or before the 15th day preceding the first delivery notice day of the contract.

Price Limits

3 points (C$6,000) per contract above or below the previous day's settlement price. The following limits also apply:

Early session: A limit based on a risk percentage established by the clearing corporation and margin requirements, which both can change periodically.
Curb trading session: A trade may not take place at a price that is outside of the high and low of the day, except for contrats that have been settled outside of their high-low range of the day, in which case, trades may occur only at the settlement price.

Trading Hours (Montréal time)

Early session: 6:00 a.m. to 8:05 a.m.
Regular session: 8:20 a.m. to 3:00 p.m.
Curb trading session: The curb trading session begins once settlement prices have been determined and ends at 4:00 p.m.