THE ECONOMICS OF MONEY,BANKING, AND FINANCIAL MARKETS 382
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350
PA R T I V
The Management of Financial Institutions
FINANCIAL NEWS
Interest-Rate Futures
The prices for interest-rate futures contracts are
available on the Montreal Exchange s website.
An excerpt is reproduced here.
3-Month Canadian Bankers Acceptances Futures (BAX)
Month
Open
High
Low
Last
Net Chg.
Volume
Op. Int.
JN 10
SE 10
98.460
98.250
98.460
98.250
98.400
98.190
98.460
98.220
0.050
0.150
1067
153
3440
827
30-Day Overnight Repo Rate Futures (ONX)
Month
Open
High
Low
Last
Net Chg.
Volume
Op. Int.
SE 09
DE 09
0.000
0.000
0.000
0.000
0.000
0.000
98.050
98.150
0.000
0.000
0
0
0
0
10-Year Government of Canada Bond Futures (CGB)
Month
Open
High
Low
Last
Net Chg.
Volume
Op. Int.
MR 09
125.020
125.300
124.230
125.250
0.020
11415
134779
Source: TMX Montreal Exchange, Intra-Session Summary, www.m-x.ca/nego_intra_en.php.
The following information is included in each
column. The Montreal Exchange s contract for
delivery of 10-year Canadian government
bonds in March 2009 is used as an example.
Month: Maturity month of the futures contract.
Open: Opening price 125.020 is $125 020 for
the March contract.
High: Highest traded price that day 125.300 is
$125 300 for the March contract.
Last: The closing price that day 125.250 is
$125 250 for the March contract.
Net Chg: Change in the settlement price from
the previous day 0.020 is $20.
Volume: Number of contracts traded that day:
11 415.
Op. Int.: Number of contracts outstanding
134 779 for the March contract, with a face
value of (134 779 * $100 000).
Low: Lowest traded price that day 124.230 is
$124 230 for the March contract.
The contract value is for $100 000 face value of bonds. Prices are quoted in points,
with each point equal to $1000, and the smallest change in price is one hundredth
of a point ($10). This contract specifies that the bonds to be delivered must have at
least 10 years to maturity at the delivery date. If the Canada bonds delivered to settle the futures contract have a coupon rate different from (say) the 6% specified in
the futures contract, the amount of bonds to be delivered is adjusted to reflect the
difference in value between the delivered bonds and the 6% coupon bond. In line
with the terminology used for forward contracts, parties who have bought a futures
