What is the size of a trading unit for Bax?

The size of the trading unit for BAX for a given contract month is the index * C$2,500. In the futures market, the purchaser of a BAX contract buys it at its trading value. An actual payment is not required; rather, the purchaser deposits security (an initial margin) as a sign of good faith that the contract will be honoured.

How does a banker buy a Bax?

In the secondary market, an investor purchasing bankers’ acceptances buys them at the discounted price and, at maturity, receives their face value. The BAX was the first interest rate futures product to be listed on the Montréal Exchange. It is recognized as the benchmark for Canadian short-term interest rates.

How is Bax quoted?

BAX are quoted on an index basis: 100 minus the annualized yield of three-month Canadian bankers’ acceptances (three-month CDOR). The size of the trading unit for BAX for a given contract month is the index * C$2,500. In the futures market, the purchaser of a BAX contract buys it at its trading value.

When does a Bax futures expire?

For example, on September 17, 2018, the October and November serial BAX futures are listed in addition to the BAX December quarterly contract. With the expiry of the October contract, the January serial BAX contract is immediately listed; with the expiry of the November contract, the February serial is added, and so forth.