THE ECONOMICS OF MONEY,BANKING, AND FINANCIAL MARKETS 382

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 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