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With over C$3 trillion in outstanding corporate debt and record ETF inflows surpassing C$21 billion in 2024, Canada’s credit markets are growing in scale and sophistication. To meet the evolving needs of market participants, the Montréal Exchange will launch a first-of-its-kind credit derivatives product, Canada Bank Credit Index Futures (CBC), in Q1-2026*.
Based on the FTSE Canada Bank Credit Spread Index, which isolates the credit spread component of a portfolio of Canadian Bank bonds, this new contract will provide transparent, flexible and direct exposure to Canadian financial sector credit risk, enhancing your toolkit for managing credit and portfolio risk.
* Subject to regulatory approval.
Manage Canadian Credit Risk with Precision
MONTRÉAL EXCHANGE
Targeted Credit Exposure: Gain direct exposure to the credit spread of Canadian banks through a futures contract built on a representative and liquid bond index.
Expanded Yield Curve Access: Add new liquid points to the Canadian-listed yield curve, enhancing curve construction and trading precision.
Efficient Hedging Tool: Manage spread risk, portfolio duration and liquidity needs with a standardized, exchange-traded solution.
Versatile Trading Strategies: Implement tactical credit views, replicate synthetic long/short credit positions, or execute relative value trades.
Why Trade Canada Bank Credit Index Futures?
CBC contracts are designed to complement existing fixed income tools like ETFs and total return swaps while offering distinct advantages, such as:
How CBC Works
Each CBC contract tracks a specific FTSE Canada Bank Credit Spread Index series tied to a basket of up to 24 Canadian bank bonds. The index is calculated using market cap-weighted credit spreads over benchmark GoC bonds and reflects a duration of ~3–3.5 years.
New Index series are published ahead of each roll period, providing complete visibility into the contract’s underlying components and ensuring price transparency throughout the lifecycle.
Resources
Introducing FTSE Canada Bank Credit Index Futures
Trading Strategies
CBC is a cost-efficient way to:
- Manage credit and interest rate exposure with one instrument
- Execute synthetic credit trades without owning the underlying
- Hedge liquidity or duration mismatches
- Implement long/short and curve strategies
- Overlay portfolio exposures or express macro credit views
See how the CBC adds new precision points to Canada’s listed yield curve.
What Sets the CBC Apart?
Index Transparency & Stability
Each contract is tied to a published Index series with fixed constituents, offering clarity from pre-roll through to settlement.
Correlation to Canadian Credit Market
The underlying index demonstrates a strong correlation to the Canadian corporate bond sector.
Simplified Construction
No need for ISDA agreements or complex structuring; gain clean exposure via an exchange-traded vehicle.
CBC is expected to launch in Q1 2026, subject to regulatory approval.
Designed with precision and transparency in mind, the CBC contract introduces key advantages that differentiate it from other credit instruments.
Contract At-a-Glance (Subject to Regulatory Approval)
Expiry Months
FTSE Canada Bank Credit Spread Index
Underlying
Trading Unit
Based on the Underlying Index, such that each basis point of credit spread = $50 per contract.
Price Quotation
Index points
Tick Size
Half (1/2) basis point = C$25
Mar, Jun, Sept, Dec (IMM dates)
Cash-settled on the third Wednesday of the expiry month
Settlement
Block Eligible
CS01
Final Settlement Price
Yes
Based on the FTSE Index series on the last trading day
Constant at C$50 per basis point
MX is building out the curve
Detailed contract specifications will be made available shortly.