Update on 3M CORRA Futures and BAX following the CDOR cessation announcement

Montreal Exchange (the "Bourse") wishes to inform market participants that it supports RBSL's decision to cease the publication of CDOR after June 28, 2024, along with the announcements from the Bank of Canada and regulatory bodies to provide a clear path forward, towards CORRA. Following these statements, and in collaboration with the Canadian Alternative Reference Rate Working Group (CARR), the Bourse is committed to help facilitate transition efforts and ensure continued financial stability.

To that end, the Bourse is pleased to announce a new market-making program for its Three-Month CORRA futures (CRA) program. The initiative is set to gradually improve liquidity conditions and facilitate the transition to CORRA as a key benchmark rate. For more information, please visit Montreal Exchange's micro-website on CORRA.

The Bourse also supports improvements to fallback provisions on derivatives products linked to CDOR, such as the Three-Month Canadian Bankers' Acceptance Futures (BAX), providing market participants with greater clarity on what to expect going forward. Therefore, the Bourse would like to share the following details regarding the future of BAX:

First, in order to allow market participants to properly manage CDOR exposure until full cessation, the Bourse will - until further notice - continue to list new BAX expiries following the current listing process. Second, the Bourse (along with CDCC) is planning a conversion mechanism that will allow BAX open interest holders to convert their outstanding positions (post June 2024 expiries) into equivalent 3M CORRA Futures contracts (CRA), using the CAD fallback spread adjustment. Finally, the Bourse plans to stop listing Options on BAX for post June 2024 expiry dates, and expects to launch Options on 3M CORRA Futures in 2023.

The Bourse will continue to work in collaboration with the industry and the CARR working group to ensure a smooth transition. Additionally, the Bourse plans to provide more details about the review of the fallback provision in due time and reserves the right to make necessary adjustments based on further market assessment and consultations with market participants.

For additional information on this notice, or if you require technical assistance, please contact the Technical Help Desk.

Technical Help Desk

Toll-free: 1-877-588-8489

Local: 514-871-7872

Email: MarketOps@tmx.com

The information contained in this document is for information purposes only and shall not be construed as legally binding. This document is a summary of the product's specifications which are set forth in the Rules of Bourse de Montreal Inc. ("Rules of the Bourse"). While Bourse de Montreal Inc. endeavors to keep this document up to date, it does not guarantee that it is complete or accurate. In the event of discrepancies between the information contained in this document and the Rules of the Bourse, the latter shall prevail. The Rules of the Bourse must be consulted in all cases concerning product's specifications.

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