November 2, 2022Advisory Notice A22-014
New Inter-Group Strategies for GoC Bond Futures
Bourse de Montréal Inc. (the "Bourse") wishes to inform market participants that it will list the below Inter-Group Strategies ("IGS") for Government of Canada ("GoC") Bond Futures at the opening of trading at 8:00 pm (ET) on Sunday, November 13th, 2022, applicable to the March 2023 contracts:
| Description | Ratio | Strategy Code (Symbol) |
| Standard 2Y / 10Y GoC bond futures spread | 11:2 | 11CGZH23-2CGBH23 |
| Standard 2Y / 30Y GoC bond futures spread | 20:1 | 20CGZH23-1LGBH23 |
| Standard 5Y / 30Y GoC bond futures spread | 7:1 | 7CGFH23-1LGBH23 |
| Standard 10Y / 30Y GoC bond futures spread | 7:2 | 7CGBH23-2LGBH23 |
| Standard 2Y / 5Y / 30Y GoC bond futures butterfly | 20: -14: 1 | 20CGZH23-14CGFH23+1LGBH23 |
| Standard 2Y / 10Y / 30Y GoC bond futures butterfly | 20: -7: 1 | 20CGZH23-7CGBH23+1LGBH23 |
| Standard 5Y / 10Y / 30Y GoC bond futures butterfly | 7: -7: 1 | 7CGFH23-7CGBH23+1LGBH23 |
Note that, as opposed to other GoC bond futures, the LGB product opening time is 7:00 am ET, and that an IGS can only be traded when all of its components (legs) are open for trading.
The products will be added to the following Platforms:
| GTE Availability (Business Date) | Prod Activation (Business Date) |
| November 3rd, 2022 | November 14th, 2022 |
These strategies will then become part of the standard IGS listed on a quarterly basis, along with the following existing GoC bond futures strategies:
| Description | Ratio |
Generic Strategy Code (Symbol) (x = contract month, z = contract year) |
| Standard 2Y / 5Y GoC bond futures spread | 3:1 | 3CGZxzz-1CGFxzz |
| Standard 5Y / 10Y GoC bond futures spread | 2:1 | 2CGFxzz-1CGBxzz |
| Standard 2Y / 5Y / 10Y GoC bond futures spread | 6: -4: 1 | 6CGZxzz-4CGFxzz+1CGBxzz |
If you have any questions or require additional information, please do not hesitate to contact us at the below coordinates.
Regards,
Market Operations Department
Futures: 514-871-7871 or 1-888-693-6366
Options: 514-871-7877 or 1-866-576-8836
Email: Monitoring@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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