Inclusion of CRA/BAX Inter-Commodity spreads on Bloomberg and Refinitiv

Pursuant to Advisory Notice A22-009 regarding Canada's benchmark transition and to further support a seamless transition from Three-Month Canadian Bankers' Acceptance Futures (BAX) to Three-Month CORRA Futures (CRA), the Montréal Exchange is pleased to inform its participants that CRA/BAX inter-commodity spreads are now available on the Bloomberg and Refitiniv Terminals, providing market participants with additional tools to electronically access pricing, liquidity and trading for the Bourse's short-term interest rate futures.

The integration provides participants with complete access to the inter-commodity spreads between CORRA and BAX futures contracts through all Bloomberg and Refinitiv's Terminals. Through this integration, a larger group of market participants are now able to view and execute the Bourse's short-term interest rate futures, a beneficial functionality in their broad transition from CDOR to CORRA.

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The following codes and feeds are now available:

*F Character represents F for Front month Symbol and can either be H,M,U or Z. 20 in the example stands for 2020, but will be represented by the actual real expiry calendar year.

Regards,

Market Operations

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