BAX Fallbacks Implementation Plan

The Montréal Exchange would like to inform market participants of its plans to transition listed CDOR-based contracts over to contracts referring the replacement rate, CORRA. To that effect, all Three-Month Canadian Bankers' Acceptance Futures (BAX) contracts that have an expiry date post CDOR's cessation are planned to be converted in Q2-2024 to equivalent Three-Month CORRA Futures (CRA) contracts.

Following conversion, only the June 2024 BAX contracts will remain listed and will adhere to standard expirations.

BAX Fallbacks Implementation Plan – View our complete guide to the conversion process.

The Montréal Exchange recommends that market participants holding open interest in BAX contracts transitioning beyond June 2024 identify and carefully monitor their positions. Market participants are encouraged to actively convert BAX positions into equivalent CORRA positions ahead of the transition, where viable using the Montréal Exchange's existing trading functionality of CORRA-BAX spreads.

In an effort to respond to market participants' needs in the most effective manner, we invite corresponding participants to share their feedback and any comments pertaining to the BAX Fallbacks Implementation Plan to their respective MX representatives or to the undersigned.

Regards,

Alexandre Prince
Senior Product Manager, Derivatives Products
Email: alexandre.prince@tmx.com

_{¹Please note that the exact date will be disclosed at a later stage.}

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