Update on BAX Fallbacks Implementation Plan

As outlined in June 2023 (Advisory Notice A23-007), the Montréal Exchange (the "Bourse") would like to remind its market participants that the Bourse's CDOR-referenced contracts - Three-Month Canadian Bankers' Acceptance Futures (BAX) contracts - that expire after June 2024 will be converted into a notional equivalent number of CORRA-referenced contracts, applying the applicable ISDA spread adjustment.

Following a market consultation, and in light of LCH's recent announcement on conversion of outstanding cleared CAD CDOR contracts[1], the Bourse, in collaboration with its clearinghouse, the Canadian Derivatives Clearing Corporation (CDCC), plans to convert BAX contracts into equivalent Three-Month CORRA Futures (CRA) contracts on April, 26, 2024, following close of business day[2].

External and internal consultations have led to an updated conversion guide, accessible here: BAX Fallbacks Implementation Plan. Please take note of the following mentions:

• BAX configuration to handle 4 decimals will be performed a week prior conversion.
• A cash adjustment to account for the 5th decimal BAX settlement value will be implemented by CDCC on Monday following the conversion.
• CDCC reports will display closing / opening trades on Monday post-conversion.
• Conversion on April 26, 2024 will be subject to a one-off conversion fee.

The Montréal Exchange continues to support market participants through their transition to CORRA. As we mark the final stages of the changeover to the new interest rate benchmark rate, market participants also have the ability to proactively 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.

Regards,

Alexandre Prince

Executive Director, Interest Rate Derivatives

Email: alexandre.prince@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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[1] LCH Consultation on Conversion of Outstanding Cleared CAD CDOR Contracts

[2] Pending any regulatory approvals