January 30, 2024Advisory Notice A24-005

Modification to order price limit of BAX and opening time of STIRs strategies

Montreal Exchange (the "Bourse") wishes to inform market participants that, in order to improve robustness of the short-term interest rate derivatives market in the context of the Canadian benchmark transition, the following modifications will take effect after market close on February 2nd, 2024.

Order price protection limit ("X" limit) of BAX:

Change from 0.90 for the whole trading session to 0.25 from the pre-opening time (1:30:00 a.m) and up to 6:00:00 am, as of which it will remain 0.90 until the end of the trading day.

Pre-opening and opening hours of STIRS futures and options strategies (currently applicable to BAX, CRA, COA and OBX strategies):

No-cancel time changed from 1:59:15 a.m. to 2:01:00 a.m.
Opening changed from 2:00:15 a.m. to 2:02:00 a.m.

Note that the no-cancel time and the opening time of the outright products (underlying of the strategies) remain unchanged at 1:59:15 a.m and 2:00:00 a.m. +/- 15 seconds respectively.

The following tables summarizes the changes as of the effective date:

Product	Order Price limit (X limit)
Three-Month Canadian Banker's Acceptance Futures (BAX)	~~0.90~~ 0.25 from the pre-opening and up to 6:00:00 a.m.*; 0.90 afterwards

*Market supervisors may move the order price limit to 0.90 prior to 6:00:00 if market conditions allow it.

Strategies involving the following products	Pre-opening	No-Cancel	Opening
Three-Month Canadian Banker's Acceptance Futures (BAX), Three-Month CORRA Futures (CRA), One-Month CORRA Futures (COA), Options on BAX (OBX), Options on CRA (OCR)*	1:30:00 a.m. (no change)	~~1:59:15 a.m.~~ 2:01:00 a.m.	~~2:00:15 a.m.~~ 2:02:00 a.m.

*Target launch date is February 12th, 2024

More information regarding the order price protection limit and the trading hours and stages can be found on the following links:

All times mentioned are Eastern Time (ET).

For additional information on this notice, or if you require technical assistance, please contact the Market Operations' desk.

Market Operations
Toll-free: 1-888-693-6366
Local: 514-871-7871
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.