Final reminder - Conversion of BAX into CRA contracts

Further to Advisory Notice A23-009, the Montréal Exchange (the "Bourse") would like to remind its market participants that the Three-Month Canadian Bankers' Acceptance Futures (BAX) contracts that expire after June 2024 will be converted into an equivalent number of Three-Month CORRA Futures (CRA) contracts, on April 26, 2024, after market close. The conversion will mark a key milestone in the transition away from CDOR and ahead of its final publication cessation on June 28, 2024.^[1]

More details around the schedule and operational process of the transition weekend can be found in our BAX Fallback Implementation plan. The Canadian Derivatives Clearing Corporation (CDCC) will perform the conversion of the following Futures contracts:*

*The June 2024 BAX contract will remain listed and tradeable through its expiration date.

Some key notes and reminders around the conversion:

• Effective April 12, 2024, after market close, the last trading day for BAX in the HSVF and OBF feed will reflect the conversion date of April 26, 2024 for all of the contracts expiring after June 2024.
• On the conversion date (April 26, 2024), trading on all BAX contract expiries (including the BAX expiries that are subject to the conversion) will remain available until 4:30 pm, the usual daily closing time.
• The conversion will be based on the following methodology: BAX settlement = CRA settlement - ISDA Spread Adjustment (32.138bps).
• Resulting BAX prices will be truncated to handle 4 decimals. The 5th decimal will be reflected through a cash adjustment at CDCC.
• CDCC reports will display closing / opening trades on Monday following conversion to each Clearing Member.

Additionally, the following measures will apply following the conversion (as of April 26, 2024 after market close):

• The opening time of the June 2024 BAX contract and related strategies will be moved from 2:00 am to 7:00 am ET.
• In the event that the daily settlement price procedure cannot be used to determine an appropriate daily settlement price of the remaining June 2024 BAX contract, the Bourse may calculate the daily settlement price of such BAX contract based on the price variation of the June 2024 CRA contract.

The Bourse also would like to remind participants that they still have the ability to use CORRA-BAX spreads^[2] to proactively reallocate their BAX positions towards CORRA.

Participants are encouraged to contact their Clearing Member to ensure a proper management of the conversion process should they hold any eligible BAX positions.

Regards,

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.

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^[1] Refinitiv - Announcement of cessation of CDOR in June 2024

^[2] Inclusion of CRA/BAX Inter-Commodity spreads on Bloomberg and Refinitiv