June 27, 2024Advisory Notice A24-013

Inclusion of CORRA Futures Packs and Bundles on Bloomberg and LSEG Data & Analytics

The Montreal Exchange is pleased to inform its participants that Three-Month CORRA Futures packs and bundles are now available on the Bloomberg Terminal as well as on LSEG Data & Analytics' platforms, providing market participants with additional tools to electronically access pricing, liquidity and trading across Canada's short-term interest rate segment.

The integration provides participants with complete access to CORRA's listed term structure through all Bloomberg's Terminals and Refinitiv's platforms. Through the integration with Bloomberg, a larger group of market participants are now able to view and execute CORRA intra-market combination strategies, a beneficial functionality to trade at different points on the short-end of the curve in a single transaction. This will build upon the pre-existing activity in 3M CORRA futures packs and bundles (120k+ contracts traded YTD, more than 15 exchange participants involved in transactions).

The following codes and feeds are now available:

CRA packs and bundles	contracts	Bloomberg*	LSEG Data & Analytics	MX HSVF OBF Feeds*
One-year packs	four consecutive quarterly contracts	COR1YF4 Comdty	CRAST	CRAF2404
Two-year bundles	eight consecutive quarterly contracts	COR2YF4 Comdty		CRAF2408
Three-year bundles	twelve consecutive quarterly contracts	COR3YF4 Comdty		CRAF2412

*F Character represents F for Front month Symbol and can either be H,M,U or Z. The number 4 (for Bloomberg) and 24 (for the MX HSVF OBF Feeds) stands for 2024 and represent the expiry calendar year.

For more information about the pricing and the trading of CRA strips, packs and bundles, please visit:

The general overview of Strips web page
An introduction to the pricing and trading of Strips document

Please visit TMX <go> for more information on MX products.

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.