February 12, 2025Advisory Notice A25-006

Update on the LGB Delivery Basket

Montreal Exchange (the "Bourse") wishes to inform market participants that the Bank of Canada has recently issued a new 30-year Government of Canada ("GoC") bond¹ that will likely be eligible for delivery from the 30-Year GoC Bond Futures ("LGB") June 2025 contract onwards.

Specifically, given the upcoming government securities auctions and recent BoC issuance pattern, the outstanding amount of the 3.50% December 2057 GoC bond (the "Bond")² will likely reach the C$3.5B nominal value threshold required to satisfy the delivery standards³ of the LGB contract before the June contract month.

Therefore, the Exchange is providing participants with a projected delivery basket table for the upcoming LGB contract months:

Government of Canada Bonds		Outstanding (CAN $ million)	March 2025	June 2025	September 2025	December 2025
Coupon	Maturity
1.75%	December 1, 2053	32 000	0.4211	0.4230
2.75%	December 1, 2055	28 750	0.5462	0.5476	0.5489	0.5503
3.50%	December 1, 2057	2 500*	Not eligible	0.6443	0.6452	0.6462

*The amount outstanding of the 3.50% December 2057 bond is projected to be at least C$3.5B as of the next scheduled auction, hence qualifying for the June 2025 delivery baskets and onwards.

The Bourse will publish a circular towards the end of February describing the new basket⁴.

If you have any questions or require additional information, please do not hesitate to contact using the contact information below.

¹Details of the bond auction are accessible on the Bank of Canada website.

²First issued on January 24th, 2025, in a size of C$2.5B

³More details on the LGB delivery standards can be found in Article 12.412 of the MX rulebook

⁴Effective once the minimum outstanding amount of C$3.5B has been met

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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.