August 12, 2025Advisory Notice A25-012

Listing of Adjusted Interest Rate S&P/TSX60 Total Return Index Futures

Further to Circular ABC-123, Bourse de Montréal Inc. (the "Bourse") hereby informs its participants that, subject to completion of the regulatory process, the Adjusted Interest Rate S&P/TSX 60 Total Return Index Futures ("AIR S&P/TSX 60 Total Return Index Futures") will be listed at the opening of trading at 9:30 am (ET) on October 1, 2025.

In preparation for the launch, the Bourse invites market participants and key stakeholders to test their systems. The new contract specifications can be found below.

This contract will trade exclusively via the Basis Trade on Close (BTC) functionality. The Bourse will list four quarterly expiries starting with the December 2025 expiry as well as four yearly expiries. The following symbols will be listed at the opening of trading on October 1, 2025:

BTC Symbol	Contract Month
BAFZ25	December 2025
BAFH26	March 2026
BAFM26	June 2026
BAFU26	September 2026
BAFZ26	December 2026
BAFZ27	December 2027
BAFZ28	December 2028
BAFZ29	December 2029

The aforementioned futures contracts will be added to the High Speed Vendor Feed (HSVF) and Order Book Feed (OBF) using the current messaging protocol.

Information on the new contracts and the Accrued Financing will be made available at www.m-x.ca on the first trading day.

General Test Environment (GTE)

The AIR S&P/TSX 60 Total Return Index Futures are available for testing in the GTE environment since August 1, 2025 under the following symbols:

External BTC Symbol	Contract Month
BAFZ25	December 2025
BAFH26	March 2025
BAFM26	June 2025
BAFU26	September 2025
BAFZ26	December 2026
BAFZ27	December 2027
BAFZ28	December 2028
BAFZ29	December 2029

Timeline for the AIR S&P/TSX60 Total Return Index Futures

General Testing Environment (GTE1 & GTE3)	August 1, 2025
Production environment	October 1*, 2025

*Instruments will be broadcasted via all Multicast Feeds starting September 27, 2025

Contract Specifications

Underlying	S&P/TSX 60 Total Return Index (TX6R)
Ticker / symbol	Future: AXF Basis Trade on Close: BAF
Multiplier	C$50 times the Adjusted Interest Rate S&P/TSX 60 Total Return Index Futures contract value
Minimum price fluctuation (tick / increment)	0.5 Basis Points in terms of the TRF Spread price The Adjusted Interest Rate Total Return Futures price implied by the traded Spread will be rounded to 2 decimals
Expiry Cycle	Quarterly Cycle: March, June, September and December. Annual Cycle: expiries of 24, 36, 48 and 60 months of the December cycle.
Reference Rate	Canadian Overnight Repo Rate Average (CORRA)
Contract Type	Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day minus Accrued Financing.
Last trading day	Trading ceases on the trading day prior to the final settlement day.
Final settlement day	The third Friday of the contract month, provided it is a business day. If it is not a business day, final settlement will occur on the preceding business day.
Final settlement price	$50 multiplied by the result of subtracting the Accrued Financing from the official opening level of the S&P/TSX 60 Total Return Index.
Position reporting threshold	1,000 futures contracts on the S&P/TSX 60 Total Return Index, gross long and short, in all contract months combined.
Position limit	All-months position limit: information can be obtained from the Regulatory Division as they are subject to periodic changes. See the position limits page on the Regulatory Division website.
Trading hours	Regular session: 9:30 a.m to 4:00 p.m ET
Clearing corporation	Canadian Derivatives Clearing Corporation (CDCC)

Additional information on the product is also available on the AIR S&P/TSX 60 Total Return Index Futures' landing page.

If you require technical assistance please contact the Market Operations Department.

Regards,

Market Operations

Toll-free: 1-888-693-6366

Local: 514-871-7877

Email: Monitoring@tmx.com