January 29, 2024Advisory Notice A24-004

Reminder - Listing of Options on Three-Month CORRA Futures (OCR)

Pursuant to Circular 008-24 and Advisory Notice A23-013, Bourse de Montréal Inc. (the "Bourse") wishes to remind its market participants that it will list its new Options on Three-Month CORRA Futures Contract ("OCR") on Monday, February 12, 2024.

The Bourse will initially list the nearest seven quarterly contract months, starting with the March 2024 contract. The OCR contract and related strategies opening time will be 2:00 am (ET), similar to the Bourse's other short-term interest rate futures (BAX and CRA product). As of the launch date, the following contracts will be available for trading:

Product (Symbol)

Contract Months

Strike price listed* (Calls and Puts)

Options on Three-Month CORRA Futures (OCR)

March 2024 and 2025 (H24 and H25)

June 2024 and 2025 (M24 and M25)

September 2024 and 2025 (U24 and U25)

December 2024 (Z24)

From 93.50 to 98.50

in increment of 12.5 cents

*Subject to change if meaningful interest rate movements are observed prior to the launch date. The Bourse reserves the right to list additional strike prices from time to time based on market demand.

The contracts will be added to the High Speed Vendor Feed (HSVF) and Order Book Feed (OBF) using the current messaging protocols to allow vendors to refresh their dictionaries and data repositories. All information on the new contracts will be made available at https://www.m-x.ca/en/markets/interest-rate-derivatives/ocr.

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

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

O|C|R Options on Three-Month CORRA Futures

SPECIFICATIONS
Underlying	Standard Quarterly Options (OCR): The Three-Month CORRA Futures contract for which the Reference Quarter begins on the third Wednesday of the month in which such options expire. Serial Options (OCR): Next quarterly Three-Month CORRA Futures contract to start its Reference Quarter period following the option expiry. 1Y (OCY) and 2Y (OCZ) Mid-Curve Options: The corresponding Three-Month CORRA Futures contract that expires one year (1Y mid-curve) and two year (2Y mid-curve) after the option expires
Trading Unit	One Three-Month CORRA Futures (CRA)
Expiry Cycle	Standard Quarterly Options: The nearest seven (7) monthly contract months in the March, June, September, December quarterly cycle. Serial Options: The two (2) nearest non-quarterly months in the January, February, April, May, July, August, October, November cycle. Mid-Curve Options: The four (4) nearest months in the March, June, September, December quarterly cycle.
Premium quotation	Quoted in points where each 0.01 point (1 basis point) represents C$25. For example, a quote of 0.465 represents a total option premium of C$1,162.50 (46.5 basis points × C$25).
Minimum Price Fluctuation of the Option Premium	0.005 = C$12.50 per contract 0.001 = C$2.50 per contract for cabinet trades
Contract Type	American Style
Last Trading Day	The Friday before the 3rd Wednesday of the contract month.
Strike Prices	Set at a minimum of 0.125 points intervals per Three-Month CORRA Futures contract.
Position Reporting Threshold	300 contracts
Position Limit	Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.
Minimum Margin Requirements	Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.
Trading Hours	Regular session: 2:00 a.m.to 4:30 p.m. ET. Note: During early closing days, the regular session closes at 1:30 p.m. ± 15 seconds
Clearing Corporation	The Canadian Derivatives Clearing Corporation (CDCC)
Ticker Symbol	OCR for Standard Quarterly and Serial Options, OCY and OCZ for 1Y and 2Y Mid-Curve options

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.