April 4, 2022Advisory Notice A22-003
Listing of New Total Return Sector Index Futures
Bourse de Montréal Inc. (the "Bourse") wishes to inform market participants that it will list the below six new Total Return Sector Index Futures at the opening of trading at 9:30 am (ET) on Tuesday, May 3 2022:
- S&P/TSX Composite Index Energy GICS Sector Total Return Futures (SXD)
- S&P/TSX Composite Financials GICS Level Sector Total Return Index Futures (SXG)
- S&P/TSX Composite Index Real Estate GICS Sector Total Return Futures (SXR)
- S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index Futures (SXT)
- S&P/TSX Composite Media GICS Industry Group Total Return Index Futures (SXS)
- S&P/TSX Composite Insurance GICS Industry Group Total Return Index Futures (SXW)
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.
The Bourse will list four (4) quarterly contracts starting with the June 2022 expiry as well as intra-group strategies (calendar spreads) and Basis Trade on Close (BTC) instruments. The following futures contracts will be listed at the open of trading on May 3, 2022.
OUTRIGHTS | BASIS TRADE ON CLOSE (BTC) | ||
EXTERNAL | CONTRACT MONTH | EXTERNAL | CONTRACT MONTH |
SXDM22 | JUNE 2022 | BXDM22 | JUNE 2022 |
SXDU22 | SEPTEMBER 2022 | BXDU22 | SEPTEMBER 2022 |
SXDZ22 | DECEMBER 2022 | BXDZ22 | DECEMBER 2022 |
SXDH23 | MARCH 2023 | BXDH23 | MARCH 2023 |
SXGM22 | JUNE 2022 | BXQM22 | JUNE 2022 |
SXGU22 | SEPTEMBER 2022 | BXQU22 | SEPTEMBER 2022 |
SXGZ22 | DECEMBER 2022 | BXQZ22 | DECEMBER 2022 |
SXGH23 | MARCH 2023 | BXQH23 | MARCH 2023 |
SXRM22 | JUNE 2022 | BXNM22 | JUNE 2022 |
SXRU22 | SEPTEMBER 2022 | BXNU22 | SEPTEMBER 2022 |
SXRZ22 | DECEMBER 2022 | BXNZ22 | DECEMBER 2022 |
SXRH23 | MARCH 2023 | BXNH23 | MARCH 2023 |
SXTM22 | JUNE 2022 | BXJM22 | JUNE 2022 |
SXTU22 | SEPTEMBER 2022 | BXJU22 | SEPTEMBER 2022 |
SXTZ22 | DECEMBER 2022 | BXJZ22 | DECEMBER 2022 |
SXTH23 | MARCH 2023 | BXJH23 | MARCH 2023 |
SXSM22 | JUNE 2022 | BXXM22 | JUNE 2022 |
SXSU22 | SEPTEMBER 2022 | BXXU22 | SEPTEMBER 2022 |
SXSZ22 | DECEMBER 2022 | BXXZ22 | DECEMBER 2022 |
SXSH23 | MARCH 2023 | BXXH23 | MARCH 2023 |
SXWM22 | JUNE 2022 | BXTM22 | JUNE 2022 |
SXWU22 | SEPTEMBER 2022 | BXTU22 | SEPTEMBER 2022 |
SXWZ22 | DECEMBER 2022 | BXTZ22 | DECEMBER 2022 |
SXWH23 | MARCH 2023 | BXTH23 | MARCH 2023 |
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 will be made available at www.m-x.ca on the first trading day.
General Test Environment (GTE)
The S&P/TSX Composite GICS Index Futures are now available for testing in the GTE environment under the following symbols:
Underlying Index Name | Future Symbol | BTC Symbol |
S&P/TSX Composite Index Energy GICS Sector Total Return | SXD | BXD |
S&P/TSX Composite Financials GICS Level Sector Total Return Index | SXG | BXQ |
S&P/TSX Composite Index Real Estate GICS Sector Total Return | SXR | BXN |
S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index | SXT | BXJ |
S&P/TSX Composite Media GICS Industry Group Total Return Index | SXS | BXX |
S&P/TSX Composite Insurance GICS Industry Group Total Return Index | SXW | BXT |
New S&P/TSX Composite GICS Index Futures Timeline
General Testing Environment (GTE1, GTE2 & GTE3) | April 1st, 2022 |
New S&P/TSX Composite GICS Index Futures in Production Environment | May 3rd, 2022 |
Contracts Specifications
S&P/TSX Composite Energy GICS Sector Total Return Index | |
Underlying Index |
S&P/TSX Composite Energy GICS Sector Total Return Index |
Multiplier | C$50 × the S&P/TSX Composite Energy GICS Sector Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 50,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|
S&P/TSX Composite Financials GICS Level Sector Total Return Index | |
Underlying Index |
S&P/TSX Composite Financials GICS Level Sector Total Return Index |
Multiplier | C$50 × the S&P/TSX Composite Financials GICS Level Sector Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 30,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|
S&P/TSX Composite Real Estate GICS Sector Total Return Index | |
Underlying Index | S&P/TSX Composite Real Estate GICS Sector Total Return Index |
Multiplier | C$20 × the S&P/TSX Composite Real Estate GICS Sector Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 30,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|
S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index | |
Underlying Index | S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index |
Multiplier | C$50 × the S&P/TSX Composite Telecom Services GICS Level Sector Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 30,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|
S&P/TSX Composite Media GICS Industry Group Total Return Index | |
Underlying Index | S&P/TSX Composite Media GICS Industry Group Total Return Index |
Multiplier | C$50 × the S&P/TSX Composite Media GICS Industry Group Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 20,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|
S&P/TSX Composite Insurance GICS Industry Group Total Return Index | |
Underlying Index | S&P/TSX Composite Insurance GICS Industry Group Total Return Index |
Multiplier | C$50 × the S&P/TSX Composite Insurance GICS Industry Group Total Return Index |
Expiry Cycle | March, June, September, December |
Price Quotation | Quoted in index points, expressed to two decimals |
Minimum Price Fluctuation |
|
Contract Type | Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day. |
Last Trading Day | Trading ceases on the last trading day prior to the final settlement day. |
Position Reporting Threshold | 500 contracts gross long and short in all contract months combined (* same as Sector Index Futures) |
Position Limit | 30,000 contracts net long or net short in all contract months combined |
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. |
Trading Hours |
|