AXF - Adjusted Interest Rate S&P/TSX 60 Total Return Index Futures
Ticker Symbol
AXF
Basis Trade on Close: BAF (Trading only available via Basis Trade on Close)
Underlying
The S&P/TSX 60 Total Return Index
Multiplier
C$50 times the Adjusted Interest Rate S&P/TSX 60 Total Return Index Futures contract value
Expiry cycle
Quarterly Cycle: March, June, September and December.
Annual Cycle: expiries of 24, 36, 48 and 60 months of the December cycle.
Price quotation
Quoted in basis points, expressed to two decimals.
Minimum price fluctuation
0.5 Basis Points in terms of the TRF Spread price
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.
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 halt
A trading halt will be invoked in conjunction with the triggering of "circuit breakers" on the underlying issues.
Minimum margin requirements
Information on minimum margin limits 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: 9:30 a.m to 4:00 p.m ET
Clearing corporation
Canadian Derivatives Clearing Corporation (CDCC).
Trading procedures
Please refer to the Rules of the Bourse.
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 Montréal Inc. ("Rules of the Bourse"). While Bourse de Montréal 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 products' specifications.
The S&P/TSX 60 Index is a product of S&P Dow Jones Indices LLC ("SPDJI") and TSX Inc. ("TSX"). Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and TSX® is a registered trademark of TSX. SPDJI, Dow Jones, S&P and TSX do not sponsor, endorse, sell or promote any products based on the S&P/TSX 60 Index and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the S&P/TSX 60 Index or any data related thereto.