BCS - FTSE Canada Bank Credit Index Futures

Underlying

The FTSE Canada Bank Credit Spread Index.

Trading Unit

Based on the underlying index, such that each basis point of credit spread = $50 per contract. The contract size is C$5,000 x the Contract Index.

Expiry Cycle

March, June, September and December

Each contract expiry has its own associated Index series

Price Quotation

Quoted in terms of a Contract Index equal to 100 points minus the Underlying Index (expressed in %)

For example, a FTSE Canada Bank Credit Spread Index value of 87.50 shall correspond to a credit spread of 0.8750% and a contract price of 99.125

Minimum Price Fluctuation

0.005 Contract index points = C$25

Settlement Date

The third Wednesday of the expiry month

Contract Type

Cash-settled.

Last Trading Day

Trading ceases at 4:00 p.m. on the business day preceding the 3rd Wednesday of the contract expiry month.

Final Settlement Price

100 - FTSE Canada Bank Credit Spread Index value (of the contract associated Index series, expressed in %) on the last trading day.

Position Reporting Threshold

250 contracts.

Position Limit

• Information on position limits 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: 7:00 a.m.** to 4:30 p.m.

Note: During early closing days, the regular session closes at 1:30 p.m.
** ± 15 seconds

Clearing Corporation

The Canadian Derivatives Clearing Corporation (CDCC).

MX Symbol

BCS

Trading procedures

Please refer to the Rules of the Bourse.

The Montreal Exchange's status as a Foreign Board of Trade registered with the Commodity Futures Trading Commission does not enable it to make this product available to U.S. persons for trading by direct access on MX's electronic trading system.

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.