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January 19, 2023Advisory Notice A23-001

Reminder - Listing of One-Month CORRA Futures (COA)

Pursuant to Circular 011-23, Bourse de Montréal Inc. (the "Bourse") wishes to remind its market participants that it will list its new One-Month CORRA Futures Contract ("COA") on Monday, January 23, 2023.

In preparation for 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 the nearest four calendar contract months, as well as intra-group strategies (spreads, strips, etc.) and inter-group strategies with 3M CORRA Futures ("CRA") contracts. The COA 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). More details can be found in Advisory notice A22-018.

The contracts were 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/coa

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



C|O|A One-Month CORRA Futures

SPECIFICATIONS
Underlying Compounded daily Canadian Overnight Repo Rate Average ("CORRA") during the Contract Month.
Trading Unit Compounded daily Canadian Overnight Repo Rate Average (CORRA) during the Contract Month, such that each basis point per annum of interest = $25 per contract. The contract size is C$2500 x Index.
Contract Month For each contract, the Contract Month corresponds to the settlement month.
Expiry Cycle

Up to the nearest seven (7) monthly contract months.

(Note: The initial listing (on January 23, 2023) will be the four (4) nearest contract months)

Price Quotation

Index: 100 – R.

R = the compounded daily CORRA for the Contract Month

Minimum Price Fluctuation

0.0025 = C$6.25 for the nearest listed contract month

0.005 = C$12.50 for all other contract months

Contract Type Cash-settled.
Last Trading Day Last business day of the Contract Month
Final Settlement Price

The final settlement price shall be 100 minus the compounded daily CORRA rate over the Contract Month. It is calculated in accordance with the following formula:

Where:

"do", the number of Business Days in the Contract Month;

"i" is a series of whole numbers from one to do, each representing the relevant Business Day in chronological order from, and including, the first Business Day in the relevant Contract Month;

CORRAi = Canadian Overnight Repo Rate Average ("CORRA") value calculated and representative of the ith day of the Contract Month;

"ni" is the number of calendar days in the relevant Contract Month on which the rate is CORRAi;

"d" is the number of days from, and including, the first Business Day in the relevant Contract Month up to, and excluding, the first Business Day in the next calendar month.

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 COA



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.

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