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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET




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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET



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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET



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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET



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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET





 

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
  • 0.10 index points for outright positions
  • 0.01 index points for calendar spreads ;
  • 0.05 index points for outright Basis Trades on Close
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
  • Early session* 8:00 p.m. (t-1) to 9:15 a.m.
  • Regular session 9:30 a.m. to 4:30 p.m.
  • Basis Trades on Close: Regular session 9:30 a.m. to 3:30 p.m. ET

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