The Adjusted Interest Rate S&P/TSX 60 Total Return Index Future offers investors a standardized, exchange-traded alternative to over-the-counter (OTC) total return swaps. This innovative product provides exposure to Canada's benchmark S&P/TSX 60 Total Return Index with the benefits of central clearing and enhanced capital efficiency.
Key Benefits
Enhanced Market Access
- Gain exposure to Canada's leading equity index
- Trade total returns through a standardized, listed derivative
- Benefit from central clearing and reduced counterparty risk
Operational Excellence
- Standardized trading and familiar pricing approach
- Cross-margining opportunities with Index Futures and Sector Index Futures.
Capital Efficiency
- Optimized margin requirements through central clearing
- Reduced operational complexity versus OTC solutions
- Transparent pricing and daily mark-to-market
Market Flexibility
- Quarterly expiration for the first year and annual expiry cycle up to 5 years
- Trade during regular market hours (9:30 a.m. - 3:45 p.m. ET)
- Multiple trading strategies supported, including basis trades
Product Specifications
Key Contract Details
| Underlying | S&P/TSX 60 Total Return Index (TX6R) |
| Ticker / Symbol |
Future: AXF Basis Trade on Close: BAF |
| Multiplier | C$50 times the Adjusted Interest Rate S&P/TSX 60 Total Return Index Futures contract value |
| Minimum Price Fluctuation |
0.5 Basis Points in terms of the Total Return Futures Spread (tick / increment)
The Adjusted Interest Rate Total Return Futures price implied by the traded Spread will be rounded to 2 decimals |
| Expiry Cycle |
Quarterly Cycle: March, June, September and December. Annual Cycle: Expiries of 24, 36, 48 and 60 months of the December cycle. |
| Reference Rate | Canadian Overnight Repo Rate Average (CORRA) |
| 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. |
| Final Settlement Price | $50 multiplied by the result of subtracting the Accrued Financing from the official opening level of the S&P/TSX 60 Total Return Index. |
| 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 | None considering the underlying is a broad based index |
| Trading Hours | Regular session: 9:30 a.m. to 3:45 p.m. ET |
| Clearing Corporation | Canadian Derivatives Clearing Corporation (CDCC) |
Resources
Methodology
Adjusted Interest Rate Total Return Future (AIR TRF) Valuation Formula
Accrued Financing and CORRA rate
AXF – Adjusted Interest Rate S&P/TSX 60 Total Return Index FuturesStay Informed
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