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{"sheet":"BCS Fair Value bbg linked","index":0,"n_rows":58,"n_cols":36,"rows_kept":58,"cut":false,"hidden":false,"merged":[[57,0,73,9],[33,0,33,9],[33,20,33,33],[35,10,41,13],[1,0,1,1],[7,20,7,33],[8,0,8,9],[8,10,8,11],[8,12,8,13],[8,14,8,18],[8,30,8,32],[5,2,6,2],[5,3,6,3],[1,2,1,3],[1,9,6,18]]}
[]
["Inputs (in yellow)",null,"Indicative Values",null,null,null,null,null,null,"Yellow cells are the inputs of the model. Sample Index components are presented for illustration purposes only. The Bank and GoC bonds as well as the weight of each component may not be representative of the actual Index composition. This tool is not updated and its only purpose is to illustrate a theoretical example of the Credit Futures contract fair value calculations. \nDark green cells are the output of the model.\nBlue cells are the cells linked to Bloomberg terminal (value should change if the user refreshes the page)\nGrey cells are the calculations of the model\nLight green cell (C7 and D7) are optional and give the user the possibility to reverse-engineer the GoC repo rate (cell B6) based on an observed Futures price (defined by the user). This function is activated by clicking on the button next to cell D7."]
["Trade Date",{"$f":"TODAY()","v":"2025-07-29"},"Index Level*",{"$f":"SUMPRODUCT(N11:N32,(J11:J32-J35:J56))*10000","v":74.468843431752973}]
["Settlement Date (T+1)",{"$f":"IF(WEEKDAY(B3+1,2)<6,B3+1,IF(WEEKDAY(B3+1,2)=6,B3+3,IF(WEEKDAY(B3+1,2)=7,B3+2,B3+1)))","v":"2025-07-30"},"Index Fair Value*",{"$f":"SUMPRODUCT(N11:N32,(P11:P32-R11:R32))*10000","v":76.741774386000273}]
["Futures Last Trading Day","2025-09-16"," Futures contract Fair Value*",{"$f":"100-D4/100","v":99.232582256139992}]
["GoC Repo Rate (%)",2.75,"Observed Futures Price",99.224999999999994]
["Bank Bond Repo spread (bps)",5]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Intermediary calculations for Bank Bonds"]
["Bank Bond",null,null,null,null,null,null,null,null,null,"GoC Benchmark bond",null,"Index calculation (yield differential * weight)",null,"Forward prices and forward yields\n(Bond price - (Coupon + Financing cost), based on bond futures valuation formula)",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Number of days"]
["Bank Bond","Description","Coupon","Maturity","Last Price","Callable?\n(Yes or No)","Callable Date","Yield to Maturity (asusming constant coupon)","Yield to Call","Yield to Worst\n(Yield to call for callable bonds, YTM for others)","GoC Benchmark bond","YTW of Benchmark","Yield differential\n(in bps)","Weight","Forward Bank Bond Price","Forward Bank Bond YTW","Forward GoC Benchmark bond Price","Forward Benchmark bond YTW","Forward Yield Differential",null,"AI 0","AI 2","C","D2","D1","FV",null,"Last Coupon Date","Next Coupon Date","Delivery Day","Settlement Date and Last Coupon Date","Last Delivery Day and Settlement Date ","Last Delivery Day and Coupon Date","Coupon until delivery",null,"IRR validation"]
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[null,null,null,null,null,null,null,null,null,null,null,null,"Actual Index",{"$f":"M11*N11+M12*N12+M13*N13+M14*N14+M15*N15+M16*N16+M17*N17+M18*N18+M19*N19+M20*N20+M21*N21+M22*N22+M23*N23+M24*N24+M25*N25+M26*N26+M27*N27+M28*N28+M32*N32+M29*N29+M30*N30+M31*N31","v":74.468843431752973},null,null,null,"Fair Value",{"$f":"N11*S11+N12*S12+N13*S13+N14*S14+N15*S15+N16*S16+N17*S17+N18*S18+N19*S19+N20*S20+N21*S21+N22*S22+N23*S23+N24*S24+N25*S25+N26*S26+N27*S27+N28*S28+N32*S32+N29*S29+N30*S30+N31*S31","v":76.741774386000259}]
["GoC bond",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Intermediary calculations for GoC Benchmark Bonds"]
["135087S47",{"$f":"_xll.BDP(A35&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 03/01/30"},{"$f":"_xll.BDP(A35&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A35&\" GOVT\",\"MATURITY\")","v":"2030-03-01"},{"$f":"_xll.BDH(A35&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":98.787999999999997},{"$f":"_xll.BDP(A35&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,{"$f":"YIELD($B$4,D35,C35/100,E35,100,2,)","v":3.0347422123965941E-2},null,null,null,null,null,null,null,null,null,null,{"$f":"C35*AE35/365","v":1.1376712328767122},{"$f":"C35*AG35/365","v":0.11301369863013698},{"$f":"IF(AH35=\"No coupon\",0,C35/2)","v":1.375},{"$f":"IF(AH35=\"No coupon\",0,AD35-AC35)","v":15},{"$f":"AD35-$B$4","v":48},{"$f":"E35+U35-V35-W35-W35*($B$6/100)*X35/365+(E35+U35)*($B$6/100)*Y35/365","v":98.797478626102446},null,{"$f":"_xll.BDP(A35&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A35&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",{"$f":"$B$4-AB35","v":151},{"$f":"AD35-$B$4","v":48},{"$f":"IF((AD35-AC35)<1,AD35-AB35,AD35-AC35)","v":15},{"$f":"IF((AD35-AC35)<1,\"No coupon\",\"Coupon\")","v":"Coupon"},null,{"$f":"(Q11+V35-(E35+U35)+W35)/((E35+U35)*Y35/365-W35*(X35/365))","v":2.7499999999999608E-2}]
["135087Q98",{"$f":"_xll.BDP(A36&\" GOVT\",\"Security_DES\")","v":"CAN 4 03/01/29"},{"$f":"_xll.BDP(A36&\" GOVT\",\"CPN\")","v":4},{"$f":"_xll.BDP(A36&\" GOVT\",\"MATURITY\")","v":"2029-03-01"},{"$f":"_xll.BDH(A36&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":103.624},{"$f":"_xll.BDP(A36&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,{"$f":"YIELD($B$4,D36,C36/100,E36,100,2,)","v":2.9274756195597312E-2},"The fair value of a bond can be determined using the implied repo rate formula for bond futures valuation and setting the conversin factor = to 1.\nIt is determined by isolating the futures contract price component in the following formula:",null,null,null,null,null,null,null,null,null,1.6547945205479453,0.16438356164383561,2,{"$f":"IF(AH36=\"No coupon\",0,AD36-AC36)","v":15},48,{"$f":"E36+U36-V36-W36-W36*($B$6/100)*X36/365+(E36+U36)*($B$6/100)*Y36/365","v":103.49288495552636},null,{"$f":"_xll.BDP(A36&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A36&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,{"$f":"IF((AD36-AC36)<1,AD36-AB36,AD36-AC36)","v":15},{"$f":"IF((AD36-AC36)<1,\"No coupon\",\"Coupon\")","v":"Coupon"},null,2.7499999999999407E-2]
["135087P57",{"$f":"_xll.BDP(A37&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 03/01/28"},{"$f":"_xll.BDP(A37&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A37&\" GOVT\",\"MATURITY\")","v":"2028-03-01"},{"$f":"_xll.BDH(A37&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.679},{"$f":"_xll.BDP(A37&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,{"$f":"YIELD($B$4,D37,C37/100,E37,100,2,)","v":2.8215145857413006E-2},null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,{"$f":"E37+U37-V37-W37-W37*($B$6/100)*X37/365+(E37+U37)*($B$6/100)*Y37/365","v":101.60408408951024},null,{"$f":"_xll.BDP(A37&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A37&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000014E-2]
["135087N83",{"$f":"_xll.BDP(A38&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 09/01/27"},{"$f":"_xll.BDP(A38&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A38&\" GOVT\",\"MATURITY\")","v":"2027-09-01"},{"$f":"_xll.BDH(A38&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":99.938000000000002},{"$f":"_xll.BDP(A38&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7801234791492983E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,{"$f":"E38+U38-V38-W38-W38*($B$6/100)*X38/365+(E38+U38)*($B$6/100)*Y38/365","v":99.951637530212039},null,{"$f":"_xll.BDP(A38&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A38&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999501E-2]
["135087N83",{"$f":"_xll.BDP(A39&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 09/01/27"},{"$f":"_xll.BDP(A39&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A39&\" GOVT\",\"MATURITY\")","v":"2027-09-01"},{"$f":"_xll.BDH(A39&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":99.938000000000002},{"$f":"_xll.BDP(A39&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7801234791492983E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,99.951637530212039,null,{"$f":"_xll.BDP(A39&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A39&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999501E-2]
["135087R89",{"$f":"_xll.BDP(A40&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 09/01/29"},{"$f":"_xll.BDP(A40&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A40&\" GOVT\",\"MATURITY\")","v":"2029-09-01"},{"$f":"_xll.BDH(A40&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.97199999999999},{"$f":"_xll.BDP(A40&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9833062448593791E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.89814370594858,null,{"$f":"_xll.BDP(A40&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A40&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999875E-2]
["135087M84",{"$f":"_xll.BDP(A41&\" GOVT\",\"Security_DES\")","v":"CAN 1 1/4 03/01/27"},{"$f":"_xll.BDP(A41&\" GOVT\",\"CPN\")","v":1.25},{"$f":"_xll.BDP(A41&\" GOVT\",\"MATURITY\")","v":"2027-03-01"},{"$f":"_xll.BDH(A41&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":97.646000000000001},{"$f":"_xll.BDP(A41&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7769364124548151E-2,null,null,null,null,null,null,null,null,null,null,0.51712328767123283,5.1369863013698627E-2,0.625,15,48,97.841047973259521,null,{"$f":"_xll.BDP(A41&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A41&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999646E-2]
["135087L93",{"$f":"_xll.BDP(A42&\" GOVT\",\"Security_DES\")","v":"CAN 1 09/01/26"},{"$f":"_xll.BDP(A42&\" GOVT\",\"CPN\")","v":1},{"$f":"_xll.BDP(A42&\" GOVT\",\"MATURITY\")","v":"2026-09-01"},{"$f":"_xll.BDH(A42&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":98.125},{"$f":"_xll.BDP(A42&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7638223112357068E-2,null,null,null,null,null,null,null,null,null,null,0.41369863013698632,4.1095890410958902E-2,0.5,15,48,98.353396800525445,null,{"$f":"_xll.BDP(A42&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A42&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000906E-2]
["135087Q49",{"$f":"_xll.BDP(A43&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/4 09/01/28"},{"$f":"_xll.BDP(A43&\" GOVT\",\"CPN\")","v":3.25},{"$f":"_xll.BDP(A43&\" GOVT\",\"MATURITY\")","v":"2028-09-01"},{"$f":"_xll.BDH(A43&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.105},{"$f":"_xll.BDP(A43&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.8727102258290001E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,101.05962480718711,null,{"$f":"_xll.BDP(A43&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A43&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000951E-2]
["135087Q49",{"$f":"_xll.BDP(A44&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/4 09/01/28"},{"$f":"_xll.BDP(A44&\" GOVT\",\"CPN\")","v":3.25},{"$f":"_xll.BDP(A44&\" GOVT\",\"MATURITY\")","v":"2028-09-01"},{"$f":"_xll.BDH(A44&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.105},{"$f":"_xll.BDP(A44&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.8727102258290001E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,{"$f":"E44+U44-V44-W44-W44*($B$6/100)*X44/365+(E44+U44)*($B$6/100)*Y44/365","v":101.05962480718711},null,{"$f":"_xll.BDP(A44&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A44&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000951E-2]
["135087N83",{"$f":"_xll.BDP(A45&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 09/01/27"},{"$f":"_xll.BDP(A45&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A45&\" GOVT\",\"MATURITY\")","v":"2027-09-01"},{"$f":"_xll.BDH(A45&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":99.938000000000002},{"$f":"_xll.BDP(A45&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7801234791492983E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,99.951637530212039,null,{"$f":"_xll.BDP(A45&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A45&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999501E-2]
["135087R89",{"$f":"_xll.BDP(A46&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 09/01/29"},{"$f":"_xll.BDP(A46&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A46&\" GOVT\",\"MATURITY\")","v":"2029-09-01"},{"$f":"_xll.BDH(A46&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.97199999999999},{"$f":"_xll.BDP(A46&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9833062448593791E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.89814370594858,null,{"$f":"_xll.BDP(A46&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A46&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999875E-2]
["135087R89",{"$f":"_xll.BDP(A47&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 09/01/29"},{"$f":"_xll.BDP(A47&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A47&\" GOVT\",\"MATURITY\")","v":"2029-09-01"},{"$f":"_xll.BDH(A47&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.97199999999999},{"$f":"_xll.BDP(A47&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9833062448593791E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.89814370594858,null,{"$f":"_xll.BDP(A47&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A47&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999875E-2]
["135087K37",{"$f":"_xll.BDP(A48&\" GOVT\",\"Security_DES\")","v":"CAN 1 1/4 06/01/30"},{"$f":"_xll.BDP(A48&\" GOVT\",\"CPN\")","v":1.25},{"$f":"_xll.BDP(A48&\" GOVT\",\"MATURITY\")","v":"2030-06-01"},{"$f":"_xll.BDH(A48&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":91.870999999999995},{"$f":"_xll.BDP(A48&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,3.0714398449472876E-2,null,null,null,null,null,null,null,null,null,null,0.20205479452054795,0.36643835616438358,0,0,48,92.039592965284299,null,{"$f":"_xll.BDP(A48&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-06-01"},{"$f":"_xll.BDP(A48&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-12-01"},"2025-09-16",59,48,107,"No coupon",null,2.7500000000000514E-2]
["135087L93",{"$f":"_xll.BDP(A49&\" GOVT\",\"Security_DES\")","v":"CAN 1 09/01/26"},{"$f":"_xll.BDP(A49&\" GOVT\",\"CPN\")","v":1},{"$f":"_xll.BDP(A49&\" GOVT\",\"MATURITY\")","v":"2026-09-01"},{"$f":"_xll.BDH(A49&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":98.125},{"$f":"_xll.BDP(A49&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7638223112357068E-2,null,null,null,null,null,null,null,null,null,null,0.41369863013698632,4.1095890410958902E-2,0.5,15,48,98.353396800525445,null,{"$f":"_xll.BDP(A49&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A49&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000906E-2]
["135087S47",{"$f":"_xll.BDP(A50&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 03/01/30"},{"$f":"_xll.BDP(A50&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A50&\" GOVT\",\"MATURITY\")","v":"2030-03-01"},{"$f":"_xll.BDH(A50&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":98.787999999999997},{"$f":"_xll.BDP(A50&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,3.0347422123965941E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,98.797478626102446,null,{"$f":"_xll.BDP(A50&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A50&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999608E-2]
["135087S47",{"$f":"_xll.BDP(A51&\" GOVT\",\"Security_DES\")","v":"CAN 2 3/4 03/01/30"},{"$f":"_xll.BDP(A51&\" GOVT\",\"CPN\")","v":2.75},{"$f":"_xll.BDP(A51&\" GOVT\",\"MATURITY\")","v":"2030-03-01"},{"$f":"_xll.BDH(A51&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":98.787999999999997},{"$f":"_xll.BDP(A51&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,3.0347422123965941E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,98.797478626102446,null,{"$f":"_xll.BDP(A51&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A51&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999608E-2]
["135087Q49",{"$f":"_xll.BDP(A52&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/4 09/01/28"},{"$f":"_xll.BDP(A52&\" GOVT\",\"CPN\")","v":3.25},{"$f":"_xll.BDP(A52&\" GOVT\",\"MATURITY\")","v":"2028-09-01"},{"$f":"_xll.BDH(A52&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.105},{"$f":"_xll.BDP(A52&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.8727102258290001E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,101.05962480718711,null,{"$f":"_xll.BDP(A52&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A52&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7500000000000951E-2]
["135087Q98",{"$f":"_xll.BDP(A53&\" GOVT\",\"Security_DES\")","v":"CAN 4 03/01/29"},{"$f":"_xll.BDP(A53&\" GOVT\",\"CPN\")","v":4},{"$f":"_xll.BDP(A53&\" GOVT\",\"MATURITY\")","v":"2029-03-01"},{"$f":"_xll.BDH(A53&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":103.624},{"$f":"_xll.BDP(A53&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9274756195597312E-2,null,null,null,null,null,null,null,null,null,null,1.6547945205479453,0.16438356164383561,2,15,48,103.49288495552636,null,{"$f":"_xll.BDP(A53&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A53&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999407E-2]
["135087R89",{"$f":"_xll.BDP(A54&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 09/01/29"},{"$f":"_xll.BDP(A54&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A54&\" GOVT\",\"MATURITY\")","v":"2029-09-01"},{"$f":"_xll.BDH(A54&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.97199999999999},{"$f":"_xll.BDP(A54&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9833062448593791E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.89814370594858,null,{"$f":"_xll.BDP(A54&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A54&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",151,48,15,"Coupon",null,2.7499999999999875E-2]
["135087R89",{"$f":"_xll.BDP(A55&\" GOVT\",\"Security_DES\")","v":"CAN 3 1/2 09/01/29"},{"$f":"_xll.BDP(A55&\" GOVT\",\"CPN\")","v":3.5},{"$f":"_xll.BDP(A55&\" GOVT\",\"MATURITY\")","v":"2029-09-01"},{"$f":"_xll.BDH(A55&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":101.97199999999999},{"$f":"_xll.BDP(A55&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.9833062448593791E-2,null,null,null,null,null,null,null,null,null,null,{"$f":"C55*AE55/365","v":1.4479452054794522},{"$f":"C55*AG55/365","v":0.14383561643835616},{"$f":"IF(AH55=\"No coupon\",0,C55/2)","v":1.75},{"$f":"IF(AH55=\"No coupon\",0,AD55-AC55)","v":15},{"$f":"AD55-$B$4","v":48},{"$f":"E55+U55-V55-W55-W55*($B$6/100)*X55/365+(E55+U55)*($B$6/100)*Y55/365","v":101.89814370594858},null,{"$f":"_xll.BDP(A55&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-03-01"},{"$f":"_xll.BDP(A55&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-09-01"},"2025-09-16",{"$f":"$B$4-AB55","v":151},{"$f":"AD55-$B$4","v":48},{"$f":"IF((AD55-AC55)<1,AD55-AB55,AD55-AC55)","v":15},{"$f":"IF((AD55-AC55)<1,\"No coupon\",\"Coupon\")","v":"Coupon"},null,2.7499999999999875E-2]
["135087T46",{"$f":"_xll.BDP(A56&\" GOVT\",\"Security_DES\")","v":"CAN 2 1/2 08/01/27"},{"$f":"_xll.BDP(A56&\" GOVT\",\"CPN\")","v":2.5},{"$f":"_xll.BDP(A56&\" GOVT\",\"MATURITY\")","v":"2027-08-01"},{"$f":"_xll.BDH(A56&\" GOVT\",\"PX_LAST\",$B$3,$B$3,\"Dir=V\",\"Dts=H\")","v":99.468000000000004},{"$f":"_xll.BDP(A56&\" GOVT\",\"CALLABLE\")","v":"N"},null,null,null,2.7748940518984584E-2,null,null,null,null,null,null,null,null,null,null,0.52054794520547942,0.31506849315068491,1.25,46,48,98.780749680240191,null,{"$f":"_xll.BDP(A56&\" GOVT\",\"PREV_CPN_DT\")","v":"2025-05-15"},{"$f":"_xll.BDP(A56&\" GOVT\",\"NXT_CPN_DT\")","v":"2025-08-01"},"2025-09-16",76,48,46,"Coupon",null,{"$f":"(Q32+V56-(E56+U56)+W56)/((E56+U56)*Y56/365-W56*(X56/365))","v":2.7499999999999889E-2}]
[]
["*Indicative values only, offical Index values are calculated at the close of each business day by FTSE. \n\nThis document is made available for general information purposes only. The information provided in this document, including financial and economic data, quotes and any analysis or interpretation thereof, is provided solely for information purposes and shall not be construed in any jurisdiction as providing any advice or recommendation with respect to the purchase or sale of any derivative instrument, underlying security or any other financial instrument or as providing legal, accounting, tax, financial or investment advice. Bourse de Montréal Inc. recommends that you consult your own advisors in accordance with your needs before making decision to take into account your particular investment objectives, financial situation and individual needs.\n\nAlthough care has been taken in the preparation of this document, Bourse de Montréal Inc. and/or its affiliates do not guarantee the accuracy or completeness of the information contained in this document and reserve the right to amend or review, at any time and without prior notice, the content of this document. Neither Bourse de Montréal Inc. nor any of its affiliates, directors, officers, employees or agents shall be liable for any damages, losses or costs incurred as a result of any errors or omissions in this document or of the use of or reliance upon any information appearing in this document.\n\nFTSE International Limites / FTSE Global Debt Capital Markets Inc. does not sponsor or endorse the tools presented in this document nor make any representation regarding the use of such tools, nor does it have any liability for any errors or omissions within such tools or the Indicative Index and Futures contract fair value  or it calculates."]

{"sheet":"BCS Fair Value (static values) ","index":1,"n_rows":58,"n_cols":36,"rows_kept":58,"cut":false,"hidden":false,"merged":[[8,14,8,18],[8,30,8,32],[33,0,33,9],[33,20,33,33],[1,0,1,1],[1,2,1,3],[1,9,6,18],[5,2,6,2],[5,3,6,3],[7,20,7,33],[35,10,41,13],[57,0,73,9],[8,0,8,9],[8,10,8,11],[8,12,8,13]]}
[]
["Inputs (in yellow)",null,"Indicative Values",null,null,null,null,null,null,"Yellow cells are the inputs of the model. Sample Index components are presented for illustration purposes only. The Bank and GoC bonds as well as the weight of each component may not be representative of the actual Index composition. This tool is not updated and its only purpose is to illustrate a theoretical example of the Credit Futures contract fair value calculations. \nDark green cells are the output of the model.\nBlue cells are the cells linked to Bloomberg terminal (value should change if the user refreshes the page)\nGrey cells are the calculations of the model\nLight green cell (C7 and D7) are optional and give the user the possibility to reverse-engineer the GoC repo rate (cell B6) based on an observed Futures price (defined by the user). This function is activated by clicking on the button next to cell D7."]
["Trade Date",{"$f":"TODAY()","v":"2025-07-29"},"Index Level*",{"$f":"SUMPRODUCT(N11:N32,(J11:J32-J35:J56))*10000","v":74.757238034918856}]
["Settlement Date (T+1)",{"$f":"IF(WEEKDAY(B3+1,2)<6,B3+1,IF(WEEKDAY(B3+1,2)=6,B3+3,IF(WEEKDAY(B3+1,2)=7,B3+2,B3+1)))","v":"2025-07-30"},"Index Fair Value*",{"$f":"SUMPRODUCT(N11:N32,(P11:P32-R11:R32))*10000","v":77.02893936138959}]
["Futures Last Trading Day","2025-09-16"," Futures contract Fair Value*",{"$f":"100-D4/100","v":99.229710606386107}]
["GoC Repo Rate (%)",2.75,"Observed Futures Price",99.224999999999994]
["Bank Bond Repo spread (bps)",5]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Intermediary calculations for Bank Bonds"]
["Bank Bond",null,null,null,null,null,null,null,null,null,"GoC Benchmark bond",null,"Index calculation (yield differential * weight)",null,"Forward prices and forward yields\n(Bond price - (Coupon + Financing cost), based on bond futures valuation formula)",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Number of days"]
["Bank Bond","Description","Coupon","Maturity","Last Price","Callable?\n(Yes or No)","Callable Date","Yield to Maturity (asusming constant coupon)","Yield to Call","Yield to Worst\n(Yield to call for callable bonds, YTM for others)","GoC Benchmark bond","YTW of Benchmark","Yield differential\n(in bps)","Weight","Forward Bank Bond Price","Forward Bank Bond YTW","Forward GoC Benchmark bond Price","Forward Benchmark bond YTW","Forward Yield Differential",null,"AI 0","AI 2","C","D2","D1","FV",null,"Last Coupon Date","Next Coupon Date","Delivery Day","Settlement Date and Last Coupon Date","Last Delivery Day and Settlement Date ","Last Delivery Day and Coupon Date","Coupon until delivery",null,"IRR validation"]
["CA89116CQ341","TD 3.842 05/29/31",3.8420000000000001,"2031-05-29",100.04900000000001,"Y","2030-05-29",{"$f":"YIELD($B$4,D11,C11/100,E11,100,2,)","v":3.8317549442988021E-2},{"$f":"YIELD($B$4,G11,C11/100,E11,100,2,)","v":3.8298598015218462E-2},{"$f":"IF(F11=\"Y\",YIELD($B$4,G11,C11/100,E11,100,2,),YIELD($B$4,D11,C11/100,E11,100,2,))","v":3.8298598015218462E-2},{"$f":"B35","v":"CAN 2 3/4 03/01/30"},{"$f":"J35","v":3.0579668194916591E-2},{"$f":"(J11-L11)*10000","v":77.189298203018708},6.6807749999999999E-2,{"$f":"E11+U11-V11-W11-W11*($B$6/100)*X11/365+(E11+U11)*($B$6/100+$B$7/10000)*Y11/365","v":99.914553339208112},{"$f":"IF(F11=\"Y\",YIELD($B$5,G11,C11/100,O11,100,2),YIELD($B$5,D11,C11/100,O11,100,2))","v":3.8610039869008066E-2},{"$f":"Z35","v":98.699124215143542},{"$f":"YIELD($B$5,D35,C35/100,Q11,100,2)","v":3.0642031588636605E-2},{"$f":"(P11-R11)*10000","v":79.680082803714612},null,{"$f":"C11*AE11/365","v":0.65261369863013696},{"$f":"C11*AG11/365","v":1.1578630136986301},{"$f":"IF(AH11=\"No coupon\",0,C11/2)","v":0},{"$f":"IF(AH11=\"No coupon\",0,AD11-AC11)","v":0},{"$f":"AD11-$B$4","v":48},{"$f":"E11+U11-V11-W11-W11*($B$6/100)*X11/365+(E11+U11)*($B$6/100+$B$7/10000)*Y11/365","v":99.914553339208112},null,"2025-05-29","2025-11-29",{"$f":"$B$5","v":"2025-09-16"},{"$f":"$B$4-AB11","v":62},{"$f":"AD11-$B$4","v":48},{"$f":"IF((AD11-AC11)<1,AD11-AB11,AD11-AC11)","v":110},{"$f":"IF((AD11-AC11)<1,\"No coupon\",\"Coupon\")","v":"No coupon"},null,{"$f":"(O11+V11-(E11+U11)+W11)/((E11+U11)*Y11/365-W11*(X11/365))","v":2.8000000000000178E-2}]
["CA06368L5G77","BMO 4.42 07/17/29",4.42,"2029-07-17",102.931,"Y","2029-06-17",{"$f":"YIELD($B$4,D12,C12/100,E12,100,2,)","v":3.6192460299113854E-2},{"$f":"YIELD($B$4,G12,C12/100,E12,100,2,)","v":3.6028961150221125E-2},{"$f":"IF(F12=\"Y\",YIELD($B$4,G12,C12/100,E12,100,2,),YIELD($B$4,D12,C12/100,E12,100,2,))","v":3.6028961150221125E-2},{"$f":"B36","v":"CAN 4 03/01/29"},2.9500714311361552E-2,65.282468388595731,6.1980050000000002E-2,{"$f":"E12+U12-V12-W12-W12*($B$6/100)*X12/365+(E12+U12)*($B$6/100+$B$7/10000)*Y12/365","v":102.72933107599924},3.6339913174893199E-2,{"$f":"Z36","v":103.4146028733346},2.9537479149176742E-2,68.024340257164567,null,0.15742465753424659,0.73868493150684933,0,{"$f":"IF(AH12=\"No coupon\",0,AD12-AC12)","v":0},48,{"$f":"E12+U12-V12-W12-W12*($B$6/100)*X12/365+(E12+U12)*($B$6/100+$B$7/10000)*Y12/365","v":102.72933107599924},null,"2025-07-17","2026-01-17",{"$f":"$B$5","v":"2025-09-16"},13,48,{"$f":"IF((AD12-AC12)<1,AD12-AB12,AD12-AC12)","v":61},{"$f":"IF((AD12-AC12)<1,\"No coupon\",\"Coupon\")","v":"No coupon"},null,{"$f":"(O12+V12-(E12+U12)+W12)/((E12+U12)*Y12/365-W12*(X12/365))","v":2.7999999999999595E-2}]
["CA06368LNK84","BMO 5.039 05/29/28",5.0389999999999997,"2028-05-29",104.235,"Y","2028-04-29",3.4538242875867556E-2,3.4089935336997633E-2,{"$f":"IF(F13=\"Y\",YIELD($B$4,G13,C13/100,E13,100,2,),YIELD($B$4,D13,C13/100,E13,100,2,))","v":3.4089935336997633E-2},{"$f":"B37","v":"CAN 3 1/2 03/01/28"},2.8386973715781739E-2,57.029616212158942,6.1921299999999999E-2,{"$f":"E13+U13-V13-W13-W13*($B$6/100)*X13/365+(E13+U13)*($B$6/100+$B$7/10000)*Y13/365","v":103.95930198079941},3.4437527390399722E-2,101.56092858266091,2.8377501495403079E-2,60.600258949966431,null,0.85593972602739732,1.5186027397260273,0,0,48,103.95930198079941,null,"2025-05-29","2025-11-29","2025-09-16",62,48,110,"No coupon",null,2.7999999999999994E-2]
["CA779926FY56","RY 3.626 12/10/28",3.6259999999999999,"2028-12-10",100.541,"Y","2027-12-10",3.4531481596738176E-2,3.3843079850994461E-2,{"$f":"IF(F14=\"Y\",YIELD($B$4,G14,C14/100,E14,100,2,),YIELD($B$4,D14,C14/100,E14,100,2,))","v":3.3843079850994461E-2},"CAN 2 3/4 09/01/27",2.7980119249249008E-2,58.629606017454527,5.9557869999999999E-2,{"$f":"E14+U14-V14-W14-W14*($B$6/100)*X14/365+(E14+U14)*($B$6/100+$B$7/10000)*Y14/365","v":100.43619639827358},3.4196768793418458E-2,99.915507338431226,2.7942528441391577E-2,62.542403520268813,null,0.49671232876712323,0.97355616438356163,0,0,48,100.43619639827358,null,"2025-06-10","2025-12-10","2025-09-16",50,48,98,"No coupon",null,2.7999999999999789E-2]
["CA06418MX742","BNS 3.807 11/15/28",3.8069999999999999,"2028-11-15",100.931,"Y","2027-11-15",3.5037712079288241E-2,3.3796178458868696E-2,{"$f":"IF(F15=\"Y\",YIELD($B$4,G15,C15/100,E15,100,2,),YIELD($B$4,D15,C15/100,E15,100,2,))","v":3.3796178458868696E-2},"CAN 2 3/4 09/01/27",2.7980119249249008E-2,58.160592096196879,5.2448729999999999E-2,{"$f":"E15+U15-V15-W15-W15*($B$6/100)*X15/365+(E15+U15)*($B$6/100+$B$7/10000)*Y15/365","v":100.80491956140364},3.4162185421238209E-2,99.915507338431226,2.7942528441391577E-2,62.196569798466314,null,0.79269041095890413,1.2933369863013697,0,0,48,100.80491956140364,null,"2025-05-15","2025-11-15","2025-09-16",76,48,124,"No coupon",null,2.8000000000000365E-2]
["CA13607LF997","CM 3.8 12/10/30",3.8,"2030-12-10",100.267,"Y","2029-12-10",3.7438358283231679E-2,3.7322094068452688E-2,{"$f":"IF(F16=\"Y\",YIELD($B$4,G16,C16/100,E16,100,2,),YIELD($B$4,D16,C16/100,E16,100,2,))","v":3.7322094068452688E-2},"CAN 3 1/2 09/01/29",3.0063476682264886E-2,72.586173861878024,5.1991690000000007E-2,{"$f":"E16+U16-V16-W16-W16*($B$6/100)*X16/365+(E16+U16)*($B$6/100+$B$7/10000)*Y16/365","v":100.13839305325577},3.7631933866048746E-2,101.80882184293489,3.0115597039565456E-2,75.163368264832897,null,0.52054794520547942,1.0202739726027397,0,0,48,100.13839305325577,null,"2025-06-10","2025-12-10","2025-09-16",50,48,98,"No coupon",null,2.8000000000000039E-2]
["CA06415GDJ63","BNS 3.934 05/03/32",3.9340000000000002,"2032-05-03",100.79900000000001,"Y","2027-05-03",3.7980594655727097E-2,3.4592261770251993E-2,{"$f":"IF(F17=\"Y\",YIELD($B$4,G17,C17/100,E17,100,2,),YIELD($B$4,D17,C17/100,E17,100,2,))","v":3.4592261770251993E-2},"CAN 1 1/4 03/01/27",2.7940742656350714E-2,66.515191139012785,4.9787699999999997E-2,100.65630575708765,3.5142221738657026E-2,97.814953945862271,2.7891860661393441E-2,72.503610772635852,null,0.94847123287671231,1.4658191780821919,0,0,48,100.65630575708765,null,"2025-05-03","2025-11-03","2025-09-16",88,48,136,"No coupon",null,2.8000000000000243E-2]
["CA89117FPG86","TD 3.06 01/26/32",3.06,"2032-01-26",99.581000000000003,"Y","2027-01-26",3.1318134961504589E-2,3.3506550260264389E-2,3.3506550260264389E-2,"CAN 1 09/01/26",2.780040992196868E-2,57.061403382957096,4.865419E-2,99.545388860349036,3.4026666433567901E-2,98.336335321073392,2.7708669663233289E-2,63.179967703346115,null,3.3534246575342465E-2,0.43594520547945209,0,0,48,99.545388860349036,null,"2025-07-26","2026-01-26","2025-09-16",4,48,52,"No coupon",null,2.8000000000000184E-2]
["CA89117GX510","TD 5.491 09/08/28",5.4909999999999997,"2028-09-08",105.961,"N",null,3.4490737028880586E-2,{"$error":"#NUM!"},3.4490737028880586E-2,"CAN 3 1/4 09/01/28",2.8933741863394747E-2,55.569951654858386,4.7752119999999995E-2,105.65795232265715,3.4741659634169704E-2,100.99840420444737,2.8951010799748829E-2,57.906488344208753,null,2.1663123287671233,0.12035068493150684,2.7454999999999998,8,48,105.65795232265715,null,"2025-03-08","2025-09-08","2025-09-16",144,48,8,"Coupon",null,2.8002124939561054E-2]
["CA63306AHT66","NACN 5.023 02/01/29",5.0229999999999997,"2029-02-01",104.914,"N",null,3.5195325782039107E-2,{"$error":"#NUM!"},3.5195325782039107E-2,"CAN 3 1/4 09/01/28",2.8933741863394747E-2,62.615839186443594,4.7432849999999999E-2,104.61947832802026,3.5570286719824498E-2,100.99840420444737,2.8951010799748829E-2,66.192759200756697,null,2.4633342465753425,0.63303561643835615,2.5114999999999998,46,48,104.61947832802026,null,"2025-02-01","2025-08-01","2025-09-16",179,48,46,"Coupon",null,2.8011464433452492E-2]
["CA780086WK63","RY 5.01 02/01/33",5.01,"2033-02-01",103.322,"Y","2028-02-01",4.4836660593324987E-2,3.6098257821312221E-2,3.6098257821312221E-2,"CAN 2 3/4 09/01/27",2.7980119249249008E-2,81.181385720632136,4.5882940000000004E-2,103.02337834456746,3.6672387318274449E-2,99.915507338431226,2.7942528441391577E-2,87.298588768828722,null,2.4569589041095887,0.63139726027397258,2.5049999999999999,46,48,103.02337834456746,null,"2025-02-01","2025-08-01","2025-09-16",179,48,46,"Coupon",null,2.8011610871008279E-2]
["CA779926HR87","RY 4.279 02/04/35",4.2789999999999999,"2035-02-04",100.773,"Y","2030-02-04",4.1796076380582421E-2,4.0894969734165926E-2,4.0894969734165926E-2,"CAN 3 1/2 09/01/29",3.0063476682264886E-2,108.3149305190104,4.5448019999999999E-2,100.63502757041284,4.1181954104735699E-2,101.80882184293489,3.0115597039565456E-2,110.66357065170243,null,2.1336383561643837,0.50410136986301368,2.1395,43,48,100.63502757041284,null,"2025-01-29","2025-08-04","2025-09-16",182,48,43,"Coupon",null,2.8009489233394445E-2]
["CA779926DJ08","RY 4 10/17/30",4,"2030-10-17",101.21299999999999,"Y","2029-10-17",3.7407988413957913E-2,3.6854177593124503E-2,3.6854177593124503E-2,"CAN 3 1/2 09/01/29",3.0063476682264886E-2,67.907009108596171,4.5267670000000003E-2,101.06385496926251,3.7162666752655428E-2,101.80882184293489,3.0115597039565456E-2,70.470697130899723,null,1.1397260273972603,1.6657534246575343,0,0,48,101.06385496926251,null,"2025-04-17","2025-10-17","2025-09-16",104,48,152,"No coupon",null,2.7999999999999477E-2]
["CA06418YXB96","BNS 3.734 06/27/31",3.734,"2031-06-27",99.46,"Y","2030-06-27",3.8365104416620006E-2,null,3.8552072544693741E-2,"CAN 1 1/4 06/01/30",3.0947270415081031E-2,76.048021296127104,4.4566000000000001E-2,99.339892884969032,3.885613890314335E-2,91.940234937887041,3.1028453388633172E-2,78.276855145101777,null,1.2787671232876712,1.7698136986301369,0,0,48,99.339892884969032,null,"2025-03-27","2025-12-27","2025-09-16",125,48,173,"No coupon",null,2.8000000000000098E-2]
["CA13607LSJ30","CM 5 12/07/26",5,"2026-12-07",102.373,"N",null,3.1906243282152989E-2,null,{"$f":"IF(F25=\"Y\",YIELD($B$4,G25,C25/100,E25,100,2,),YIELD($B$4,D25,C25/100,E25,100,2,))","v":3.1906243282152989E-2},"CAN 1 09/01/26",2.780040992196868E-2,41.058333601843088,3.796107E-2,102.09509614471757,{"$f":"IF(F25=\"Y\",YIELD($B$5,G25,C25/100,O25,100,2),YIELD($B$5,D25,C25/100,O25,100,2))","v":3.2376032626476932E-2},98.336335321073392,2.7708669663233289E-2,46.673629632436423,null,0.72602739726027399,1.3835616438356164,0,0,48,102.09509614471757,null,"2025-06-07","2025-12-07","2025-09-16",53,48,101,"No coupon",null,2.7999999999999626E-2]
["CA06369ZCL63","BMO 4.077 03/05/35",4.077,"2035-03-05",99.677999999999997,"Y","2030-03-05",4.1175412237605208E-2,null,{"$f":"IF(F26=\"Y\",YIELD($B$4,G26,C26/100,E26,100,2,),YIELD($B$4,D26,C26/100,E26,100,2,))","v":4.153872208511375E-2},"CAN 2 3/4 03/01/30",3.0579668194916591E-2,109.59053890197158,3.7277129999999999E-2,99.529991488344891,{"$f":"IF(F26=\"Y\",YIELD($B$5,G26,C26/100,O26,100,2),YIELD($B$5,D26,C26/100,O26,100,2))","v":4.1931177474422709E-2},98.699124215143542,3.0642031588636605E-2,112.89145885786104,null,1.6419698630136985,0.12286849315068493,2.0385,11,48,99.529991488344891,null,"2025-03-05","2025-09-05","2025-09-16",147,48,11,"Coupon",null,2.8002316029831789E-2]
["CA13607PG574","CM 4.15 04/02/35",4.1500000000000004,"2035-04-02",99.875,"Y","2030-04-02",4.16522120992487E-2,{"$f":"YIELD($B$4,G27,C27/100,E27,100,2,)","v":4.178574762052114E-2},4.178574762052114E-2,"CAN 2 3/4 03/01/30",3.0579668194916591E-2,112.06079425604548,3.7237600000000003E-2,{"$f":"E27+U27-V27-W27-W27*($B$6/100)*X27/365+(E27+U27)*($B$6/100+$B$7/10000)*Y27/365","v":99.701987535372496},4.2223278454273781E-2,98.699124215143542,3.0642031588636605E-2,115.81246865637176,null,1.3530136986301371,1.8987671232876715,0,0,48,99.701987535372496,null,"2025-04-02","2025-10-02","2025-09-16",119,48,167,"No coupon",null,2.8000000000000354E-2]
["CA06369ZCJ18","BMO 6.034 09/07/33",6.0339999999999998,"2033-09-07",106.547,"Y","2028-09-07",5.0389310649751023E-2,{"$f":"YIELD($B$4,G28,C28/100,E28,100,2,)","v":3.7764905250249246E-2},3.7764905250249246E-2,"CAN 3 1/4 09/01/28",2.8933741863394747E-2,88.311633868544988,3.6854409999999997E-2,{"$f":"E28+U28-V28-W28-W28*($B$6/100)*X28/365+(E28+U28)*($B$6/100+$B$7/10000)*Y28/365","v":106.17739211110903},3.8172157309224526E-2,100.99840420444737,2.8951010799748829E-2,92.211465094756974,null,2.3970684931506847,0.1487835616438356,3.0169999999999999,9,48,106.17739211110903,null,"2025-03-07","2025-09-07","2025-09-16",145,48,9,"Coupon",null,2.8002609780174645E-2]
["CA06418MQT40","BNS 4.95 08/01/34",4.95,"2034-08-01",103.488,"Y","2029-08-01",4.475011755574778E-2,null,3.9983150625932919E-2,"CAN 4 03/01/29",2.9500714311361552E-2,104.82436314571366,3.1151580000000002E-2,{"$f":"E29+U29-V29-W29-W29*($B$6/100)*X29/365+(E29+U29)*($B$6/100+$B$7/10000)*Y29/365","v":103.19812220007508},4.0486306854939119E-2,103.4146028733346,2.9537479149176742E-2,109.48827705762376,null,2.4275342465753424,0.62383561643835617,2.4750000000000001,46,48,103.19812220007508,null,"2025-02-01","2025-08-01","2025-09-16",179,48,46,"Coupon",null,2.8011453501920875E-2]
["CA63309ZNN47","NACN 4.26 02/15/35",4.26,"2035-02-15",100.5,"Y","2030-02-15",4.1956533013327912E-2,{"$f":"YIELD($B$4,G30,C30/100,E30,100,2,)","v":4.1377013037237176E-2},4.1377013037237176E-2,"CAN 3 1/2 09/01/29",3.0063476682264886E-2,113.1353635497229,3.0263470000000001E-2,{"$f":"E30+U30-V30-W30-W30*($B$6/100)*X30/365+(E30+U30)*($B$6/100+$B$7/10000)*Y30/365","v":100.6808587811597},4.0890737336930036E-2,101.80882184293489,3.0115597039565456E-2,107.7514029736458,null,2.3109041095890408,0.37347945205479449,2.13,32,48,100.6808587811597,null,"2025-01-13","2025-08-15","2025-09-16",198,48,32,"Coupon",null,2.8007002600541477E-2]
["CA89116CMX25","TD 4.231 02/01/35",4.2309999999999999,"2035-02-01",100.461,"Y","2030-02-01",null,null,4.1177574370471585E-2,"CAN 3 1/2 09/01/29",3.0063476682264886E-2,111.14097688206699,3.018297E-2,{"$f":"E31+U31-V31-W31-W31*($B$6/100)*X31/365+(E31+U31)*($B$6/100+$B$7/10000)*Y31/365","v":100.26906646607243},4.1620647458072292E-2,101.80882184293489,3.0115597039565456E-2,115.05050418506836,null,2.0865205479452054,0.53322191780821915,2.1154999999999999,46,48,100.26906646607243,null,"2025-01-31","2025-08-01","2025-09-16",180,48,46,"Coupon",null,2.8010084315614171E-2]
["CA63306AJM95","NACN 3.308 08/15/28",3.3079999999999998,"2028-08-15",99.837000000000003,"Y","2027-08-15",{"$f":"YIELD($B$4,D32,C32/100,E32,100,2,)","v":3.3644586678581626E-2},{"$f":"YIELD($B$4,G32,C32/100,E32,100,2,)","v":3.3907626242363771E-2},3.3907626242363771E-2,"CAN 2 1/2 08/01/27",2.7925271025406505E-2,{"$f":"(J32-L32)*10000","v":59.823552169572665},2.9572899999999999E-2,{"$f":"E32+U32-V32-W32-W32*($B$6/100)*X32/365+(E32+U32)*($B$6/100+$B$7/10000)*Y32/365","v":99.771463141542512},3.4313049309888086E-2,98.746626721336085,3.1929692453304785E-2,23.833568565833005,null,0.50752876712328765,0.94255342465753422,0,0,48,99.771463141542512,null,"2025-06-04","2026-02-15","2025-09-16",56,48,{"$f":"IF((AD32-AC32)<1,AD32-AB32,AD32-AC32)","v":104},"No coupon",null,2.8000000000000073E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,"Actual Index",{"$f":"M11*N11+M12*N12+M13*N13+M14*N14+M15*N15+M16*N16+M17*N17+M18*N18+M19*N19+M20*N20+M21*N21+M22*N22+M23*N23+M24*N24+M25*N25+M26*N26+M27*N27+M28*N28+M32*N32+M29*N29+M30*N30+M31*N31","v":74.757238034918871},null,null,null,"Fair Value",{"$f":"N11*S11+N12*S12+N13*S13+N14*S14+N15*S15+N16*S16+N17*S17+N18*S18+N19*S19+N20*S20+N21*S21+N22*S22+N23*S23+N24*S24+N25*S25+N26*S26+N27*S27+N28*S28+N32*S32+N29*S29+N30*S30+N31*S31","v":77.02893936138959}]
["GoC bond",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Intermediary calculations for GoC Benchmark Bonds"]
["135087S47","CAN 2 3/4 03/01/30",2.75,"2030-03-01",98.69,"N",null,null,null,{"$f":"YIELD($B$4,D35,C35/100,E35,100,2,)","v":3.0579668194916591E-2},null,null,null,null,null,null,null,null,null,null,{"$f":"C35*AE35/365","v":1.1376712328767122},{"$f":"C35*AG35/365","v":0.11301369863013698},{"$f":"IF(AH35=\"No coupon\",0,C35/2)","v":1.375},{"$f":"IF(AH35=\"No coupon\",0,AD35-AC35)","v":15},{"$f":"AD35-$B$4","v":48},{"$f":"E35+U35-V35-W35-W35*($B$6/100)*X35/365+(E35+U35)*($B$6/100)*Y35/365","v":98.699124215143542},null,"2025-03-01","2025-09-01",{"$f":"$B$5","v":"2025-09-16"},{"$f":"$B$4-AB35","v":151},{"$f":"AD35-$B$4","v":48},{"$f":"IF((AD35-AC35)<1,AD35-AB35,AD35-AC35)","v":15},{"$f":"IF((AD35-AC35)<1,\"No coupon\",\"Coupon\")","v":"Coupon"},null,{"$f":"(Q11+V35-(E35+U35)+W35)/((E35+U35)*Y35/365-W35*(X35/365))","v":2.7499999999999476E-2}]
["135087Q98","CAN 4 03/01/29",4,"2029-03-01",103.54600000000001,"N",null,null,null,{"$f":"YIELD($B$4,D36,C36/100,E36,100,2,)","v":2.9500714311361552E-2},"The fair value of a bond can be determined using the implied repo rate formula for bond futures valuation and setting the conversin factor = to 1.\nIt is determined by isolating the futures contract price component in the following formula:",null,null,null,null,null,null,null,null,null,1.6547945205479453,0.16438356164383561,2,{"$f":"IF(AH36=\"No coupon\",0,AD36-AC36)","v":15},48,{"$f":"E36+U36-V36-W36-W36*($B$6/100)*X36/365+(E36+U36)*($B$6/100)*Y36/365","v":103.4146028733346},null,"2025-03-01","2025-09-01","2025-09-16",151,48,{"$f":"IF((AD36-AC36)<1,AD36-AB36,AD36-AC36)","v":15},{"$f":"IF((AD36-AC36)<1,\"No coupon\",\"Coupon\")","v":"Coupon"},null,2.749999999999992E-2]
["135087P57","CAN 3 1/2 03/01/28",3.5,"2028-03-01",101.636,"N",null,null,null,{"$f":"YIELD($B$4,D37,C37/100,E37,100,2,)","v":2.8386973715781739E-2},null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,{"$f":"E37+U37-V37-W37-W37*($B$6/100)*X37/365+(E37+U37)*($B$6/100)*Y37/365","v":101.56092858266091},null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7499999999999303E-2]
["135087N83","CAN 2 3/4 09/01/27",2.75,"2027-09-01",99.902000000000001,"N",null,null,null,2.7980119249249008E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,{"$f":"E38+U38-V38-W38-W38*($B$6/100)*X38/365+(E38+U38)*($B$6/100)*Y38/365","v":99.915507338431226},null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000236E-2]
["135087N83","CAN 2 3/4 09/01/27",2.75,"2027-09-01",99.902000000000001,"N",null,null,null,2.7980119249249008E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,99.915507338431226,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000236E-2]
["135087R89","CAN 3 1/2 09/01/29",3.5,"2029-09-01",101.883,"N",null,null,null,3.0063476682264886E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.80882184293489,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000101E-2]
["135087M84","CAN 1 1/4 03/01/27",1.25,"2027-03-01",97.62,"N",null,null,null,2.7940742656350714E-2,null,null,null,null,null,null,null,null,null,null,0.51712328767123283,5.1369863013698627E-2,0.625,15,48,97.814953945862271,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000194E-2]
["135087L93","CAN 1 09/01/26",1,"2026-09-01",98.108000000000004,"N",null,null,null,2.780040992196868E-2,null,null,null,null,null,null,null,null,null,null,0.41369863013698632,4.1095890410958902E-2,0.5,15,48,98.336335321073392,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000711E-2]
["135087Q49","CAN 3 1/4 09/01/28",3.25,"2028-09-01",101.044,"N",null,null,null,2.8933741863394747E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,100.99840420444737,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000604E-2]
["135087Q49","CAN 3 1/4 09/01/28",3.25,"2028-09-01",101.044,"N",null,null,null,2.8933741863394747E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,{"$f":"E44+U44-V44-W44-W44*($B$6/100)*X44/365+(E44+U44)*($B$6/100)*Y44/365","v":100.99840420444737},null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000604E-2]
["135087N83","CAN 2 3/4 09/01/27",2.75,"2027-09-01",99.902000000000001,"N",null,null,null,2.7980119249249008E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,{"$f":"E45+U45-V45-W45-W45*($B$6/100)*X45/365+(E45+U45)*($B$6/100)*Y45/365","v":99.915507338431226},null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000236E-2]
["135087R89","CAN 3 1/2 09/01/29",3.5,"2029-09-01",101.883,"N",null,null,null,3.0063476682264886E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.80882184293489,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000101E-2]
["135087R89","CAN 3 1/2 09/01/29",3.5,"2029-09-01",101.883,"N",null,null,null,3.0063476682264886E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.80882184293489,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000101E-2]
["135087K37","CAN 1 1/4 06/01/30",1.25,"2030-06-01",91.772000000000006,"N",null,null,null,3.0947270415081031E-2,null,null,null,null,null,null,null,null,null,null,0.20205479452054795,0.36643835616438358,0,0,48,91.940234937887041,null,"2025-06-01","2025-12-01","2025-09-16",59,48,107,"No coupon",null,2.7499999999999809E-2]
["135087L93","CAN 1 09/01/26",1,"2026-09-01",98.108000000000004,"N",null,null,null,2.780040992196868E-2,null,null,null,null,null,null,null,null,null,null,0.41369863013698632,4.1095890410958902E-2,0.5,15,48,98.336335321073392,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000711E-2]
["135087S47","CAN 2 3/4 03/01/30",2.75,"2030-03-01",98.69,"N",null,null,null,3.0579668194916591E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,98.699124215143542,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7499999999999476E-2]
["135087S47","CAN 2 3/4 03/01/30",2.75,"2030-03-01",98.69,"N",null,null,null,3.0579668194916591E-2,null,null,null,null,null,null,null,null,null,null,1.1376712328767122,0.11301369863013698,1.375,15,48,98.699124215143542,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7499999999999476E-2]
["135087Q49","CAN 3 1/4 09/01/28",3.25,"2028-09-01",101.044,"N",null,null,null,2.8933741863394747E-2,null,null,null,null,null,null,null,null,null,null,1.3445205479452054,0.13356164383561644,1.625,15,48,100.99840420444737,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000604E-2]
["135087Q98","CAN 4 03/01/29",4,"2029-03-01",103.54600000000001,"N",null,null,null,2.9500714311361552E-2,null,null,null,null,null,null,null,null,null,null,1.6547945205479453,0.16438356164383561,2,15,48,103.4146028733346,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.749999999999992E-2]
["135087R89","CAN 3 1/2 09/01/29",3.5,"2029-09-01",101.883,"N",null,null,null,3.0063476682264886E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.80882184293489,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000101E-2]
["135087R89","CAN 3 1/2 09/01/29",3.5,"2029-09-01",101.883,"N",null,null,null,3.0063476682264886E-2,null,null,null,null,null,null,null,null,null,null,1.4479452054794522,0.14383561643835616,1.75,15,48,101.80882184293489,null,"2025-03-01","2025-09-01","2025-09-16",151,48,15,"Coupon",null,2.7500000000000101E-2]
["135087T46","CAN 2 1/2 08/01/27",2.5,"2027-08-01",99.433999999999997,"N",null,null,null,2.7925271025406505E-2,null,null,null,null,null,null,null,null,null,null,0.52054794520547942,0.31506849315068491,1.25,46,48,98.746626721336085,null,"2025-05-15","2025-08-01","2025-09-16",76,48,46,"Coupon",null,2.7500000000000611E-2]
[]
["*Indicative values only, offical Index values are calculated at the close of each business day by FTSE. \n\nThis document is made available for general information purposes only. The information provided in this document, including financial and economic data, quotes and any analysis or interpretation thereof, is provided solely for information purposes and shall not be construed in any jurisdiction as providing any advice or recommendation with respect to the purchase or sale of any derivative instrument, underlying security or any other financial instrument or as providing legal, accounting, tax, financial or investment advice. Bourse de Montréal Inc. recommends that you consult your own advisors in accordance with your needs before making decision to take into account your particular investment objectives, financial situation and individual needs.\n\nAlthough care has been taken in the preparation of this document, Bourse de Montréal Inc. and/or its affiliates do not guarantee the accuracy or completeness of the information contained in this document and reserve the right to amend or review, at any time and without prior notice, the content of this document. Neither Bourse de Montréal Inc. nor any of its affiliates, directors, officers, employees or agents shall be liable for any damages, losses or costs incurred as a result of any errors or omissions in this document or of the use of or reliance upon any information appearing in this document.\n\nFTSE International Limites / FTSE Global Debt Capital Markets Inc. does not sponsor or endorse the tools presented in this document nor make any representation regarding the use of such tools, nor does it have any liability for any errors or omissions within such tools or the Indicative Index and Futures contract fair value  or it calculates."]