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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.
AIR Futures
MONTRÉAL EXCHANGE
Enhanced Market Access
Operational Excellence
Capital Efficiency
Market Flexibility
Gain exposure to Canada's leading equity index
Trade total returns through a standardized, listed derivative
Benefit from central clearing and reduced counterparty risk
Standardized trading and familiar pricing approach
Cross-margining opportunities with Index Futures and Sector Index Futures.
Optimized margin requirements through central clearing
Reduced operational complexity versus OTC solutions
Transparent pricing and daily mark-to-market
Quarterly expiration for the first year and annual expiry cycle up to 5 years
Trade during regular market hours (9:30 a.m. - 4:00 p.m. ET)
Multiple trading strategies supported, including basis trades
Key Benefits
Resources
Introducing Adjusted Interest Rate S&P/TSX 60 Total Return Index* Future
Product Specifications
(tick / increment)
S&P/TSX 60 Total Return Index (TX6R)
Underlying
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
The Adjusted Interest Rate Total Return Futures price implied by the traded Spread will be rounded to 2 decimals
Quarterly Cycle: March, June, September and December.
Expiry Cycle
Last Trading Day
Final Settlement Day
Contract Type
Trading ceases on the trading day prior to the final settlement day.
Cash settlement. The final settlement price is the official opening level of the underlying index on the final settlement day minus Accrued Financing.
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.
Key Contract Details
Annual Cycle: Expiries of 24, 36, 48 and 60 months of the December cycle.
Reference Rate
Canadian Overnight Repo Rate Average (CORRA)
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.
1,000 futures contracts on the S&P/TSX 60 Total Return Index, gross long and short, in all contract months combined.
Position Reporting Threshold
Position Limit
None considering the underlying is a broad based index
Trading Hours
Regular session: 9:30 a.m to 4:00 p.m ET
Clearing Corporation
Canadian Derivatives Clearing Corporation (CDCC)
Accrued Financing and CORRA rate (Available on launch date)