FTSE Canada Bank Credit Spread Index Series

FTSE Russell is committed to fostering evolution in the markets it serves and has been working closely with key industry partners to support the development of credit risk transfer solutions for the Canadian market. FTSE Russell is proud to introduce the FTSE Canada Bank Credit Spread Index Series, an innovative benchmark designed to capture the dynamics of Canadian corporate credit risk.

Through extensive research and in-depth analysis, FTSE Russell has designed a liquid, simple and transparent benchmark that isolates the credit spread component to provide a standardized gauge of credit market conditions in Canada. The FTSE Canada Bank Credit Spread Index Series captures the yield differential, or spread, between a basket of Canadian Bank bonds and their benchmark Government of Canada securities as a measure of Canadian financial sector credit risk. It also offers insights into credit risk dynamics within the Canadian investment grade market, facilitating informed decision making for investors.

The FTSE Canada Bank Credit Spread Index Series has been selected by the Montreal Exchange to serve as the foundation for a new, first-of-its-kind credit derivative product, Canada Bank Credit Index Futures (CBC) which will launch in 2026, providing market participants with a tool to manage credit exposure, hedge risk, and implement strategic investment views.

**Montréal Exchange introduces the FTSE Canada Bank Credit Index Futures**

Based on the FTSE Canada Bank Credit Spread Index, Montréal Exchange will launch a first-of-its-kind credit derivatives product, Canada Bank Credit Index Futures (CBC), in Q1-2026*. This new contract will provide market participants with a tool to manage credit exposure, hedge risk, and implement strategic investment views.

* Subject to regulatory approval.

The FTSE Canada Bank Credit Spread Index Series comprises a series of benchmarks which are designed to isolate the credit spread component of a reference basket of liquid Canadian bank bonds.

A new spread index series will be created on a quarterly basis on the last business day of February, May, August, and November based on the FTSE Canada Bank Credit Reference Basket which is set from the constituents of the FTSE Canada Universe Bond Index by applying transparent selection and screening criteria to the domestic corporate financial bank sector. Each spread index series will expire four months after creation, aligned with the life of the future contract written on the series.

These transparent indices follow a published methodology, and can be tracked with individual security holdings, prices and spreads disclosed electronically each day.

1
The FTSE Canada Bank Credit Reference Basket is a liquid representation of the domestic FTSE Canada Corporate Financial Bank Bond Index

Simple and transparent screening criteria are applied to select most liquid securities from the FTSE Canada Corporate Financial Bank Bond Index into the basket

The basket rebalances on a quarterly basis at the close on the last business day of the month each February, May, August, and November

Selected securities are weighted by market capitalization with par outstanding fixed as of the rebalance date
2
At quarterly rebalance date, each corporate bond selected in the Reference Basket is mapped to a benchmark Government of Canada bond

Mapping remains fixed between rebalances, is sourced from Candeal DNA and reported in the index files for transparency

Weights of GOC securities are set equal to their mapped corporate bonds
3
Spread is calculated as the yield differential between the corporate bonds in the Reference Basket and their respective Government of Canada bonds

Spread value is calculated daily, based on 4 pm mid market prices, for each position in the reference basket and aggregated to Index level based on market capitalization weights of the reference basket bonds

Spread Index value captures changes in credit spreads without exposure to interest rates and will serve as the basis for the Futures contract

The spread index series will be set on a quarterly basis (on the last business day of the month each February, May, August, and November) and named as series of the expiry month (such that the spread index series set at February month end will be named as the June series).

The index series naming convention will include a three-character code indicating the delivery date (i.e., one-character for month and two-characters for year) that follows the standard ticker convention observed in the futures market with the reference letters H, M, U, and Z corresponding to March, June, September, and December, respectively. For example:

FTSE Canada Bank Credit Spread Index H25 (ticker: CBCH25) for an index series created on the last business day of November 2024 and to mature at the end of March 2025
FTSE Canada Bank Credit Spread Index M25 (ticker: CBCM25) for an index series created on the last business day of February 2025 and to mature at the end of June 2025
FTSE Canada Bank Credit Spread Index U25 (ticker: CBCU25) for an index series created on the last business day of May 2025 and to mature at the end of September 2025
FTSE Canada Bank Credit Spread Index Z25 (ticker: CBCZ25) for an index series created on the last business day of August 2025 and to mature at the end of December 2025

The FTSE Canada Bank Credit Spread Index files are published on a daily basis and available through the same delivery channels.