A New Credit Risk Indicator for Canada

Why It Matters

The new index and futures create a standardized, tradable gauge of domestic Canadian credit risk, giving portfolio managers a tailored, liquid tool to hedge or express views without selling cash bonds and potentially enhancing market liquidity and risk management.

Summary

FTSE Russell and the Montreal Exchange have launched the FTSE Canada Bank Credit Spread Index series, which underlies TMX’s new cash‑settled Canada Credit futures (BCS) introduced last month. The index isolates Canadian bank bond credit spreads by comparing a curated reference basket of roughly 20 liquid bank bonds to matched Government of Canada bonds, with constituents reset quarterly and construction prioritizing liquidity, simplicity and transparency. Each one‑basis‑point move in the underlying spread corresponds to a $50 change in the futures' market value, and the contract is centrally cleared by the CDCC. The product is designed for hedging, rapid synthetic exposure, tactical spread bets and to improve price discovery in Canadian credit markets.

Original Description

In this episode of FTSE Russell Index Ideas, Joshua Gorelik, director of fixed income quantitative research at FTSE Russell, and Alex Prince, executive director of interest rate derivatives at the Montréal Exchange (TMX), talk about the FTSE Canada Bank Credit Spread Index Series and its role as an underlying for TMX’s FTSE Canada Bank Credit Index Futures (BCS), launched in April 2026.

Our FTSE Russell Index Ideas podcast series brings you insights into how our indices and benchmarks are built and why. We explore index ideas that can help you address real-world investment challenges.

0:00 Introduction

1:44 Unpacking the FTSE Canada Bank Credit Spread Index

4:21 Use cases

7:12 How the index series works

9:00 Other considerations

9:55 TMX's launch of futures contracts

13:30 Concluding thoughts

Watch the full series here: https://www.youtube.com/playlist?list=PLs_YjOh3pCYiJlgj7gxsEqG5l84Cyo1Sz

To listen on your preferred podcast platform go to https://pod.link/1824483218

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