Unofficial Consolidation: Form 21-101F3 Quarterly Report of Marketplace Activities

Form 21-101F3
Quarterly Report of Marketplace Activities

A. General Marketplace Information

1. Marketplace Name:
2. Period covered by this report:
3. Identification

A.           Full name of marketplace (if sole proprietor, last, first and middle name):

B.           Name(s) under which business is conducted, if different from item A:

C.          Marketplace main street address:

4. A list of all amendments in the information in Form 21-101F1 or 21-101F2 that were filed with the Canadian securities regulatory authorities and implemented during the period covered by the report. The list must include a brief description of each amendment, the date filed and the date implemented.
5. A list of all amendments in the information in Form 21-101F1 or 21-101F2 that have been filed with the Canadian securities regulatory authorities but not implemented as of the end of the period covered by the report. The list must include a brief description of each amendment, the date filed and the reason why it was not implemented.
6. Systems - If any outages occurred at any time during the period for any system relating to trading activity, including trading, routing or data, provide the date, duration, reason for the outage and its resolution.
7. Systems Changes – A brief description of any significant changes to the systems and technology used by the marketplace that support order entry, order routing, execution, trade reporting, trade comparison, data feeds, co-location and if applicable, market surveillance and trade clearing that were planned, under development, or implemented during the quarter. Please provide the current status of the changes that are under development.

B. Marketplace Activity Information

Section 1 – Equity Marketplaces Trading Exchange-Listed Securities

1.           General trading activity – For each type of security traded on the marketplace, provide the details (where appropriate) requested in the form set out in Chart 1. The information must be provided for transactions executed at the opening of the market, during regular trading hours, and after hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 1 – General trading activity for equity marketplaces trading exchange-listed securities

Category of Securities	Volume		Value		Number of Trades
	Transparent	Non-transparent	Transparent	Non-transparent	Transparent	Non-transparent
Exchange-Traded Securities
1. Equity (includes preferred shares)
2. Exchange-traded funds (ETFs)
3. Debt securities
4. Options
Foreign Exchange-Traded Securities
1. Equity (includes preferred shares)
2. ETFs
3. Debt securities
4. Options

2.           Crosses - Provide the details (where appropriate) requested in the form set out in Chart 2 below for each type of cross executed on the marketplace for trades executed at the opening of the market, during regular trading and after hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 2 – Crosses

Types of Crosses	Volume	Value	Number of Trades
1. Intentional Crosses[1]
2. Internal crosses
3. Other crosses

3.           Order information – Provide the details (where appropriate) requested in the form set out in Chart 3 below for each type of order in exchange traded securities executed on the marketplace for orders entered at the opening of the market, during regular trading and after hours during the quarter. Enter “none”, “N/A”, or “0” where appropriate.

Chart 3 – Order information

Types of Orders	Number of Orders	Orders Executed	Orders Cancelled[2]
1. Anonymous[3]
2. Fully transparent
3. Pegged Orders
4. Fully hidden
5. Separate dark facility of a transparent market
6. Partially hidden (reserve)
7. Total number of orders entered during the quarter

4.           Trading by security – Provide the details requested in the form set out in Chart 4 below for the 10 most traded securities on the marketplace (based on the volume of securities traded) for trades executed at the opening of the market, during regular trading and after hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 4 – Most traded securities

Category of Securities	Volume	Value	Number of Trades
Exchange-Traded Securities
1. Equity (includes preferred shares)
[Name of Securities]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
2. ETFs
[Name of Securities]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

 

Category of Securities	Volume	Value	Number of Trades
3. Debt
[Enter issuer, maturity and coupon]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
Foreign Exchange-Traded Securities
1. Equity (includes preferred shares)
[Name of Securities]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
2. ETFs
[Name of Securities]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
3. Debt
[Name of Securities]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

5.           Trading by marketplace participant - Provide the details requested in the form set out in Chart 5 below for the top 10 marketplace participants (based on the volume of securities traded). The information must be provided for the total trading volume, including for trades executed at the opening of the market, during regular trading and after hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate. Where a marketplace’s marketplace participants are dealers and non-dealers, the marketplace must complete a separate chart for each.

Chart 5 – Concentration of trading by marketplace participant

	Marketplace Participant Name	Total Active Volume	Total Passive Volume
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

6.           Routing activities - Indicate the percentage of marketplace participants that used marketplace-owned or third party or affiliated routing services during the reporting period. In addition, provide the information in Chart 6 below.

Chart 6 – Routing of marketplace orders

Number of orders executed on the reporting marketplace
Number of orders routed to away marketplaces (list all marketplaces where orders were routed)
Number of orders that are marked and treated as Directed Action Orders (DAO)

Section 2 – Fixed Income Marketplaces

1.           General trading activity - Provide the details (where appropriate) requested in the form set out in Chart 7 below for each type of fixed income security traded on the marketplace for transactions executed during regular trading hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 7 – Fixed income activity

 

 

 

Category of Securities	Value Traded	Number of Trades
Domestic Unlisted Debt Securities - Government
1. Federal
2. Federal Agency
3. Provincial and Municipal
Domestic Unlisted Debt Securities – Corporate
Domestic Unlisted Debt Securities - Other
Foreign Unlisted Debt Securities – Government
Foreign Unlisted Debt Securities – Corporate
Foreign Unlisted Debt Securities - Other

2.           Trading by security – Provide the details requested in the form set out in Chart 8 below for each fixed income security traded on the marketplace during regular trading hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 8 – Traded fixed income securities

Category of Securities	Value Traded	Number of Trades
Domestic Unlisted Debt Securities - Government 1. Federal [Enter issuer, maturity, coupon]
2. Federal Agency [Enter issuer, maturity, coupon]
3. Provincial and Municipal [Enter issuer, maturity, coupon]
Domestic Unlisted Debt Securities – Corporate [Enter issuer, maturity, coupon]
Domestic Unlisted Debt Securities – Other [Enter issuer, maturity, coupon]
Foreign Unlisted Debt Securities – Government [Enter issuer, maturity, coupon]
Foreign Unlisted Debt Securities – Corporate [Enter issuer, maturity, coupon]
Foreign Unlisted Debt Securities – Other [Enter issuer, maturity, coupon]

3.           Trading by marketplace participant - Provide the details requested in the form set out in Chart 9 below for the top 10 marketplace participants for trades executed during regular trading hours during the quarter. Enter “None”, “N/A”, or “0” where appropriate. If marketplace participants are dealers and non-dealer institutions, the marketplace must complete a separate chart for each.

Chart 9 – Concentration of trading by marketplace participant

	Marketplace Participant Name	Value Traded
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

Section 3 – Securities Lending Marketplaces

1.           General lending activity – Please provide details (where appropriate) requested in the form set out in Chart 10 below for each type of securities loaned on the marketplace. Enter “None”, “N/A” or “0” where appropriate.

Chart 10 – Lending activity

Category of Securities	Quantity of Securities Lent During the Quarter	Aggregate Value of Securities Lent During the Quarter
Domestic
1. Corporate Equity Securities
1.1. Common Shares
1.2. Preferred Shares
2. Non-Corporate Equity Securities (e.g. trust units, partnership units, etc.) (please specify)
3. Government Debt Securities
4. Corporate Debt Securities

 

Category of Securities	Quantity of Securities Lent During the Quarter	Aggregate Value of Securities Lent During the Quarter
5. Other Fixed Income Securities (please specify)
Foreign
1. Corporate Equity Securities
1.1. Common Shares
1.2. Preferred Shares
2. Non-Corporate Equity Securities (e.g. trust units, partnership units, etc.) (Please specify)
3. Government Debt Securities
4. Corporate Debt Securities
5. Other Fixed Income Securities (please specify)

2.           Trading by marketplace participant – Provide the details requested in the form set out in Chart 11 and Chart 12 below for the top 10 borrowers and lenders based on their aggregate value of securities borrowed or loaned, respectively, during the quarter.

Chart 11 – Concentration of activity by borrower

Borrower Name	Aggregate Value of Securities Borrowed During the Quarter
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

Chart 12 – Concentration of activity by lender

Lender Name	Aggregate Value of Securities Loaned During the Quarter
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

3.           Lending activity by security – Provide the details requested in the form set out in Chart 13 below for the 10 most loaned securities on the marketplace (based on the quantity of securities loaned during the quarter). Enter “None”, “N/A” or “0” where appropriate.

Chart 13 – Most loaned securities

Category of Securities	Quantity of Securities Lent During the Quarter	Aggregate Value of Securities Lent During the Quarter
Domestic
1. Common Shares
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
2. Preferred Shares
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
3. Non-Corporate Equity Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

 

 

 

Category of Securities	Quantity of Securities Lent During the Quarter	Aggregate Value of Securities Lent During the Quarter
4. Government Debt Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
5. Corporate Debt Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
6. Other Fixed Income Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
Foreign
1. Common Shares
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

 

Category of Securities	Quantity of Securities Lent During the Quarter			Aggregate Value of Securities Lent During the Quarter
2. Preferred Shares
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
3. Non-Corporate Equity Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
4. Government Debt Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
5. Corporate Debt Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

 

Category of Securities	Quantity of Securities Lent During the Quarter	Aggregate Value of Securities Lent During the Quarter
6. Other Fixed Income Securities
[Name of Security]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

Section 4 – Derivatives Marketplaces in Québec

1.           General trading activity – For each category of product traded on the marketplace, provide the details (where appropriate) requested in the form set out in Chart 14 below. For products other than options on ETFs and equity options, provide the details on a product-by-product basis in the appropriate category. Details for options on ETFs and equity options must be provided on an aggregate basis (one total for options on ETFs and one for options on equities). The information must be provided for transactions executed in the early session, during the regular session, and in the extended session during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 14 – General trading activity

Category of Product	Volume		Number of Trades	Open Interest (Number/End of Quarter)
Futures Products
1(a) Interest rate - short term
1(b) Interest rate – long term
2. Index
3. ETF
4. Equity
5. Currency
6. Energy
7. Others, please specify
Options Products
1(a) Interest rate -short term
1(b) Interest rate – long term
2. Index
3. ETF
4. Equity
5. Currency
6. Energy
7. Others, please specify

2.           Trades resulting from pre-negotiation discussions - Provide the details (where appropriate) requested in the form set out in Chart 15 below by product and for each type of trade resulting from pre-negotiation discussions. For products other than options on ETFs and equity options, provide the details on a product-by-product basis in the appropriate category. Details for options on ETFs and equity options must be provided on an aggregate basis (one total for options on ETFs and one for options on equities). The information must be provided for trades executed in the early session, during the regular session and in the extended session during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 15 –Trades resulting from pre-negotiation discussions

Type of Trade	Volume	Number of Trades
Futures Products
A. Cross
B. Pre-arranged
C. Block
D. Exchange for physical
E. Exchange for risk
F. Riskless basis cross
G. Others, please specify
Options Products
A. Cross
B. Pre-arranged
C. Block
D. Others, please specify

3.           Order information – Provide the details (where appropriate) requested in the form set out in Chart 16 below by product and for each type of order in exchange traded contracts executed on the marketplace. For products other than options on ETFs and equity options, provide the details on a product-by-product basis in the appropriate category. Details for options on ETFs and equity options must be provided on an aggregate basis (one total for options on ETFs and one for options on equities). The information must be provided for orders entered in the early session, during the regular session and in the extended session during the quarter. Enter “none”, “N/A”, or “0” where appropriate.

Chart 16 – Order Information

Type of Orders	Volume	Number of Trades
1. Anonymous
2. Fully transparent
3. Pegged orders
4. Fully hidden
5. Separate dark facility of a transparent market
6. Partially hidden (reserve, for example, iceberg orders)

4.           Trading by product – Provide the details requested in the form set out in Chart 17 below. For each product other than options on ETFs and equity options, list the most actively-traded contracts (by volume) on the marketplace that in the aggregate constitute at least 75% of the total volume for each product during the quarter. The list must include at least 3 contracts. For options on ETFs and equity options, list the 10 most actively traded classes by volume. Details for options on ETFs and equity options must be provided on an aggregate basis (one total for options on ETFs and one for options on equities). The information must be provided for trades executed in the early session, during the regular session and in the extended session during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 17 – Most traded contracts

Category of Product	Volume	Number of Trades	Open Interest (Number/End of Quarter)
Futures Products
1. Name of products – 3 most-traded
contracts (or more as applicable)
1.
2.
3.
Options Products
2. ETF
[Classes]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
3. Equity
[Classes]
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
4. Other listed options (specify for each) – 3 most traded contracts (or more as applicable)
1.
2.
3.

5.           Concentration of trading by marketplace participant - Provide the details requested in the form set out in Chart 18 below. For each product other than options on ETFs and equity options, list the top marketplace participants whose aggregate trading (by volume) constituted at least 75% of the total volume traded. The list must include at least 3 marketplace participants. For options on ETFs and equity options, provide the top 10 most active marketplace participants (by volume). The information must be provided on an aggregate basis (one total for options on ETFs and one for options on equities). The information must be provided for trades executed in the early session, during the regular session and in the extended session during the quarter. Enter “None”, “N/A”, or “0” where appropriate.

Chart 18 – Concentration of trading by marketplace participant

Product Name	Marketplace Participant Name	Volume
Futures
Product Name (specify for each)	1. 2. 3. (more if necessary)
Options
ETF	1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
Equity	1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
Other options (specify for each)	1. 2. 3. (more if necessary)

C. Certificate of Marketplace

The undersigned certifies that the information given in this report relating to the marketplace is true and correct.

DATED at ________________ this ______ day of ________________ 20___

___________________________

(Name of Marketplace)

___________________________

(Name of director, officer or partner – please type or print)

___________________________

(Signature of director, officer or partner)

___________________________

(Official capacity – please type or print)