CSA STAFF NOTICE 21-306 NOTICE OF FILING OF FORMS 21-101F5 INITIAL OPERATION REPORT FOR INFORMATION PROCESSOR
I. INTRODUCTION The Canadian Securities Administrators (CSA or we) are publishing this notice to seek comments from market participants on the summary of applications for the information processor role, included at Schedule A, and to solicit feedback on a number of specific issues.
II. BACKGROUND 1. Transparency National Instrument 21-101 Marketplace Operation (NI 21-101) imposes transparency requirements onto marketplaces, dealers and inter-dealer bond brokers (IDBs) for exchange-traded securities and fixed income securities. Transparency facilitates the price discovery process and compliance with regulatory requirements, such as best execution and short selling. Transparency also supports competition between marketplaces by enabling market participants to have access to information regarding securities being traded.
Part 7 of NI 21-101 requires that marketplaces that display orders of exchange-traded securities provide information regarding these orders to an information processor or, if there is no information processor, to an information vendor.. Part 8 of NI 21-101 requires that marketplaces that display orders of corporate debt securities 1 provide order information for corporate debt securities to an information processor. In addition, marketplaces, IDBs and dealers executing trades of corporate debt securities are required to provide information regarding details of trades to an information processor or, in the absence of an information processor, to an information vendor. Further details on the information to be reported to the information processor are included in Part 10 of Companion Policy 21-101CP to NI 21-101 (21-101CP).
At this time, CanPX Inc. (CanPX) is the approved information processor for corporate debt. There is currently no information processor for the equity securities. However, order and trade information is provided to information vendors.
2. Regulatory requirements, multiple marketplaces and information consolidation The CSA initially proposed the creation of a data consolidator in 1999 with the introduction of the ATS Rules. 2 However, based on recommendations by an industry committee struck to review data consolidation and market integration 3 for the equity markets, we accepted the industry committee’s view that a market-based solution would develop to achieve consolidation and
1 Part 8 of NI 21-101 also sets out the transparency requirements applicable to government debt securities, however, these have been postponed until December 31, 2011. 2 NI 21-101 together with National Instrument 23-101 Trading Rules are the ATS Rules. First published at (1999) 22 OSCB ATS Supp (the ATS Supplement). A discussion about the “Consolidated Plan” can be found on page 93. 3 Market integration enables a buyer or a seller of securities to access any order on any other marketplaces, regardless of whether they are a marketplace participant of that marketplace. See the ATS Supplement for a detailed description of market integration.
removed the requirements for data consolidation and market integration. views on market integration.
On July 14, 2006, we proposed several amendments 5 to the ATS Rules and their companion policies (together, the proposed amendments). One of the amendments 6 , which has since been adopted, clarified our expectation that, in order to comply with best execution obligations, dealers should take into account order information from all marketplaces where a security is traded and should not just consider information from marketplaces where a dealer is a participant, as appropriate. Comments received to the proposed amendments indicated that such requirements would be more feasible with a market integrator or data consolidator/information processor. While we disagreed that market integration or data consolidation was necessary in order for dealers to comply with the best execution obligations, we agreed that the existence of an information processor 7 that provides consolidated data could be a helpful tool for meeting best execution and other regulatory requirements. That is, an information processor would ensure the availability of a source of consolidated data that meets regulatory standards and which users, including dealers, could use, at their choice, to demonstrate how they met their best execution obligations. The existence of an information processor would not preclude marketplace participants from using data provided by other information sources such as data vendors or from obtaining direct data feeds from the marketplaces.
As stated above, the purpose of data consolidation is to facilitate the price discovery process and regulatory compliance in a multiple marketplace environment. It enables market participants to use one source to see all prices and trades of a particular security and provides a benchmark for market participants and regulators to evaluate compliance with certain regulatory requirements like best execution, short selling and “best price” obligations, especially in a multiple marketplace environment. An information processor could ensure a central source of consolidated data that is consistent and meets standards approved by regulators.
For these reasons, we invited interested parties to apply for the role of the information processor and published a separate notice of request for this purpose. received six filings of Form 21-101F5 for the information processor, as follows:
• Bourse de Montréal (MX) for fixed income and equity securities; • CanPX for fixed income securities; • CDS Inc. for fixed income and equity securities; • Gmarkets Inc. (Gmarkets) for fixed income securities; • TSX Inc. (TSX) in conjunction with CanDeal.ca Inc. (CanDeal) for fixed income securities; and • TSX for equity securities. 4 See the industry report at (2003) 26 OSCB 4385. 5 The proposed amendments were published in Ontario on July 14, 2006, at (2006) 29 OSCB 5735. 6 These amendments have subsequently been implemented in subsection 4.1(8) of Companion Policy to NI 23-101. 7 An information processor is defined as a company that receives and provides information under NI 21-101 and has filed Form 21-101F5. 8 CSA Notice 21-304 Request for Filing of Form 21-101F5 Initial Operation Report for Information Processor by Interested Information Processors (Request for Filing of Form 21-101F5), published in Ontario on July 14, 2006 at (2006) 29 OSCB 5757.
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4 They also expressed
8 In response to our request, we
On October 27, 2006, we extended CanPX’s approval as the information processor for corporate fixed income securities from December 31, 2006 until December 31, 2007 in order to allow sufficient time for market participants to transition to a new information processor, in case a different entity is selected to perform this role. 9 III. CRITERIA AND EVALUATION OF APPLICATIONS 1. Criteria Section 16.2 of 21-101CP states that the CSA will review Form 21-101F5 to determine whether it is contrary to the public interest for the filer to act as an information processor. We are considering a number of objective factors to evaluate the filings received. Specifically, we are looking for a financially viable entity that meets the following criteria:
a. Organization and governance – the applicant has a strong management team and board of directors with independent representation, if feasible; it has sufficient staff resources with adequate industry knowledge and expertise assigned to run the information processor business; if facing inherent conflicts of interest, such as those associated with the collection, handling and distribution of data provided by competing organizations, it has adequate processes to manage such conflicts.
b. Systems o Development and implementation – staff assigned to develop and implement the system necessary to perform the role of the information processor have adequate technical capability; the time required to go live by the system, if not already operational, is reasonable and connectivity is easy, in terms of standards, cost and time; in addition, the system has an adequate Central Processing Unit, network performance and capacity, an adequate testing plan that includes capacity stress tests, as well as adequate customer contract and Service Level Agreements.
o Operations and data integrity – it has, or can develop, a system that has adequate hardware, software and network redundancy, physical and logical security, customer support activities and data validation processes; it has adequate backup procedures and a disaster recovery plan that ensures that the feed is re-established within a reasonable timeline in the event of a significant disaster; problem resolution and change management are given adequate priority and are handled by staff with the necessary capability.
c. Commitment to transparency o Fixed income securities – the applicant is committed to receiving data feeds of trade details for designated corporate securities reported by marketplaces, IDBs and dealers in accordance with the requirements of NI 21-101 and 21-101 CP, 10 and to provide a 9 CSA Staff Notice 21-305 Extension of Approval of Information Processor for Corporate Fixed Income Securities, published in Ontario at (2006) 29 OSCB 8364. 10 Subsection 10.1(3) of 21-101CP requires marketplaces trading corporate debt securities, IDBs and dealers trading corporate debt securities outside of a marketplace to provide details of trades of all corporate debt securities designated by the information processor, including: the type of counterparty,
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consolidated data feed of such information, as required by NI 21-101; in addition, it has adequate, timely and transparent criteria and processes to select the designated corporate fixed income securities.
o Equity securities - it is committed to receiving data feeds for orders and trades in exchange-traded securities reported by marketplaces in accordance with the requirements of NI 21-101 containing, at a minimum, information such as the marketplace, time of entry, price, volume and appropriate regulatory identifiers; it can provide a consolidated feed of the bid and ask prices, as well as trade information transmitted to it.
d. Fees and revenue sharing – the applicant has a competitive fee structure and revenue sharing plan and, if sharing revenue with the data contributors, the allocation is fair.
The summary of the filings received included as Schedule A to this notice is organized under the four general criteria listed above. 11 2. Specific requests for comment In addition to written submissions with respect to the summary of filings included in Schedule A, we request specific comments in a number of areas, set out below.
a. General We are requesting feedback on the proposals received and the criteria developed for evaluation. Question #1: What are the advantages and disadvantages associated with each proposal summarized in Schedule A?
Question #2: Are the criteria used for evaluation of the applications adequate? Should other factors be considered by the CSA in reviewing the applications?
b. Feed versus display One issue we considered was whether an information processor should disseminate a standardized display of data that would ensure that all market participants view the same consolidated information in the same way. Discussions with marketplace representatives indicated, however, that the specific information needs of market participants may be better met if the information processor disseminates data feeds that can be acquired by users, directly from the information processor or through information vendors, and can be varied and customized to meet their needs.
issuer, type of security, class, series, coupon and maturity, price and time of the trade and, subject to certain volume caps, the volume traded, within one hour from the time of trade. 11 Note that the summary does not include proprietary and commercial information provided by the applicants.
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Question #3: Should an information processor be required to create and disseminate a standardized, consolidated display of data? Alternatively, should the information processor disseminate consolidated data feeds that may be accessed by market participants to create their own displays?
c. Multiple information processors We note that, while NI 21-101 sets out the process to become an information processor and 21-101CP states that the CSA must make a determination whether it is contrary to the public interest for a filer to act as an information processor, there are no restrictions on the number of entities that may act as information processors, provided they meet the required criteria. Further, in CSA Notice 21-304 Request for Filing of Form 21-101F5, we recognize that an entity may apply to be the information processor for the fixed income market, for the equity market, or for both.
We acknowledge the synergies and advantages, both in terms of cost savings and ease of connectivity, associated with a single information processor. In addition, a single information processor would ensure the availability of a single source of consolidated information and uniformity of data distributed to the public. However, there may be advantages to having multiple information processors. For example, some believe that having different information processors for the fixed income and equity markets would ensure that the distinct needs of the participants of these two markets are better met. Further, there are views that the availability of multiple information processors may promote competitiveness and create efficiencies, both in terms of fees and operations.
Question #4: What would be the advantages and disadvantages of having one versus multiple information processors? For example, how would each alternative impact market participants’ ability to achieve best execution or comply with trade-through or other obligations? Should the information processors for the fixed income and equity markets be different?
IV. COMMENTS AND QUESTIONS We are reviewing the filings received based on the criteria specified earlier. Subject to any comments received by June 4, 2007, we intend to make a final recommendation regarding the information processor to each Commission in July, 2007 and publish the results shortly thereafter.
You should send submissions to all of the CSA listed below in care of the OSC, in duplicate, as indicated below:
Alberta Securities Commission British Columbia Securities Commission Manitoba Securities Commission New Brunswick Securities Commission Securities Commission of Newfoundland and Labrador Registrar of Securities, Department of Justice, Government of the Northwest Territories Nova Scotia Securities Commission Registrar of Securities, Legal Registries Division, Department of Justice, Government of Nunavut Ontario Securities Commission Prince Edward Island Securities Office
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Saskatchewan Financial Services Commission Registrar of Securities, Government of Yukon
c/o John Stevenson, Secretary Ontario Securities Commission 20 Queen Street West Suite 1900, Box 55 Toronto, Ontario M5H 3S8 e-mail: jstevenson@osc.gov.on.ca
Submissions should also be addressed to the Autorité des marchés financiers (Québec) as follows: Madame Anne-Marie Beaudoin Directrice du secrétariat Autorité des marchés financiers 800, square Victoria, 22 e étage C.P. 246, tour de la Bourse Montréal, Québec H4Z 1G3 e-mail: consultation-en-cours@lautorite.qc.ca
A diskette containing the submissions should also be submitted. As securities legislation in certain provinces requires a summary of written comments during the comment period be published, confidentiality of submissions cannot be maintained.
Questions may be referred to any of: Shaun Fluker Alberta Securities Commission (403) 297-3308 Tony Wong British Columbia Securities Commission (604) 899-6764 Randee Pavalow Ontario Securities Commission (416) 593-8257 - 6 -
Serge Boisvert Autorité des marchés financiers (514) 395-0558 X 4358 Doug Brown Manitoba Securities Commission (204) 945-0605 Tracey Stern Ontario Securities Commission (416) 593-8167
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 1. ORGANIZATION AND GOVERNANCE 1. Overview CanPX is a for-profit, Gmarkets is a for-profit, The application is made privately-held privately-held jointly by TSX and corporation. corporation. CanDeal. The vehicle pursuant to which TSX/CanDeal will deliver the functions of the IP (and consequently, the governance structure for the IP) has not been finalized at this time. TSX/CanDeal anticipate that the structure will facilitate the involvement of, and input from, various industry participants including those who are independent of TSX/CanDeal.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) MX is a for-profit, The IP services would be TSX Inc. (TSX) is a for- privately-held provided by CDS Inc., a profit corporation and a corporation. wholly-owned subsidiary wholly-owned subsidiary of The Canadian of TSX Group Inc., a It proposes two alternative Depository for Securities public company. structures for the Limited. information processor: 1. The CSA could form a not-for-profit legal entity which would carry on its activities as an IP. The IP would: • contract with MX to provide the technical service through its Information Technology Solutions business unit (MX- ITS); and • establish Policy and Technical Committees comprised of industry
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income)
2. Board of The board of directors of There are three The governance model for Directors 12 CanPX is composed of shareholders, two of the vehicle has not yet eight directors. All are which are also directors of been finalized. related to dealers or IDBs. Gmarkets. While no TSX/CanDeal anticipate directors are independent facilitating the of the applicant, they have involvement of, and input 12 For the purposes of this summary, we interpreted independence broadly to mean the lack of a direct or indirect material relationship with an applicant; a material relationship would be reasonably expected to interfere with the exercise of a director’s independent judgement.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) volunteers for each market (equity and debt) that would make all policy decisions applicable to the IP, as well as decisions on fees and revenue sharing.
2. MX could take on direct responsibility to operate as an IP and could establish a separate entity with an independent governance for this purpose. The composition of the The Canadian Depository The TSX board of Board will be determined for Securities Limited has directors has 14 directors, once the optimal a board of 15 directors; 12 of which are governance structure to currently, 4 of these independent. perform the IP role has directors are independent. been determined between
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) no relationship with any from, various industry dealers, IDBs or participants, including marketplaces. those independent of TSX/CanDeal.
3. Key personnel An Operating Committee Key personnel consists of Key personnel responsible composed of the President the President and CEO, as for the services of the IP (a representative of a well as the Secretary and will include: dealer), Secretary- Director. • Staff of TSX Treasurer (from the In addition, there is a Datalinx, the market Investment Industry Client Services group data division of TSX; Association of Canada responsible for data • TSX and CanDeal (IIAC) and one of the Directors (an IDB), is quality assurance, technologies staff; • Staff of TSX Markets, responsible for the entitlements, the trading division of ongoing operations of administration and first CanPX. level client support. TSX; and • Senior staff from TSX 4 individuals employed by and CanDeal. the IIAC are responsible The IP will leverage TSX for ensuring high-level staff in Network compliance with corporate Operations/ Support, governance requirements, Vendor Services, Market accounting, the day-to- Services and Product - 9 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) the CSA, the data contributors and the applicant.
Key personnel will be Selected staff of CDS Inc. Personnel will be comprised of the 120 will be responsible, employed by either TSX individuals employed by among others, for the or an affiliate, and any the MX-ITS and 5 of the operations of the IP. Such personnel employed by an Market Data Services staff will include: affiliate will be shared divisions of MX. • The Executive with TSX under a service Director, CDS Inc.; agreement. • The Managing Director, CDS Inc. Core personnel that would Business, reporting to be involved in the the Executive operations of the IP would Director; and be certain staff of TSX • A Business Manager, Datalinx, Market IP, reporting to the Services, Technology Operations, Technology Managing Director, CDS Inc. Business. Development, Product Management and Market The Business Manager, IP Services.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) day operations of CanPX, Management. oversight of the technical facilitator, monitoring The IP will also leverage TSX staff in timeliness of data reported to and displayed by the Development, Quality system, and other ongoing Assurance and Project functions. Management on an “as needed” basis. 4. Management of As no directors are The application indicates TSX/CanDeal will put potential conflicts of independent of a dealer or that Gmarkets does not into place the necessary interest 13 IDB, and some may serve have a conflict of interest policies, procedures and on Board of other parties in pursuing the role of IP processes (both system with an interest in the debt for the Canadian debt and non-system) to 13 While, as an information processor, the main conflict of interest is that related to the handling of data contributed by other entities, some of which may be competitors, this summary considers all potential conflicts of interests identified by applicants.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) position will be created IP products will share and dedicated full-time to dedicated staff in the operations of the IP. Operations, Network This individual will be Support, Vendor Services charged with and Product Management recommending and and will share staff with executing strategies for other products on an “as the overall management of needed” basis in the IP operations. Development, Quality Assurance and in the At this time, it is Project Management anticipated that two Office. business analysts, reporting to the Business Manager, IP, will be dedicated full-time to the operations of the IP. MX’s conflicts of interest CDS Inc. does not Data transmitted to the IP are specific to an compete at any level with by marketplaces will not exchange and relate to the any of the providers of be inappropriately inherent conflicts from data to the IP, nor with manipulated by TSX. That ownership of the any of the potential users is, data will not be
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) markets, CanPX has a markets, as it does not manage potential conflicts number of measures to derive any income from of interest associated with help preserve trading in these markets, the receipt of data from independence, as follows: and none of its competitors of TSX or • Broad share shareholders and directors CanDeal. As a general ownership with are employed by a matter, access to data will provision for others to Canadian marketplace, be on an “as needed” become shareholders; dealer or IDB. basis. Specifically: • Secretariat services • Employees of Shorcan will be separate from the provided by a third Brokers Limited (an party (the IIAC); IDB subsidiary of • Declaration by TSX) will not be directors of any granted access by known conflicts of TSX/CanDeal to interest during Board competitor IDB data; meetings; • Employees of • Periodic guest CanDeal’s Revolution participation of a Trading division will Bank of Canada not be granted access representative; by TSX/CanDeal to • Shareholders do not competitor IDB data; acquire data directly and from CanPX but from • Access to the CanPX vendors at the contributed inbound - 11 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) exchange shares. Such of such data. modified, except to conflicts are managed reformat it if required, to through restrictions on However, it has processes remove unnecessary data share ownership. to manage potential elements and add conflicts of interest that it necessary new data In addition, the technical would face as an IP, due elements. TSX staff who infrastructure for the to receipt of data from do not require knowledge consolidated data feeds competitors of its of or access to competitor shareholders. For data or client information MX infrastructure. example, data received by for purposes of operating Operational processes are CDS Inc. in its capacity as the IP or carrying out automated, and only an IP will not be made TSX processes will not operational staff available to its Board of have access to the data or specifically required to Directors (or the Board of client information. maintain the service will its parent, CDS Limited). be authorized to access New service strategy TSX is able to bill and the applications. papers and business cases collect other marketplace are reviewed and fees or coordinate The reception, processing approved by the Board of appropriate direct billing and dissemination of the Directors. Similarly, administration with them. data takes only a fraction status reports on various In the latter case, as an of a second, therefore, lines of business are additional control, potential conflicts of presented to the Board of vendors must report the interest from human Directors from time to numbers that access to manipulation is virtually time for review and marketplace subscriptions
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) same prices, time and sources will be terms as other parties; restricted to those • Quarterly who require access for communication to all the purposes of the data contributors of performing IP Board meeting functions. minutes; The existing safeguards • Annual circulation to that are put in place by all contributors of TSX in order to ensure audited financial that the interests of statements; and competing equity • Easy access to marketplaces that provide secretariat staff and equity trading data for access to assistant distribution by the TSX corporate secretary are not compromised will (from a third-party also be put into place by law firm) for all TSX/CanDeal as the IP. corporate governance matters. In addition, TSX/CanDeal will put into place dispute resolution mechanisms to ensure the independence and fairness of the process for bond selection (described in section
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) non-existent as the comment. However, directly to marketplaces information is made management screens such not administered by TSX. public within documents for sensitive, milliseconds. competitive or The proposed fee schedule confidential information for the Consolidated Data All MX employees and prior to pre-mailing the Feed does not charge consultants sign a code of documents to the Board clients a second time for ethics with sections members. In the event that the same data if they related to confidential and such information must be already subscribe to a privileged information. tabled with the Board, the marketplace’s data feed. director with a conflict of interest is expected to The fee model levels the declare same and recuse playing field such that him/herself from that clients do not have portion of the meeting. incentive to unsubscribe from a marketplace’s feed when subscribing to the Consolidated Feed, and addition of the Consolidated Feed comes at a nominal price, $5, which will not be a barrier to access.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 3(a)). 2. SYSTEMS 1. Systems overview Technical services are Bluesky System LLC The data will be collected currently provided by currently provides the through CanDeal, which Reuters Canada Limited systems and application has in place a network (Reuters), which software, maintenance and between itself and 12 administers the CanPX upgrades, as well as primary dealers, and Transparency System, as systems administration distributed through TSX’s instructed by CanPX. and second level client market data distribution support. platform. 2. Development and Implementation a. Implementation The system is currently It estimates that it can The system is currently timeline live. provide a production- “live” in that CanDeal ready system within 60 to collects data from its 90 days. dealer contributors and the scope of the IP (i.e. data is subsequently distributed by TSX. - 13 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) MX will create the CDS Inc. proposes to The primary system is SOLA® Canadian engage a software TSX’s RTMD messaging Consolidated Market Feed development firm (Tata middleware and Technology Solution to Consultancy Services) to distribution platform that receive, consolidate, create the required system manages the input, disseminate and manage solution and to use CDS throughput, processing quote and trade Inc. to operate and and distribution of data information for fixed maintain the resultant feeds and their related income and equity system. protocols. securities. While the implementation Currently, it is anticipated A timeline for rolling out timeline will depend on that the development and the feed will be the final requirements and implementation timeline established once will be 18 months, specifications are equity, debt or both), it is including 12 months for determined. currently anticipated that system development work the timeline for and 6 months for development and implementation, including implementation for the community testing and
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 3. Connectivity a. Connection Dealers Participating firms Data files will be method Dealers report via a page reporting trades on an collected by CanDeal or item-based feed in a hourly basis using a Secured File proprietary protocol. The applicant will Transfer Protocol (SFTP) implement redundant FTP over the Internet. The proprietary feed is transmitted to the CanPX servers to receive hourly Extensible Markup system using redundant communication facilities Language (XML) files. including dedicated Participating firms that circuits, hardware and will voluntarily report transmission points. orders or trades on a Several dealers have real-time basis chosen a File Transfer The applicant will Protocol (FTP) to transmit determine the most data. efficient language IDBs protocol in consultation with each participating IDBs transmit proprietary firm. feeds, on a voluntary basis, using redundant communications facilities - 14 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) system will be 12 months. readiness. Physical access to the The data transmitted will Information from the system will be achieved be in the standard industry marketplaces can be by making use of the MX protocol FIX format. transmitted to the IP in data network linking data Data will be transmitted any format and will be centres, numerous points via secured Internet reformatted if necessary. of presence (POP), and STAMP is preferred, through third-party transport or SFTP (for smaller firms). however TSX can network providers. In accommodate other addition to direct POP CDS Inc. will transform, formats. connections and in real time, the FIX connections through one format into a standard Each marketplace will of several supported third format for subsequent supply data via two party network providers, processing. identical feeds on dual connectivity would also independent lines to the be available over the IP. internet, using a VPN connection. The marketplaces providing the source feeds may connect to any of the POPs through direct connections to one of the
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) including dedicated circuits, hardware and termination points.
b. Connectivity Internal costs to establish Each participating firm is The cost to connect to the costs a connection to CanPX responsible for their IP is the responsibility of are borne by the connectivity costs to the participant, and there participating firms. transmit data. will not be a mark-up passed along by CanDeal/TSX. There will be no additional costs attributed to the 12 primary dealers currently connected to CanDeal.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) MX POPs, through third party network providers or over the internet. A single, industry wide protocol is envisaged, but the system can be extended to support additional protocols.
Marketplaces, dealers and CDS Inc. already has Each marketplace will be IDB providing existing network responsible at its own information will pay their connection with all stock expense for installing, own connectivity fees. exchanges and most bond operating and maintaining dealers across Canada, connectivity lines to the therefore, there are IP. unlikely to be any additional connectivity costs for data providers. However, if a data provider does not have an existing network connection to CDS, such connection can be put in
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) c. Fees to provide None Gmarkets will charge None. data participating firms $1,500 per month. However, firms currently providing information on a voluntary basis will not pay this fee. 4. Operations and data integrity a. Training and The technical facilitator Gmarkets Client Services Training and materials support provides online help and provides support and will include: learning materials. application training to • Specifications and subscribers free of charge. examples of inbound Client trainers make visits Additional development - 16 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) place through a service provider such as Allstream, at a monthly connection fee of $500 plus a hardware fee of $167 per month. None None. TSX will charge an inbound connection fee of $1,600 per month to each marketplace that submits a feed to be included in the consolidated feed to cover costs incurred by TSX such as: ports, routers, processors and network connectivity, as well as upfront development to process feeds that are in the STAMP format. Entities that supply the CDS currently provides All external recipients of data or receive the onsite training programs the consolidated service consolidated feed will be and publishes user will receive a functional provided with manuals on its website to specification and a specifications for the support the customers for Business Design Guide
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) to educate clients on their and technical consulting and outbound feeds; products. services from Gmarkets • Instructions regarding are available at $150 per the content and A team of five specialists hour. context of the data at Reuters are available to provided from the IP provide customer support. In addition, Gmarkets will to ensure that the provide an Extensible retail audience and Markup Language (XML) global (non-English Feed Specification native language) Document to participating institutional firms providing trade data participants will have on an hourly basis, and an appropriate level of will provide a Feed understanding of the Specification Document data content; detailing required data • Support to parties fields and connection providing and information to firms receiving information choosing to report orders from the IP; or trades in real time. • Online documentation and training materials to help explain the content of the data; and • Educational materials - 17 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) consolidated feed protocol existing services. outlining the connectivity and the required network requirements as well as connectivity. It will use the existing the Message Protocol. infrastructure to MX will provide implement user training connectivity support to programs and publish user these external entities and manuals to support the IP an environment for user community in the testing. same manner as the other In addition, MX-ITS will services. provide operations A help-desk program is support and will make a currently in production. help desk available for the operation of the SOLA® Canadian Consolidated Market Feed Technological Solution.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) for the investing public and subscriber base.
3(a) COMMITMENT TO TRANSPARENCY – FIXED INCOME 1. Corporate bond Trade data for designated Trade data for designated Trade data for designated information to be corporate bonds is corporate debt securities corporate debt securities provided transmitted by dealers and will be transmitted by will be transmitted by marketplaces with a entities required to entities required to market share in excess of contribute such data by NI contribute such data by NI 0.5% within one hour of 21-101. 21-101. the trade. The following The following information data fields are transmitted: will be reported, as • type of counterparty; required by 21-101CP: • issuer; • type of counterparty; • • security type*; • issuer; • class*; • security type; • series*; • class; • coupon; • series; • maturity; • coupon; • price; • maturity; • time of the trade; and • price; - 18 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income)
Trade data for designated Trade data for designated corporate debt securities corporate debt securities will be transmitted by will be transmitted by entities required to entities required to contribute such data by NI contribute such data by NI 21-101. The following 21-101. The following information will be information will be reported, as required by reported, as required by 21-101CP: 21-101CP: type of counterparty; • type of counterparty; • issuer; • issuer; • security type; • type of security; • class; • class; • series; • series; • coupon; • coupon; • maturity; • maturity; • price; • price;
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) • volume traded, • time of the trade; and • subject to volume • volume traded, caps. subject to volume caps. *Inserted from Reuters master file. Based on the input from industry participants, other data fields, such as yield and type of trade (buy/sell), will also be transmitted. 2. Corporate bond information to be disseminated a. Method of Information is displayed Gmarkets will distribute TSX/CanDeal will make distribution through Reuters front-end the fixed income the consolidated fixed display products. CanPX information via a desktop income information feed data is made available on application called initially available through the internet. Gmarkets Pilot the following distribution (prefabricated page channels: Data is also redistributed displays) and through feed • TSX’s website; and by information vendors as products (such as raw data • A fully described, feeds or via internet for resellers), specifically: logical, record-based access. Gmarkets Feed API or feed from the existing - 19 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) time of the trade; and • time of trade; and • volume traded, • volume traded, subject to volume subject to volume caps. caps. In addition, the applicant In addition, the following will collect any other information will also be information that may be collected: required by NI 21-101. • type of trade (buy or sell); • yield; and • security cusip or ISIN. MX will make available CDS Inc. will make the the consolidated feed with consolidated data feed a published protocol for output from the IP connection. available through various distribution channels that Internet access to post- will include: trade data can be • Access via the incorporated in the Internet; and solution, if required. • Depending on requirements,
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) Gmarkets Feed in XML. TSX infrastructure on CanPX benchmark yield dedicated circuits. data is also available on the CanPX website. In the future, TSX/CanDeal anticipate utilizing internet protocol to distribute the feed.
b. Information CanPX consolidates the Gmarkets will consolidate Data will be consolidated disseminated post-trade bond data and the post-trade bond data into the feed and displays it every hour, on and display it in real time. displayed on a trade-by- the hour. trade basis. The information published includes: • Issuer; • Coupon; • Maturity; • Trade price; • Trade yield ; • Volume (subject to volume caps); • Trade date; - 20 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) message feeds over various transport mechanisms.
Details of trades are CDS Inc. will provide a required to be reported to consolidated feed in real the information processor time of all corporate fixed no later than one hour income trade data from the time of the received. In addition to trade. The IP will not the data fields received, it require a shorter will also display: timeframe, unless a future • The moving average review indicates that this price by security; and would be beneficial to the • A volume analysis by marketplace. The trade security. data will be published by the IP as soon as it is received.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) • Trade time (to the hour); and • Aggregate volume. 3. Process for corporate bond selection, selection criteria and method for communication a. Process The selection is done on a The corporate bonds will The selection will be done quarterly basis. be selected using the same in consultation with criteria as the S&P/TSX industry participants, The list of corporate fixed Canadian Bond Index. including the Capital income securities is Markets Committee of the maintained by the IDA, buy side customers, Corporate Bond Working issuers and retail Group of the IIAC’s participants, and based on Canada Debt Markets the review of the most Committee and reviewed actively securities list. and approved quarterly by The selection will be done the CanPX Operating on a quarterly basis. The Committee. final decision on the corporate bond securities New issues are added to, to be included will be and issues may be made by the IP. The IP removed (e.g. if not will put into place actively traded and prices appropriate dispute are less accurate) from the resolution mechanisms. list, subject to the - 21 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) The list of designated CDS Inc. will analyze the corporate bonds will be data being gathered and reviewed and updated will monitor the market quarterly. for changes that need to be reflected in the data The first review would be gathered and distributed. done by the IP Policy Committee, based on the CDS Inc. will meet on a criteria described below. quarterly basis with data providers and regulators A process will be put in to identify new securities place where outside that meet the established parties can request selection criteria that corporate bond additions should be included in the to the list for the next service. quarterly review. A proposed, revised list will be provided to applicable industry
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) constraints of the The list of designated technical facilitator. bonds will be updated quarterly by the IP using A proposed revised list is the following process: circulated to the Corporate • Based on the criteria Bond Working Group for described below, comments and further major dealers will be revisions or approval. polled for corporate bonds to be The list is presented to the added/deleted; and CanPX Board for • The list will be approval by e-mail. consolidated based on consensus (majority Other parties can suggest of the dealers polled). adding corporate bonds to
the list via the internet.
Upon CanPX Board approval, the final list is sent to the technical facilitator for implementation and to vendors and to the OSC for information. b. Criteria Applicable criteria for As set out above, the Applicable criteria for Applicable criteria for Initially, CDS will follow - 22 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) committee(s) for comments, modification and approval. The list will be approved by the IP board, at which time MX-ITS (as the technology provider) would be advised of any changes, as well as the CSA and all affected vendors.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) corporate bonds include: corporate bonds will be corporate bonds will • Trading volumes; selected from the include: • Whether bonds are S&P/TSX Canadian Bond • Minimum total issue • included in domestic Index. The S&P/TSX sizes (including re- Canadian corporate Canadian Bond Index openings) of $250 bond indices; uses the following criteria million; • Minimum issue size for bond selection: • Bonds will be highly of $250 million; • An S&P rating of liquid relative to • Bonds should be BBB- or better; comparables; issued by issuers • Minimum par amount • Bonds will represent a among the major of $50 million (or majority of trade flow industrial groups of $100 million for within the corporate issuers; Government of bond markets; • Bonds should be Canada or federally- • Bonds will represent, highly liquid; guaranteed); among themselves, all • Bonds should • Minimum of two major industrial represent a majority independent dealers groups of issuers of trade flow within providing bid prices (including financial, the corporate bond each day to the TSX utility, telecom, and markets; (available as a oil and gas); • Bonds should, subscription from the • TSX/CanDeal will between themselves, TSX); attempt to include at • include short-term • Minimum term of 18 least 2 bonds from maturities, mid-term months to maturity at each industry - 23 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) corporate bonds will the selection criteria include: currently used by CanPX, Issue size, with a as follows: minimum total issue • Minimum total issue size of $250 million; sizes (including re• Bonds will be highly openings) of $250 liquid; million; • Bonds will represent a • Bonds will be highly majority of trade flow liquid relative to within the corporate comparables; bond markets; • Bonds will represent a • Bonds will represent majority of trade flow major industrial within the corporate groups of issuers bond markets; (including, but not • Bonds will represent, limited to: financial, among themselves, all utility, telecom, oil major industrial and gas); groups of issuers • Bonds will be from (including financial, each industry utility, telecom, and classification; oil and gas); an Bonds will include all attempt will be made maturities including to include at least 2 0-5 years; 5-10 years; bonds from each
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) maturities and long- the time of inclusion. classification; term bonds; and • Bonds will represent, • Bonds should be from among themselves, all • each industry maturity buckets, classification (with at including 0-5 years, 5- least two from each 10 years, and 10 and classification). over years; and • Bonds will include debt securities of broad interest to retail investors, including bonds issued by well known corporations, bonds represented in an industry standard corporate bond index, bonds with terms to maturity of less than 5 years and bonds priced at a discount.
Thereafter, CDS plans to update the selection criteria in consultation
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) and 10 years and over; industry and classification; Bonds will be those of • Bonds will represent, broad interest to retail among themselves, all investors. maturity buckets, including 0-5 years, 5-10 years, and 10 and over years; and • Bonds will include debt securities of broad interest to retail investors, including bonds issued by well known corporations, bonds represented in an industry standard corporate bond index, bonds with terms to maturity of less than 5 years and bonds priced at a discount.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) c. Method of • Reuters posts the list The rules for selection of The list of communication on the CanPX bonds are published on addition/deletions will be website; S&P and TSX websites published for all firms • The IIAC website and all changes are providing the information posts a link to the list published simultaneously two weeks prior to the on the CanPX to all market participants. change taking effect. website. Gmarkets will also The new list of corporate publish the list on its bonds will be distributed website. quarterly via email to designated individuals at each firm. It will be posted on TSX’s website. 4. Other bond CanPX collects bid/offer Some participants The IP may collect and - 25 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) with the industry and regulators, and will work to expand it on a quarterly basis. The information will be CDS Inc. will report published on the IP web additions, deletions and site. changes to the bond list through an e-mail notification list that will be maintained by it. In addition, CDS Inc. will publish information on the additions, deletions and changes to the bond list in the news section on its website and also incorporate the changes into the complete bond list, which will be permanently displayed on the website. The infrastructure will be CDS, through its
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) information that prices and trade currently report, and may disseminate data that is will be reported and information for continue to do so, provided by parties that disseminated 14 Government bonds and government (such as are not required to Government of Canada T- Canadian T-bills or contribute or from those bills voluntarily government debt parties that contribute in transmitted by IDBs. securities) or corporate order to supplement or bond data in real-time. enhance the product. In addition, it collects and Gmarkets has proposed to For example, disseminates information support the continued TSX/CanDeal proposes to relating to certain TSX- aggregation and initially collect, aggregate listed fixed income dissemination of and disseminate (all in securities. voluntary products. real time) price information for the It disseminates the The published fields following securities: all following information in reported for these Government of Canada real time: securities will include: bonds; all Government of issuer; coupon; maturity; Canada T-bills; Government bonds order price (buy/sell); approximately 130 Bid price; offer price; bid order size (buy/sell); order Provincial Bonds; and 50 size; offer size; bid yield; yield (buy/sell); bid price corporate bonds. offer yield; bid price (best price, for multiple change from previous bids and offers, and where 14 Some participating firms are, or may be, providing other fixed income information (such as government fixed income data) to the entities applying for the position of the IP on a voluntary basis. This section describes the type of information that the applicants are or expect to collect and disseminate on a voluntary basis and is included for information purposes.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) designed to support subsidiary CDS consolidated pre- and Innovations, offers a post-trade information on number of ancillary government fixed income services that provide a securities, and MX would cross section of provide the consolidation information on bonds. and dissemination of this These ancillary services information if and when include: this is made mandatory by • Security Masterfile – the CSA. which, among other things, provides MX can accept and details on security publish this information if identification, interest it is provided during the rate, maturity rate, current exemption period and security features from transparency such as interest requirements for frequency, early government bonds. redemption etc.; • Entitlement Products The infrastructure will be – which provide designed to support various degrees of consolidated pre-trade entitlement coverage
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) day’s close; bid yield multiple best prices exist, change from previous the best price will day’s close; hit or take of aggregate volumes); bid last trade; last trade price; yield; bid size; offer price; last trade size; last trade offer yield; offer size; time or date; and trade price; trade yield; aggregate volume of the trade size; net change; and day for the instrument. whether a security is benchmark. Government T-bills Bid yield; offer yield; bid The government bonds size; offer size; bid yield will be selected from the change from the previous S&P/TSX Canadian Bond day’s close; hit or take of Index. The S&P/TSX last trade; last trade yield; Canadian Bond Index last trade size; last trade uses the following time or date; and selection criteria: (1) an aggregate volume of the S&P rating of BBB- or day for the instrument. better; (2) minimum par amount of $50 million (or Provincial bonds $100 million for Bid yield spread; offer Government of Canada or yield spread; bid size; federally-guaranteed); (3) offer size; bid yield spread minimum of two change from previous independent dealers - 27 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) information on corporate in different formats fixed income securities, if and include CDS there is a requirement for Entitlement Bulletin this. (a web-based product), Entitlement Data Feed (an end-of-day batch product) and the ISO 15022 compliant MT564 Entitlement Message (a real time product); • SCRIBE – which provides access to document filings made by all issuers across Canada.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal MX CDS Inc. TSX (Fixed Income) (Fixed Income) (Fixed Income) (Equity and Fixed (Equity and Fixed (Equity) Income) Income) day’s close; hit or take of providing bid prices each last trade; last trade day; and (4) minimum spread; last trade size; last term of 18 months to trade time or data and maturity at the time of aggregate volume of the inclusion. day for the instrument.
3(b) COMMITMENT TO TRANSPARENCY - EQUITY 1. Pre-trade Marketplaces will report Marketplaces will report Marketplaces will information to be the following information the following information transmit all orders for reported in real time: in real time: every security (i.e. full • identification of the • name of marketplace; depth of book). marketplace; • time of order entry; • order type (buy/sell); • price; Each message will contain • volume; • volume; one quote/order from a • symbol; • symbol; marketplace and will • price; and • cusip or ISIN. include at least the • time of the order. following information: • message type (order); Any additional • IP sequence number; information that may be • marketplace required by NI 21-101 identifier; will also be reported. • marketplace trading system time stamp;
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SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal MX CDS Inc. TSX (Fixed Income) (Fixed Income) (Fixed Income) (Equity and Fixed (Equity and Fixed (Equity) Income) Income) • IP time stamp; • broker number; • security type; • issuer; • symbol; • series; • class; • price; • volume; and • business action (buy or sell). 2. Post-trade Marketplaces will report Marketplaces will report In addition to the data information to be the following information the following information elements included in the reported in real time: in real time: order information • identification of the • marketplace; message (other than marketplace; • time of trade; ‘message type (order)’), • volume; • price; each trade message will • symbol; • volume; include at least the • price and • security symbol; and following information: • time of the trade. • security cusip or ISIN. • message type (trade); • broker number (both Any additional sides); information that may be • trade number; required by NI 21-101 in • type of trade - 29 -
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 3. Equity Information to be Disseminated
a. Method of MX will distribute a The distribution method The consolidated data distribution consolidated data feed will be the same as that feed will be delivered via with a published protocol used for fixed income an industry approved for connection. securities. standard protocol designated by the IP.
Network protocol for the consolidated services will be disseminated via Multicast. b. Information Pre-trade Pre-trade Will provide a disseminated Will provide, in real time, Will provide a consolidated feed of pre a consolidated feed of pre- consolidated feed of the and post-trade trade data to five price bid and ask prices information. levels. received. The information Post-trade Post-trade disseminated will have the - 30 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) the future will be reported. (marketplace, internal trade, etc.); and • business action (trade).
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 4. FEES AND REVENUE SHARING 1. Subscriber 15 fees Corporate bonds Connection fee (per login Monthly institutional • Reuters fee - Gmarkets Pilot) $50 per professional subscriber $25/terminal/month in month per user, with add- access fee addition to base on charges for data $75-100 per month Reuters service subscriptions, as follows: charge; • $10 for corporate Non-professional • G-Markets - fixed income data; based fees $50/month; • $10 for government • $0.02 per security 15 Generally, a subscriber is an individual or entity that has entered into an agreement to receive information from the information processor (directly or through a vendor). 16 A securities professional means any broker, dealer, investment advisor or person employed by an organization conducting professional activities involving the buying and selling of financial instruments. 17 A non-professional subscriber means an individual that is not a securities professional, cannot be a consultant, independent contractor, software developer or others that use market data for any purpose other than trading for their personal account. 18 Vendors and firms will be allowed to subscribe to marketplace feeds separately. - 31 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) Will provide, in real time, Will provide a same data elements as a consolidated feed of consolidated feed of each those received from the post-trade market data. trade including the marketplaces (listed following fields: above). • marketplace; • time of trade; TSX is prepared to offer a • price; and display of this information • volume. if required by the market. The fees will be Data will be made Monthly professional 16 determined by the Policy available on its website at subscriber fee Committees. no charge. Users will only • If the professional be able to view the subscriber already information on this free subscribes to data 17 usage- website service. CDS will feeds from also offer a “security marketplaces 18 , the watch” product that would charge will be a TSX
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) • Other vendors - fees fixed income data. instrument quote, to be determined. capped at $10 per In addition, the charge for month; or Government bonds the end-of-day file • $10 per month for • Reuters fee (including last trade data stream. $25/terminal/month and/or price for each on top of base Reuters security) is $1,500 per Snapshot data web access service charge; month. via tsx.com • G-Markets - Free $50/month; • Other vendors – to be determined.
Monthly non-professional 19 Published at http://www.tsx.com/en/data/product_sheets - 32 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) be delivered over the administrative fee of Internet to individual $5 that will cover the investors at a price of $35 costs of operating, per month. processing and administering the feed; • If the professional subscriber does not subscribe to data feeds from marketplaces, the charge will be: the TSX administrative fee of $5 + the current TSX charge (refer to TSX 2007 pricing schedule for all pricing details and tiers 19 ) + the fee(s) charged by each marketplace.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal MX CDS Inc. TSX (Fixed Income) (Fixed Income) (Fixed Income) (Equity and Fixed (Equity and Fixed (Equity) Income) Income) subscriber fee • If the nonprofessional subscriber already subscribes to data feeds from marketplaces, the charge will be the TSX administrative fee of $2.50; • If the nonprofessional subscriber does not subscribe to data feeds from marketplaces, the charge will be: the TSX administrative fee of $2.50 + the current TSX charge (refer to TSX 2007 pricing schedule for all pricing details and tiers) + the fee(s) charged by each
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SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 2. Vendor 20 fees • $2,000 per month for Connection fee: $1,500 $500 per month. corporate bonds per month per connection • $4,000 per month for per site, with add-on government bonds charges as follows: • $10 per user for corporate fixed income data • $10 per user for government fixed income data.
In addition, $1,500 per A fixed income product $500 per month. month will be charged for containing all fixed • If the vendor or PO the end-of-day file (last income information on a does not subscribe to trade and/or price for each daily, real time or batch data feeds from security). basis will also be made marketplaces, the available at a price of charge will be: the $25,000 per year. TSX administrative Segmented files by type
20 Generally, a vendor is an individual or entity that enters into agreements to receive information from the IP in connection with the business or distributing this information to others. - 34 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) marketplace. The fees will be indexed to inflation The fees will be An equity product Note: this fee also applies determined by the Policy containing all information to participant Committees. on a daily, real time or organizations (POs) with batch basis will be made direct connection to the available at a price of TSX consolidated feed. $25,000 per year. • If the vendor or PO Segmented files by already subscribes to industry group will be data feeds from made available at a cost of marketplaces, the $5,000 per year. charge will be a TSX administrative fee of
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) 3. Costs and Net revenue will be Data subscription fees for TSX/CanDeal does not Revenue sharing allocated between the corporate fixed anticipate sharing shareholders based on the income and government revenues with the dealer process outlined below: fixed income securities participants at this time, ($10 per user or as it believes that the IP First, the total net revenue subscriber as described will carry the cost is allocated between the above) will be allocated as associated with IDB Market (defined as follows: 75% to the transparency, and the total dollar volume of participating firms; and dealers will benefit from trades in total market 25% to Gmarkets. cost efficiencies. issues during a period by all IDBs as a group), Corporate Bond Market (total dollar volume of trades in corporate bonds during a period by all dealers as a group) and - 35 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) of fixed income will be fee of $500 + current made available at a cost of TSX charge of $3,000 $5,000 per year. (refer to TSX 2007 pricing schedule for all pricing details and tiers) + the fee(s) charged by each marketplace. A. Revenue determination CDS Inc. will allocate TSX currently provides Each market (fixed 50% of net revenues (i.e. data distribution services income and equity) will excess of revenue over for multiple marketplaces have its own revenue expenses) to data and several asset classes. streams from sales of the providers. Each data The TSX IP will leverage consolidated market data provider’s share of the net its established specific to that market. revenue will be based on infrastructure including market activity (i.e. the hardware, software, B. Cost determination relative volume of physical premises (raised A. Net Revenue transactions submitted. floor, network services, Calculation operations monitoring The cost to develop, stations and tools, etc.) implement, operate and resources as well as administer the SOLA® administration Canadian Consolidated (contractual, billing, Market Feed Solution will reporting, auditing etc.), be a fixed annual cost help desk and vendor
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) ATS Market (total volume of trades during a period by all ATS participants, if any, as a group). This allocation is based on the percentage of trading volume attributable to each of the separate markets. After this initial allocation, the net revenues will be distributed as follows: • IDB market revenue will be split 50/50 between dealers and IDBs • Corporate Bond Market revenue will be allocated to dealer market-makers based on proportionate trading share of - 36 -
MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) based on a 5 year services technical support, contract, CPI indexed. and legal, product and This annual cost will be sales support. There will allocated to each market be additional (fixed income and equity, development, hardware, at the start of the service), and support resources based on that market’s required which will share of total revenues for depend on the number of both markets for the marketplaces and the period (i.e. revenues from bandwidth and structure data distributors and of their feeds however, subscribers for all TSX will absorb these services). costs upfront and expect to recoup them over a C. Revenue sharing period of time from the After deducting costs fees. from revenues associated with each market (A-B), Revenues will be shared net revenue would then be back to the marketplaces distributed between the in the amount that those contributors to the service marketplace chose to for each market (fixed charge vendors and income and equity). subscribers. The For each market, excess administrative fee and revenues will be allocated marketplace connection
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income) corporate bonds • ATS Market revenue will be allocated to ATS participants based on proportionate trading share of total market issues in the ATS market.
In the model, contribution to post-trade information would be worth 50% of the calculation of the revenue share of each entity, while the remaining 50% would be allocated to entities that are also providers of pretrade information. However, the model could be revised with any
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) based on each fees will be retained by contributor’s proportion TSX. of the total number of trades for that market, and also based on whether the entity contributes to both pre- and post-trade information, or only to post-trade information. Contributors who supply both would receive a higher proportion.
SCHEDULE A SUMMARY OF FILINGS RECEIVED Description CanPX Gmarkets TSX/CanDeal (Fixed Income) (Fixed Income) (Fixed Income)
Contributor Proportion of net revenue = [(50% times the contributor’s proportion of total trades for the market)+(50% times the contributor’s proportion of the total number of trades of all contributors supplying pre-trade information, if this information is also supplied)].
Contributor revenue share = net revenue for the market times contributor proportion of net revenue.
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MX CDS Inc. TSX (Equity and Fixed (Equity and Fixed (Equity) Income) Income) weighting that would be reasonable for a specific market.
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