Montréal Exchange Quarterly Derivatives Market Activity UpdateQ4 2016

2

Montréal Exchange Average Daily Volume & Open InterestA

vera

geD

aily

Vol

ume

Ope

n In

tere

st

Note: Average daily volume for 2016 is representative of Q1, Q2, Q3 and Q4 2016.

Total volume has more

than doubled over the last 10

years

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

4,500,000

5,000,000

5,500,000

6,000,000

6,500,000

7,000,000

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Equity Index Derivatives Equity & ETF Options Interest Rate Derivatives Total Open Interest

169,6151,1

138,5

176,5

247,9 256,0263,8

305,5366,2

278,8

161,5

3

SHORT-TERM INTEREST RATE DERIVATIVES

4

• Based on Canadian Dollar Offered Rate (CDOR)• C$1,000,000 nominal value of Canadian bankers' acceptances with a three-month maturity• Cash settlement • Price increment:

• 0.005 = C$12.50 per contract for the six (6) nearest listed contract months, including serials• 0.01 = C$25.00 per contract for all other contract months

• 3 years of quarterly contracts: Whites, Reds and Greens, and two (2) nearest non-quarterly months (serials)

Three-Month Bankers’ Acceptance Futures (BAX) Volume and Open Interest

Ave

rage

Dai

ly V

olum

e

Ope

n In

tere

st

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

-

20,000

40,000

60,000

80,000

100,000

120,000

140,000

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Average Daily Volume Open Interest

5

BAX Reds and Greens Volume

REDS8% of total

volume

Q1 2010

GREENS0.08% of

total volume

Q4 2016

REDS25% of total

volume

GREENS2.42% of

total volume

0

20,000

40,000

60,000

80,000

100,000

120,000

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Aver

age

Dai

ly V

olum

e

Whites Reds Greens

6

BAX Bid-Ask Spread Improvement

Note: 20-day moving average of daily average bid-ask spread (8:20-16:00)

Note: Five minute averages of the bid-ask spread

• BAX front month was used to compute bid-ask spreads

0

0.01

0.02

0.03

0.04

0.05

0.06

0.07

0.08

6:00

6:18

6:36

6:54

7:12

7:30

7:48

8:37

8:55

9:13

9:31

9:49

10:0

710

:25

10:4

311

:01

11:1

911

:37

11:5

512

:13

12:3

112

:49

13:0

713

:25

13:4

314

:01

14:1

914

:37

14:5

515

:13

15:3

115

:49

Intraday BAX Bid-Ask Spread

2008 2009 2010 2011 2012

2013 2014 2015 2016

00.0010.0020.0030.0040.0050.0060.0070.0080.0090.010.0110.0120.0130.0140.015

Daily Average of BAX Bid-Ask Spread

7

• Quoted in points where each 0.01 point (1 basis point) represents C$25 • Price increment:

• 0.005 = C$12.50 per contract• 0.001 = C$2.50 per contract for cabinet trades

Options on BAX (OBX)Volume and Open Interest

Ave

rage

Dai

ly V

olum

e

Ope

n In

tere

st

-

1,000

2,000

3,000

4,000

5,000

6,000

7,000

-

50,000

100,000

150,000

200,000

250,000

300,000

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Average Daily Volume Open Interest

8

GOVERNMENT OF CANADA BOND FUTURES

9

• C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon• Physical delivery of eligible Government of Canada bonds• Price increment: 0.01 = C$10 per contract

Five-Year Government of Canada Bond Futures (CGF)Volume and Open Interest

Ave

rage

Dai

ly V

olum

e

Ope

n In

tere

st

-

2,000

4,000

6,000

8,000

10,000

12,000

14,000

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Average Daily Volume Open Interest

10

• C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon• Physical delivery of eligible Government of Canada bonds• Price increment: 0.01 = C$10 per contract

Ten-Year Government of Canada Bond Futures (CGB)Volume and Open Interest

Ave

rage

Dai

ly V

olum

e

Ope

n In

tere

st

-

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

450,000

500,000

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

100,000

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Average Daily Volume Open Interest

11

Note: 20-day moving average of daily average bid-ask spread (8:20-16:00)

Note: Five minute averages of the bid-ask spread

CGB Bid-Ask Spread Improvement

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

6:00

6:18

6:36

6:54

7:12

7:30

7:48

8:37

8:55

9:13

9:31

9:49

10:0

710

:25

10:4

311

:01

11:1

911

:37

11:5

512

:13

12:3

112

:49

13:0

713

:25

13:4

314

:01

14:1

914

:37

14:5

515

:13

15:3

115

:49

Intraday CGB Bid-Ask Spread

2008 2009 2010 2011 2012

2013 2014 2015 2016

0

0.005

0.01

0.015

0.02

0.025

0.03

0.035

0.04

0.045

Daily Average of CGB Bid-Ask Spread

12

EQUITY INDEX FUTURES

13

• Notional $Value of one SXF contract: C$200 multiplied by S&P/TSX 60 Index Standard Futures contract value• Cash settlement• Price Increment:

• 0.10 index points for outright positions• 0.01 index points for calendar spreads

S&P/TSX 60 Index Futures (SXF)Volume and Open Interest

Ave

rage

Dai

ly V

olum

e

Ope

n In

tere

st

-

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

180,000

200,000

220,000

240,000

260,000

0

2,500

5,000

7,500

10,000

12,500

15,000

17,500

20,000

22,500

25,000

27,500

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

2011Q3

2011Q4

2012Q1

2012Q2

2012Q3

2012Q4

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

2015Q1

2015Q2

2015Q3

2015Q4

2016Q1

2016Q2

2016Q3

2016Q4

Average Daily Volume Open Interest

14

OFF-EXCHANGE TRANSACTIONS

15

Block Trades and Crosses

CROSSES

ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD PRESCRIBED TIME DELAY

BAX/ONX/OIS No Threshold • 5 seconds (front month, BAX: 1st four quarterly months)• 15 seconds (remaining months & strategies)

OBX/OGB • ≥ 250 contracts• < 250 contracts

• 0 seconds (all expiry months & strategies)• 5 seconds (all expiry months & strategies)

Government of Canada Bond Futures Contracts

No Threshold • 5 seconds

Futures Contracts on S&P/TSX Indices • ≥ 100 contracts• < 100 contracts

• 0 seconds (all expiry months)• 5 seconds (all expiry months & strategies)

Note: Crosses available for other products

BLOCK TRADES

ELIGIBLE PRODUCTS MINIMUM VOLUME THRESHOLD

ONX 1,000 contracts

OIS 200 contracts

BAX (Reds and Greens) Reds: 1,000 contracts / Greens: 500 contracts

OBX 2,000 contracts

CGB 1,500 contracts

CGZ/CGF/LGB 500 contracts

Futures Contracts on S&P/TSX Indices (Only block trades priced at a basis to the index close, BIC) *

100 contracts (execution of block trades priced at a BIC)

PRESCRIBED TIME DELAY IS 15 MINUTES FOR ALL ELIGIBLE PRODUCTS

For more information, visit http://m-x.ca/publi_procedures_en.php.

* Futures contracts on S&P/TSX indices: No outright block tradesNote: Block trades available for other products

16

Exchange for Physical, Exchange for Risk & SXF Riskless Basis

Exchange for Physical (EFP)

Exchange for Risk (EFR)

Transaction whereby two parties enter into an agreement in which one party purchases a cash market position and simultaneously sells a corresponding futures contract position and the other party sells the cash market position and simultaneously purchases the corresponding futures contract position.

Transaction whereby two parties enter into an agreement in which one party purchases an over-the-counter derivative instrument and simultaneously sells a corresponding futures contract and the other party sells the over-the-counter derivative instrument and simultaneously purchases the corresponding futures contract.

• Interest rate futures contracts

EFP and EFR transactions permitted on following instruments:

SXF Riskless Basis

• Riskless basis cross transactions on listed futures contracts on S&P/TSX indices • Purchase/sale of index futures contracts against cash instruments for an average cash market price plus a pre-

negotiated basis

For more information, visit http://m-x.ca/publi_procedures_en.php.

• Futures contracts on S&P/TSX indices

17

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