Description
FIPS provides details of fixed income trades reported to CDS Clearing and Depository Services Inc. (CDS) on a daily basis. FIPS reports trades on all Canadian fixed income federal, provincial, municipal and corporate securities that are eligible for deposit at CDS.
Includes the following:
| Security type (Asset class) | Security subtype (Category) | Instrument type (Sub-category) |
|---|---|---|
| Debt (D) | Money Market (MM) | Banker's Acceptance (BA) |
| Bearer Deposit Notes (BDN) | ||
| Canada Treasury Bill (CTB) | ||
| Commercial Paper (CP) | ||
| Guaranteed Investment Certificate (GIC) | ||
| Municipal Note (MN) | ||
| Municipal Treasury Bill (MTB) | ||
| Provincial Note (PN) | ||
| Provincial Treasury Bill (PTB) | ||
| U.S. Treasury Bill (UTB) | ||
| Strip Instrument (SI) | Coupon (CPN) | |
| Principal (PRN) | ||
| Receipt (RCP) | ||
| Strip Package (PK) | Package (PKG) | |
| Market Bond (MB) | Corporate Bond (CRP) | |
| Other Market Bond (OMB) | ||
| Units (UN) | ||
| Government Bonds (GB) | Canada Premium Bonds (CPB) | |
| Canada Savings Bond (CSB) | ||
| Government of Canada (CDA) | ||
| Municipal Bonds (MUN) | ||
| Provincial Bond (PRV) | ||
| Provincial Savings Bond (PSB) | ||
| US Treasury Bond/Note (UTO) | ||
| Asset-Backed Securities (AB) | Canada Mortgage Bond (CMB) | |
| Other Asset Backed Security (OAB) | ||
| Mortgage-Backed Securities (MG) | Mortgage-backed securities (MBS) |
Two FIPS offerings are available:
Standard FIPS – provides details of all fixed income trades reported to CDS. This report excludes the identity of the parties to the trades.
Customized FIPS – provides details of all fixed income trades reported to CDS. This report also identifies where the subscribing customer is a party to a trade, but excludes other party identifiers in all other instances.
The following reporting details apply to all of the above FIPS offerings:
- One file is provided at the end of each trading day (around 10:00 p.m. ET).
- Trade ("par quantity") for all securities is capped at 2 million. Trade ("par quantity") for all securities over 2 million are reported as 2,000,001, and "accrued interest" reported as zero (0).
- Where a security trades only once in a given day, that trade will be reported in the FIPS report 14 calendar days after the date the transaction was reported to CDS. Securities that have multiple trades on a given day will be reported in FIPS on the day the transactions were reported to CDS.
- Single trades with par quantity exceeding 50 million that are split into multiples of 50 million when reported to CDS (due to a current CDS Clearing and Depository Inc. imposed limitation) are aggregated for reporting in FIPS, and par quantity reported as 2,000,001 as noted in item 2. above.
Delivery Format
Frequency: Daily
Format: TAB delimited file with ASCII characters
Delivery: SFTP, API, Direct Download