The Daily Volume Summary Report is based off of Fixed Income Data reported to CDS. The report contains the total volume of a fixed income security (by ISIN) aggregated from trades reported to CDS on a given business date.
- Basis for liquidity analysis and regulatory stress testing
- Useful in assessment of liquidity for trade decision making
- Issuers can use in assessment of new issue releases
- One volume summary report file to be provided at the end of each business day (around 9 p.m. ET).
- Where a security trades only once in a given day, the volume summary report for the security will be reported 14 calendar days after the date the transaction was reported to CDS. Securities that have multiple trades on a given day will be reported on the day the transactions were reported to CDS.
- Where there is only one trade for an ISIN over 2MM, the entry will be reported but the sum value will be left empty.
- The total par quantity (volume) per security, includes trades in Unconfirmed and Confirmed status and calculated from the fixed income price service (FIPS) data set.
The file is a tab delimited file with ASCII characters.