A fixed income data product containing aggregated par quantity and net volume statistics derived from fixed income transactions that happen during a week period, presented by instrument type and tenor period.
Value Add:
- Basis for liquidity analysis and regulatory stress testing
- Useful in assessment of liquidity trends for trade and investment decision making
- Issuers can use in assessment of new issue releases
Tenor Periods: Tenor is the amount of time left for the security to reach the maturity date.
In terms of the data file the tenor value is the number of days between the trade date and the
security maturity date.
Nine (9) tenor periods are defined:
|
Tenor Period |
Period (days) |
|
T1 (1Y) |
Less than 365 days |
|
T2 (1 - 2Y) |
366 to 730 days |
|
T3 (2 - 3Y) |
731 to 1,095 days |
|
T4 (3 - 5Y) |
1,096 to 1,825 days |
|
T5 (5 - 7Y) |
1,826 to 2,555 days |
|
T6 (7 - 10Y) |
2,556 to 3,650 days |
|
T7 (10 - 20Y) |
3,651 to 7,300 days |
|
T8 (20 - 30Y) |
7,301 to 10,950 days |
|
T9 (30Y+) |
More than 10,950 days |
For each tenor period above, it is assumed that one (1) year corresponds to 365
calendar days. The information will be reported using the same breakdown for tenor
periods for all instrument types.
In case there is no entry in the data file for a specific tenor period and instrument type
that means there was not settlement reported to TMX CDS in the week period for that
particular tenor period and instrument type.
Fixed Income Security Subtypes and Instrument Types:
The following table provides the composition of the security subtypes and instrument types
available in TMX CDS to identify fixed income securities.
|
Security Subtype |
Instrument Type |
|
___________________ |
________________________________ |
|
Money Market (MM) |
Commercial Paper (CP) |
|
Extendible Commercial Paper (ECP) |
|
|
Banker’s Acceptance (BA) |
|
|
Bearer Deposit Note (BDN) |
|
|
Canada Treasury Bill (CTB) |
|
|
Provincial Treasury Bill (PTB) |
|
|
Municipal Treasury Bill (MTB) |
|
|
Municipal Note (MN) |
|
|
Provincial Note (PN) |
|
|
Certificate of Deposit (CD) |
|
|
Guaranteed Investment Certificate (GIC) |
|
|
U.S. Treasury Bill (UTB) |
|
| ___________________ |
________________________________ |
|
Market Bond (MB) |
Canada Savings Bond (CSB) |
|
Canada Premium Bond (CPB) |
|
|
Government of Canada Bond (CDA) |
|
|
Provincial Bond (PRV) |
|
|
Provincial Savings Bond (PSB) |
|
|
Municipal Bond (MB) |
|
|
Corporate Bond (CRP) |
|
|
Other Market Bond (OMB) |
|
|
U.S. Treasury Bond or Note (UTO) |
|
| ___________________ |
________________________________ |
|
Stripped Instrument (SI) |
Coupon (CPN) |
|
Principal (PRN) |
|
|
Receipt (RCP) |
|
|
Payment (PMT) |
|
| ___________________ |
________________________________ |
|
Strip Package (PK) |
Package (PKG) |
|
___________________ |
________________________________ |
|
Asset-backed (AB) |
Canada Mortgage Bond (CMB) |
|
Mortgage-backed Security (MBS) |
|
|
Other Asset-backed Security (OAB) |
File Format:
ASCII, tab separated data file
File Name:
FISVS_YYYYMMDD.TXT where YYYYMMDD is the system date when the data
file was produced.
Delivery:
SFTP. Weekly file to be generated and made available every Monday (or first business day
of the week in case of a holiday) around 6:30 AM EST.
For Further Information:
Email: datasales@tmx.com