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:
- Market Bonds:
- Canada savings bonds
- Canada premium bonds
- Gov't. of Canada bonds
- Provincial bonds
- Provincial Savings bonds
- Municipal bonds
- Corporate bonds
- Other market bonds
- U.S. Treasury bond or notes
- Canada mortgage bonds
- Mortgage-backed securities
- Other asset-backed securities
Money Market Instruments:
- Commercial paper
- Extendible commercial paper
- Banker's acceptances
- Bearer deposit notes
- Canada treasury bills
- Provincial treasury bills
- Municipal treasury bills
- Municipal notes
- Provincial notes
- Certificates of deposit
- Guaranteed investment certificates
- U.S. Treasury bonds and notes
Three 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.
Standard FIPS with VWAP - provides details of all fixed income trades as reported on the Standard FIPS file, including VWAP calculations, and percent difference calculations - between price and VWAP figures.
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 9 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.
For the Standard FIPS with VWAP File, the following reporting details also apply:
- The date when the trade was reported to CDS is used for calculating VWAP.
- VWAP will not be reported in the event there is a difference of more than 15% between the minimum price and the maximum price reported for a security in the FIPS data.
- Trades that are considered for VWAP have a par quantity greater than 0 and the price is not less than 5.
- For trades greater than $2 Million ("par quantity") - VWAP will be published only when there are two or more reported trades for a particular ISIN.
Format: TAB delimited file with ASCII characters
Delivery: SFTP over the internet