Fixed Income Volume Statistics by Instrument Type & Tenor Report

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Provider: TMX Group

  • Frequency:
    Weekly
  • Format:
    CSV, JSON, XML

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.

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