Brief Glossary summary table
The purpose of CanPX is to sponsor a consolidation of InterDealer Broker prices to make the Wholesale market available to all interested market participants.
Data for Government of Canada Treasury Bills, Bonds and Provincial Bonds are compiled from real-times feeds from specific Canadian Inter-Dealer Brokers. The data format and display is the same as is displayed in the Canadian Inter-Dealer market. CanPX will display the best bid and the best ask from all available broker sources with the corresponding bid/ask size and yield. In many instances the bid and ask quotes may be derived from different broker sources i.e. the best bid may come from one broker and the best ask quote may come from a different broker.
||The term Benchmark is used to denote those bonds and T-Bills that are the most liquid in the market, and therefore the most commonly traded. For more information, please see: off-the-run/on-the-run.
There is a new 3 month T-bill auctioned by the Bank of Canada at every auction (auctions are held at 2 week intervals). That newly auctioned 3 month bill will trade as the 3 month when issued (3MWI) until the next auction. New 6 month and 1 year bills are auctioned at every second auction.
The process of distributing these securities then starts with primary distributors and their customers trading contracts to buy or sell the securities to be auctioned in what is known as the when, and as-if-issued (when issued) market. In these contracts, the parties undertake to buy or sell the security to be issued, on the settlement date of the auction, at an agreed price. The when-issued market provides investors with valuable information about the price at which market participants think the securities to be issued will be sold.
The when-issued 3-month bill loses when-issued status following the announcement of the next auction results. The newly auctioned 6 month and 1 year bills will retain WI status through the next auction in two weeks at which time they will lose when-issued status.
||One basis point equals one one-hundredth of one percent (1/100 or .01). i.e. the difference between a bond yielding 4.85% and one yielding 4.95% is 10 basis points.
||When an instrument is trading, the following will occur on the CanPX display: the trading price (BID or ASK), along with the associated size (BSIZ or ASIZ) will flash, (i.e. if a trade is occurring on the current bid quote, the BID and BSIZ fields will flash, conversely if a trade is occurring on the current ask quote, the ASK and ASIZ fields will flash). A trade (and attributed flashing) can last up to 30 seconds. During a trade, if the parties agree to buy (bid) or sell (ask) more units of the trading instrument at the currently trading price, then the corresponding BSIZ or ASIZ will be incremented. For example, if a trade is being executed on the BID at BSIZ of 25 (million dollars), and the parties agree to increase the amount by 5 (million dollars), the flashing BSIZ field will change to 30. Upon completion of the trade, flashing will cease and subsequently, LTRADE, SIZ, TIME & AVOL fields will be updated with the information from the completed trade. These fields do not change until the next trade is completed.
|On the Run / Off the Run
||Bonds and T-Bills are commonly referred to as either off-the-run or on-the-run to designate their liquidity. Bonds or T-Bills referred to as on-the-run, are the most liquid (most tradable) instruments and may also be referred to as Benchmarks. Conversely, off-the-runs are usually less liquid than the on-the-runs, therefore not traded as frequently.
||The difference between two yields, usually stated in terms of the number of basis points. Also the difference between the bid and the ask sides of a quote.
For a detailed Glossary, link to:
>> GOC Bonds & Treasury Bills
>> Provincial Bonds
>> Corporate Bonds