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Bond and Money Market Secondary Trading Statistics



Starting from May 2018, IIROC produces monthly statistics that replace the reports formerly known as the F11 to F14 reports produced by the Bank of Canada, and included in the Bank of Canada Banking and Financial Statistics. The Debt Statistics Report is produced using debt securities transaction data reported to IIROC through the Market Trade Reporting System 2.0 (MTRS 2.0), as required under Dealer Member Rule 2800C.

The Debt Statistics Report shows secondary trading by all GSD and non-GSD Dealer Members. Values are expressed in $MM (millions of dollars) rounded to the next million.

The Debt Statistics Report is produced following the end of each calendar month and is typically published after the fifth business day after month end. The report is provided in Excel format with a separate tab for each page:

 

Page
Tab
Money market trading by type of security MMKT
Bond market trading by type of security BOND
Government of Canada Treasury Bills and Bond trading with counterparties GOVT
Federal Crown Corporation Bonds and Provincial Bond trading with counterparties FED_PROV
Strip Bond Trading (coupons and residuals) and Municipal bonds trading with counterparties STRIP_MUNI
Corporate Bonds; Other Domestic Bonds trading with counterparties CORP
Mortgage Backed Securities; Asset-Backed Securities with counterparties MBS_ABS
Bond market repo trading by type of security BOND_REPO
Money market repo trading by type of security MMKT_REPO

 

Download reports

 


 

Key Differences between MTRS and MTRS 2.0 Statistics

  • MTRS 2.0 statistics are aggregated from all IIROC Dealer Members that report trades in debt market securities. Statistics include trade volume executed by all GSDs and all non-GSD Dealer Members, to provide a more encompassing view of the market. (MTRS statistics were aggregated from GSD’s volume only.)

  • MTRS 2.0 statistics exclude 50% of the volume for trades between two reporting dealers to avoid double counting.

  • Enhanced frequency of reporting with MTRS 2.0 statistics reported monthly rather than quarterly.

  • Enhanced mapping methodology for instrument categorization to improve the quality of the statistics.

  • Bank, Trust, and Mortgage company securities broken out and reallocated.

  • Corporate Bonds broadened to include paper issued by banks, and Maple Bond issuers.

  • Mortgage Backed Securities segregated into its own category.

  • Reporting of trading by Counterparty has been expanded from only Government Bills and Bonds to show trading activity in Federal Crown Corporation Bonds, Provincial Bonds, Strip Bonds, Municipal Bonds, Corporate Bonds, Other Domestic Bonds, MBS, and ABS.

 


 

IIROC Disclaimer

This report ("Report") and the data herein ("Data") are generated by IIROC from the transaction data reported by third parties ("Third Parties") to MTRS 2.0. The recipient of this Report ("Recipient") acknowledges that a Third Party is solely responsible for the accuracy, completeness and timeliness of its transaction data reported to MTRS 2.0. IIROC is not responsible for, nor makes any representation or warranty in respect of, the accuracy, completeness, compliance or timeliness of information reported by Third Parties. IIROC has relied on transaction data and reference data from third party vendor sources ("Vendors") for the Product Categories in this Report. IIROC is not responsible for, nor makes any representation or warranty in respect of, the accuracy, completeness, compliance or timeliness of the Vendor information. The Report and Data are provided "as is", "as available" and "with all faults", and without any warranties. For further applicable terms of use, please see the IIROC Website Use Agreement.

 


 

Questions?

Please contact [email protected].

 

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