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:
|Money market trading by type of security
|Bond market trading by type of security
|Government of Canada Treasury Bills and Bond trading with counterparties
|Federal Crown Corporation Bonds and Provincial Bond trading with counterparties
|Strip Bond Trading (coupons and residuals) and Municipal bonds trading with counterparties
|Corporate Bonds; Other Domestic Bonds trading with counterparties
|Mortgage Backed Securities; Asset-Backed Securities with counterparties
|Bond market repo trading by type of security
|Money market repo trading by type of security
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.
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