CanDeal - DNA TradeMarks

Industry Approved, Precise, Timely

Sourced from CanDeal DNA partner banks and dealers, including the seven largest Canadian dealers, CanDeal TradeMarks is the industry-approved, validated trade record for Canadian fixed income securities and represents voice, electronic and hybrid transactions for all trading venues. Improve decision-making with increased market transparency and insights into the relative value of securities. TradeMarks also serves as a high quality reference to analyze the quality of your trade executions and assess the potential price impact considering the transaction size. 

Market Surveillance Data

Reflecting trade submissions required for regulatory market surveillance and filtered for adversarial counterparties only including affiliates, CanDeal TradeMarks is a precise source for Canadian fixed income trade data.  Published T+0 at 11PM daily in .CSV format, CanDeal TradeMarks provides the advantage achieved from timely access to market activity and ease of integration for analysis.

Canadian Conventions

The data set is a comprehensive ledger of date, time, security, size (subject to industry standard volume caps), price and yield that details trades across the $CAD fixed income universe reflected in the CanDeal DNA Reference Pricing Universe of over 95,000 Canadian fixed income securities. To protect market integrity, trade volumes in excess of $2million are capped to publish as 2million+, and trades are embargoed for 14 days when a security shows a single trade only for that day.   Each transaction is published with Daily Traded VWAP, G-spread and other analytics fields.

Unique Inputs, Unique Insights

CanDeal DNA TradeMarks uses the same CanDeal DNA Security Master Product and analytics libraries as our Reference Pricing Service to ensure consistent calculations of yields, G-spreads, volume weighted average price (VWAP), accrued interest and market segment trade type, trade purpose, industry group and sector across the coverage universe of transacted prices. Transaction type attributes distinguish primary vs. secondary markets, institutional vs. retail and related-party vs investment transactions. CanDeal DNA Trade Class gives additional context to the trading activity in the security.

Suggested Use Cases

• Pre-trade trend analysis
• Risk Models
• TCA

Regulatory Analytics – Reduce risks and operating costs

CanDeal DNA Regulatory Analytics were created to minimize risk and resources required to maintain precise and up to date data for managing capital and maximizing returns on collateral. Delivered in .CSV format and published for each security, CanDeal DNA Regulatory Analytics are easily integrated into your internal systems and daily updates minimize risks associated with inaccurate or outdated margin inputs and security eligibility.

CanDeal Minimum Dealer Margin Requirements

Margin % for every instrument – delivered daily at 4:45 PM ET

Ease of integration and precision enable you to track and manage minimum margin requirements for over 95,000 Canadian fixed income securities and quickly calculate the total margin requirement for a set of holdings, or facilitate discussions on the correct margin rate.

• Minimum Margin Rate expressed as a percentage of the market value of each security, published daily
• Data fields provided, including the specific CIRO-OCRI rule referenced to provide traceability for future reference and compliance purposes
• Data set includes: Security IDs, Issuer, Rating, Time to Maturity, Currency, Margin Rate for the specific security, and all the detail needed to calculate margin for Strips and Residuals
• Multiple inputs ensure that the minimum margin rate is precise every day regardless of price changes, days to maturity or security status (defaulted) or classification (investment grade)
• Calculated as required by CIRO-OCRI Rule 5200 using dynamic inputs, including:
  • CanDeal DNA 4PM Reference Pricing Service
  • CanDeal DNA Security Master Product
  • Accrued interest
  • Days to maturity (actual/365)
  • Investment grade identifier
  • Defaulted status flag
  • Coupon Type
  • CIRO-OCRI Rule 5200
• Delivered daily in .CSV format at 4:45PM (ET) via SFTP
  
   

Ease of integration and precision enable you to track and manage minimum margin requirements for over 95,000 Canadian fixed income securities and quickly calculate the total margin requirement for a set of holdings or facilitate discussions on the correct margin rate.

• Minimum Margin Rate expressed as a percentage of the market value of each security, published daily
• Data fields provided, including the specific CIRO-OCRI rule referenced to provide traceability for future reference and compliance purposes
• Data set includes: Security IDs, Issuer, Rating, Time to Maturity, Currency, Margin Rate for the specific security, and all the detail needed to calculate margin for Strips and Residuals
• Multiple inputs ensure that the minimum margin rate is precise every day regardless of price changes, days to maturity or security status (defaulted) or classification (investment grade)
• Calculated as required by CIRO-OCRI Rule 5200 using dynamic inputs, including:
  • CanDeal DNA 4PM Reference Pricing Service
  • CanDeal DNA Security Master Product
  • Accrued interest
  • Days to maturity (actual/365)
  • Investment grade identifier
  • Defaulted status flag
  • Coupon Type
  • CIRO-OCRI Rule 5200
• Delivered daily in .CSV format at 4:45PM (ET) via SFTP

General Use Eligible Collateral Security List

Filtered from the CanDeal DNA Reference Price universe of over 95,000, the CanDeal DNA General Use Eligible Collateral Security List is created using BOC SLF and HQLA criteria with BOC haircuts applied to every instrument.

Maximize your eligible collateral by identifying eligible securities within your holdings, value with included CanDeal DNA Reference Price and BOC haircuts to make calculations easy and provide a built-in compliance audit trail. Ease of integration and precision with daily updates ensure you are always up to date.

• BOC SLF and HQLA inputs ensure that the identified collateral is precise every day regardless of price changes and additions to your portfolio.
• Calculated as required by daily using dynamic inputs, including:
  • CanDeal DNA 4PM Reference Pricing Service
  • CanDeal DNA Security Master Product
  • Accrued interest
  • Days to maturity (actual/365)
  • Coupon Type
• Delivered daily in .CSV format at 4:45PM (ET) via SFTP