CanPX Detailed Glossary
GOC Bonds and Treasury Bills

The CanPX Governments product includes all Government of Canada Treasury bills and bonds and all Provincial bonds on which markets were made and/or traded through Canadian Inter-Dealer Broker on a cash basis today.

ISSUE The information on each line within the Issue column identifies the specific Government of Canada Treasury Bill or Bond that is represented in that line.

T-Bills: On-the-Run Tbills are benchmark Government of Canada Treasury Bills. Each Bill is identified by its benchmark term to maturity, 3 months (3M), 6 months (6M) or 1 year (1Y). A following the identifier i.e. 6MW indicates when issued status after the term see When Issued for further information. For example, 3MW represents a 3month, when issued T-Bill. As Treasury Bills maturity dates are one year or under, there is no requirement for indication of year of maturity. Tbills are securities with maturity of one year or less. T Bills are purchased at a discount to the full face value and the investor receives the full value when they mature. The difference, or discount is the interest earned. For example, a T-Bill maturing at $100 might be issued at a discount price of $95 so that the purchaser would earn $5 over the term of maturity. For a 1-year bill, this would represent a yield to maturity of 5%. As each bill moves closer to its maturity date, the yield will be lower.

Off-the-Run Treasury bill is indicated by a three-digit number representing the maturity in MDD format.

GOC Bonds: Bonds are represented by both the coupon and maturity date. The coupon is shown without the decimal and is truncated at 2 decimal spaces. For example, 0600 represent a 6.00% coupon, 1025 represents at 10.25% coupon. Following the coupon are three digits representing the maturity date in M/YY format. The months January to September are represented by the numbers 1 through 9, O is for October, N for November and D for December. For example, D02 represents a maturity date of December 2002, 603 represents a maturity date of June 2003. Treasury Bonds are redeemed at their maturity at a value of $100, plus the earning of the coupon. The price quoted under bid is the amount a purchaser is willing to pay for each $100 bond. For example, a bond may be traded before its maturity at a premium or discount price.
BID Bid indicates the amount at which a party is willing to purchase a Treasury Bill or Bond (quoted in price for Bonds and yield for T-Bills). CanPX will display the best bid available from the multiple broker sources. The BID quote for bonds will always be lower than the corresponding ASK quote, as participants want to buy bonds at the lowest possible price. Because T-Bills are traded on yield (higher yield indicates a lower price) these instruments will be displayed with a higher BID quote and lower associated ASK quote.

For both T-Bills and Bonds, the whole number (i.e. the number to the left of the decimal place) from the Bid side is the assumed whole number for the Ask side, i.e. a display of 4.480 / 430 represents a bid yield of 4.480% and an offer yield of 4.430%. Likewise, a Bond display of 104.500/580 represents a bid price of $104.50 and an offer of $104.58. Similarly, 100.990/010 represents a bid price of $100.99 and an offer of $101.01.

When there is no market for the instrument on the Ask side, the field will be filled in by blank When there is no market on the Bid Side, the field will be filled in with blank. In the instance that there is a market on the Ask side, but not on the Bid side, the display will look like this: 104. /450, this indicates an offer (someone willing to sell) at $104.45, with no bid (someone willing to buy) at the present time on that instrument. Conversely, a display of 104.250/ indicated that there is a market on the bid side of $104.25, but no market on the ask side. In the instance where there is no market for either the bid or ask, both fields will be blank.

ASK Ask indicates the amount at which a party is willing to sell a Treasury Bill or Bond (quoted in price for Bonds and yield for T-Bills). CanPX will display the best offer available from the multiple broker sources. The ASK quote for bonds will always be higher than the corresponding BID quote, as participants want to sell bonds at the highest possible price. Because T-Bills are traded on yield (lower yield indicates a higher price) these instruments will be displayed with a lower ASK quote and higher associated BID quote.

For both T-Bills and Bonds, the whole number (i.e. the number to the left of the decimal place) from the Bid side is the assumed whole number for the Ask side, i.e. a display of 4.480 / 430 represents a bid yield of 4.480% and an offer yield of 4.430%. Likewise, a Bond display of 104.500/580 represents a bid price of $104.50 and an offer of $104.58. Similarly, 100.990/010 represents a bid price of $100.99 and an offer of $101.01.

When there is no market for the instrument on the Ask side, the field will be filled in by blank When there is no market on the Bid Side, the field will be filled in with blank. In the instance that there is a market on the Ask side, but not on the Bid side, the display will look like this: 104. /450, this indicates an offer (someone willing to sell) at $104.45, with no bid (someone willing to buy) at the present time on that instrument. Conversely, a display of 104.250/ indicated that there is a market on the bid side of $104.25, but no market on the ask side. In the instance where there is no market for either the bid or ask, both fields will be blank.
BSIZ The number in the size column represents the principal value of the bonds/bills at maturity, multiplied by $1 million, available to the market at the current associated BID or ASK quote. For example, a display of 5x10 represents a BSIZ of $5million at maturity and an ASIZ of $10million at maturity. When an instrument is traded (see Trades for more information), the associated BSIZ or ASIZ can increase during the course of the trade. This will happen if participating parties executing the trade are willing to increase the size of the trade at the currently trading price.
ASIZ The number in the size column represents the principal value of the bonds/bills at maturity, multiplied by $1 million, available to the market at the current associated BID or ASK quote. For example, a display of 5x10 represents a BSIZ of $5million at maturity and an ASIZ of $10million at maturity. When an instrument is traded (see Trades for more information), the associated BSIZ or ASIZ can increase during the course of the trade. This will happen if participating parties executing the trade are willing to increase the size of the trade at the currently trading price.
YIELD Yield represents a calculation which includes the bond interest payments, the amortization of the bond's current market price vs. its par value over the life of the bond. The CanPX display has two columns under the YIELD field, separated by a / A display of 4.470/467 represents a yield of 4.470% based on the current BID, and a 4.467% yield based on the current ASK.
BCHG Bid change is a directional (+/-) comparison of the current BID quote to the previous day's closing BID quote. BCHG is displayed without the decimal and is truncated at three decimal places. Therefore, an increase of $5.00 would be displayed as +5000, and a decrease of 50 cents would be displayed as +0500. For example, if the current BID field displays 104.000, and the corresponding BCHG is +0400, this would indicate that the current BID has increased 40 cents from yesterday's closing BID quote (making the previous day's BID quote 103.600 in this instance). The BCHG field will not be affected if there is a change to the ASK quote.
YCHG Yield change is a directional (+/-) comparison of the current bid YIELD quote (found under theYIELD column) to the previous day's closing bid YIELD. Yield differences between fixed income securities are stated in basis points (one one-hundredth of one percent (1/100 or .01)). YCHG is displayed without the decimal and is truncated at three decimal places. Therefore, an increase of .999 (or 99.9 basis points) would be displayed as +0999 and a decrease of .09 (or 9 basis points) would be displayed as ?090. For example, if the current bid YIELD field displays 4.480, and the corresponding YCHG is -050, this would indicate the current bid YIELD has decreased .05 (or 5 basis points) from yesterday's closing bid YIELD quote (making the previous day's bid YIELD quote 4.530 in this instance). YCHG field will not be affected if there is a change to the ask YIELD quote. YCHG will only be available for bonds, as T-Bill net change will be displayed under the BCHG column.
LTRADE The last trade field displays the last traded price or yield for that instrument. The indicators H (for hit) and T (for take) are used to identify whether the last trade occurred on the BID quote (a purchase) or the ASK quote (a sale). If the trade was a purchase, the letter H will precede the LTRADE figure. If the trade was a sale, the letter T will precede the LTRADE figure. For example, a display of H101.400 in the LTRADE field indicates the last trade for the instrument was a purchase at $101.40. A display of T 4.450 indicates that last trade for the instrument was a sale at 4.45%.
H or T Indicates whether the last trade was a bid that was hit, or an offer that was taken, with associated price. This information will be maintained after the close until the following business day open.
SIZ The size field displays the total volume (in millions) traded in association with the LTRADE price. Therefore, a display of 75 in the SIZ field indicates that $75 million worth (at its maturity value) of the instrument was traded at the LTRADE price.
AVOL Represents the aggregate size or volume (in millions) of all trades on the instrument for the current day. Both trades on the bid side and the ask side will be included in this figure. A display of 58 in the AVOL field represents a total volume of $58 million (at its maturity value) of the instrument was traded since the open of trading. AVOL will be incremented as each trade is completed.
TIME The Time Field will display the time (EST/EDT) of the last trade (LTRADE). If the instrument has not yet traded, the time field will display the date (in MM/DD) the last trade occurred for that instrument.

For other detailed Glossaries, link to:
>> General Glossary
>> Provincial Bonds



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