CanPX Detailed Glossary
Provincial Bonds
ISSUE the information on each line within the Issue column contains three pieces of information: the provincial identifier, the bond coupon and the maturity date. The following identifiers will be used to identify the issuing province:
ALT Alberta NFH Newfoundland Hydro
BC British Columbia NFL Newfoundland & Labrador Hydro
BCG British Columbia Global Issue NS Nova Scotia
CMHC Canada Mortgage & Housing Corporation OH Ontario Hydro
EDC Economic Development Corporation OHG Ontario Hydro Global Issue
FNQ Financement Quebec ON Ontario
HQ Hydro Quebec ONG Ontario Global Issue
MAN Manitoba PQ Quebec
NB New Brunswick PQG Quebec Global Issue
NF Newfoundland SAS Saskatchewan

Following the provincial identifier, the bond coupon and maturity date is displayed, separated by a _ The coupon is shown without the decimal, and is truncated at 2 decimal places, i.e. 0425 represents a 4.25% coupon, and 1025 represent a 10.25% coupon. Maturity is displayed in YY format. Therefore a display of: ON 0825_04 is representative of an Ontario Provincial Bond, with a coupon of 8.25%, maturing in 2004.
BID The BID and ASK for Provincial bonds are quoted in a spread which is the difference in basis points between the provincial bond YIELD and the yield of a corresponding benchmark Government of Canada Bond. The corresponding benchmark bond from which the spread is derived is given under the BMK column. The BID spread indicates at which yield a party is willing to purchase a provincial bond, and the ASK spread indicates at which yield a party is willing to sell a provincial bond. The BID and ASK field is truncated at three decimal places. For example, a display of 345/325 would indicate that the bid yield is .345 (or 34.5 basis points) higher than the current yield of the corresponding benchmark Government of Canada Bond and the ask yield is .325 (or 32.5 basis points) higher than the current yield of the corresponding benchmark GOC bond. As the bid and ask spreads are indicative of yield amounts, the BID quote will be higher than the ASK quote. CanPX will display the best bid and ask from the multiple broker sources.

When there is no market for the instrument on the BID side, the field will be filled in by blank When there is no market on the ASK 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: /450 this indicates an offer (someone willing to sell) at a spread of .450 (or 45 basis points), with no bid (someone willing to buy) at the present time on that instrument. Conversely, a display of 335/ indicates that there is a market on the bid side at a spread of .335 (or 33.5 basis points), 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 The BID and ASK for Provincial bonds are quoted in a spread which is the difference in basis points between the provincial bond YIELD and the yield of a corresponding benchmark Government of Canada Bond. The corresponding benchmark bond from which the spread is derived is given under the BMK column. The BID spread indicates at which yield a party is willing to purchase a provincial bond, and the ASK spread indicates at which yield a party is willing to sell a provincial bond. The BID and ASK field is truncated at three decimal places. For example, a display of 345/325 would indicate that the bid yield is .345 (or 34.5 basis points) higher than the current yield of the corresponding benchmark Government of Canada Bond and the ask yield is .325 (or 32.5 basis points) higher than the current yield of the corresponding benchmark GOC bond. As the bid and ask spreads are indicative of yield amounts, the BID quote will be higher than the ASK quote. CanPX will display the best bid and ask from the multiple broker sources.

When there is no market for the instrument on the BID side, the field will be filled in by blank When there is no market on the ASK 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: /450 this indicates an offer (someone willing to sell) at a spread of .450 (or 45 basis points), with no bid (someone willing to buy) at the present time on that instrument. Conversely, a display of 335/ indicates that there is a market on the bid side at a spread of .335 (or 33.5 basis points), 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.
BSZ The number in the bid size column represents the principal value (or par value) of the bond at its maturity, multiplied by $1million, that is available to the market at the current associated BID or ASK quote. For example, a display to 1x2 represents a BSZ of $1million at maturity and an ASZ of $2million at maturity. When an instrument is traded, the associated BSZ or ASZ 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 quoted price.
ASZ The number in the ask size column represents the principal value (or par value) of the bond at its maturity, multiplied by $1million, that is available to the market at the current associated BID or ASK quote. For example, a display to 1x2 represents a BSZ of $1million at maturity and an ASZ of $2million at maturity. When an instrument is traded, the associated BSZ or ASZ 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 quoted price.
BMK The Benchmark column represents the maturity, in MDD format, of the Government of Canada benchmark bond from which the provincial bond BID and ASK spreads are based. 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, N04 represents a maturity date of November 2004, a display of 510 represents a maturity of May 2010.
YCHG Yield change is a directional (+/-) comparison of the current BID yield quote (found under the YIELD column) to the previous day's closing bid YIELD quote. 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 +9990, and a decrease of .09 (or 9 basis points) would be displayed as -0900. For example, if the current bid YIELD field displays 4.555, and the corresponding YCHG is +0050, this would indicate the current bid YIELD has increased .05 (or 5 basis points) from yesterday's closing bid YIELD quote (making the previous day's bid YIELD quote 4.505 in this instance). YCHG will not be affected if there is a change to the ask YIELD quote.
YIELD The yield column displays the bid YIELD and ask YIELD of the instrument, based on the currently quoted BID and ASK. The bid YIELD is calculated by adding the current BID quote (or spread) to the current yield of the associated benchmark Government of Canada bond. The ask YIELD is calculated by adding the current ASK quote (or spread) to the current yield of the associate benchmark Government of Canada bond.
LTRADE The last trade field displays the last traded 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 YIELD quote (a purchase) or the ask YIELD 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 H5.550 in the LTRADE field indicates the last trade for the instrument was a purchase at a yield of 5.550%. A display of T4.445 indicates that the last trade for the instrument was a sale at 4.445%.
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.
TRADES When an instrument is trading, the following will occur on the CanPX display: the trading spread (BID or ASK), along with the associated size (BSIZ or ASIZ) and the associated YIELD will flash, (i.e. if a trade is occurring on the current bid quote, the BID and BSIZ and bid YIELD fields will flash, conversely if a trade is occurring on the current ask quote, the ASK and ASIZ and ask YIELD 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 quote, 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.
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 $58million worth (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
>> GOC Bonds & Treasury Bills



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