FTSE Canada New FastQuote Plus (FQ+) Offering

The FQ+ files are a new set of pricing files provided by CanDeal DNA. They are designed to add transparency and enable access to pricing for securities in the Canadian fixed income market with broader coverage. It includes Composite and Evaluated prices with multiple snapshots per day and additional data fields. Composite and Evaluated prices are combined in the Reference pricing files.

There are 5 key benefits to clients:

1. Expanded universe: pricing data will be available for an additional 80,000 Canadian fixed income securities with expanded coverage across all instrument types and seen mostly in Money Markets, MBS and Yankees.
2. Composite & Evaluated pricing: the Evaluated pricing by CanDeal DNA will be available in addition to the Composite pricing that is currently used for the FTSE Canada Bond Index Series.
3. Multiple snapshots per day: an hourly snapshot between 8AM to 5PM ET will be available in addition to the 4PM ET price that is currently used for the FTSE Canada Bond Index Series.
4. Additional data fields: the FQ+ files will include additional data fields published along with the price data provided by CanDeal DNA, as well as CanDeal DNA Trade Class, a numeric score indicating liquidity for each instrument.  Trade Class is CanDeal DNA’s proprietary metric for liquidity using historical trade data for each instrument.
5. Timeliness of delivery: the FQ+ files are available via FTP (standard FTSE Canada file delivery channel) with a standardized SLA within the first 40 minutes past the hour for each corresponding hourly snapshot.

The bid/mid/ask Composite and Evaluated prices will be available with yields calculated by CanDeal DNA. In addition, the files provide more visibility and transparency around the quote counts and liquidity using Trade Class. The quote counts represent the number of dealers submitting valid quotes, and Trade Class reflects the depth of the market observed.  More details can be found in the file specification guides* published by CanDeal DNA. For more information, please reach out to fi.index@ftserussell.com.

The FQ files will continue to publish daily as part of the FTSE Canada fixed income service, and they will continue to carry the price, yield, and other analytics that are used for the FTSE Canada Bond Index Series. The FQ+ will carry price, yield, and other analytics provided by CanDeal DNA. It is expected that some of the analytics data will not be identical between FQ+ and FQ files, given that they are generated from different platforms.

The FQ-Market files are divided into 4 sets:

• End-of-day Composite Price
• End-of-day Reference Price (containing both Composite and Evaluated Prices)
• Intra Day Composite Price
• Intra Day Reference Price (containing both Composite and Evaluated Prices)

The “End-of-day” set includes pricing files for 1PM/3PM/4PM ET snapshots. The “Intra Day” set includes pricing files for 8AM to 5PM ET hourly (10 snapshots during the day).

The “Composite Price” files contain the CanDeal DNA Composite Price only. The “Reference Price” files contain both the CanDeal DNA Composite Price, and Evaluated Price.

Under each of the four sets, there are 7 individual files for different fixed income security types.

The FQ+ files will be available for subscription starting Q1 2025. Once licensed, the files will be available daily and within the first 40 minutes of the corresponding hour, e.g. the 4pm FQ+ file will be available for download prior to 4:40pm ET. The files follow the Canadian debt market closure schedule as published by IIAC[1], except for the FQ_YANK files which will follow the US Holiday Schedule as published by SIFMA[2].

[1] Debt Market Closure Schedule — IIAC | ACCVM

[2] Holiday Schedule - SIFMA - Holiday Schedule - SIFMA

The FQ+ files will be available through the same delivery channel (FTP) as the FQ files in .csv format, available daily in their corresponding folders. They will be licensed and enabled independently from the FQ files. For commercials and licensing, please reach out to your FTSE Russell account manager or fi.index@ftserussell.com for more information.

The new FQ+ files are a new pricing product in parallel to the existing FTSE Canada pricing and index products. Prices in the FTSE Canada Bond Index Series will continue to represent a mid-side price based on the Composite pricing provided by CanDeal DNA as of 4:00 pm (Toronto time), unless otherwise stated in published index methodologies. There will be no change to index construction. Terms and reference data will continue to be sourced by FTSE Russell directly based on original issue documents. Index analytics, such as modified duration and yield, will continue to be calculated in accordance with existing index conventions and formulae. Index users should not anticipate any changes to file format, distribution channels or delivery times of the existing files.

Yes, a similar price challenge process has been established for the new FQ+ files. If clients want to challenge the price and/or yield levels received, please send the challenge to the regular price challenge channel, including fi.index@ftserussell.com. The challenge should include the date, security ID, price/yield levels expected, price/yield levels observed in the FQ+ files, and exact filename. The levels will be reviewed by FTSE Canada and CanDeal DNA team accordingly.