FTSE TMX Canada Indices

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  1. Methodologies
  2. Multi Dealer Pricing
 
*(a Canadian Patent #2,743,881 was granted on 2013/03/12 with the filing date of 2008/11/21)

Canadian Fixed Income Pricing including the family of FTSE TMX Fixed Income Indices

Previous to October 1st, 2007, the Canadian Fixed Income Indices utilized 4 pm pricing from a Single Dealer source – Scotiabank Global Capital Markets. As of October 1st, 2007 the Fixed Income Indices moved to a 4 pm Multi Dealer Pricing model which provides a greater consensus on the valuation of the securities included in the indices. The new Multi Dealer Pricing model is incorporated into an electronic system and method which has in turn been incorporated in to a world-wide patent granted on 2013/03/12. Prices for issues outside the indices also utilize the same 4pm Multi Dealer Pricing model and have moved from the single dealer price as of the following schedule:

Index rules should be read in conjunction with supporting FTSE Russell notices, (please click here). These notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment int the period up to a rule change.

Download relevant documents from the table below.

  
BondsOctober 1, 2007
Strips (Coupons, Residuals & Packages) November 1, 2007
MBS (Mortgage Backed Securities)April 2, 2008
CMBS (Commercial Mortgage Backed)March 8, 2009
BA’s (Bankers Acceptances)March 8, 2009
Title Description
FTSE TMX Canada Multi Dealer Pricing Methodology Guide Canadian Fixed Income Pricing including the Universe Bond Index and the family of Fixed income indices.