Previous to October 1st, 2007, the Canadian Fixed Income Indexes utilized 4 pm pricing from a Single Dealer source – Scotiabank Global Capital Markets. As of October 1st, 2007 the Fixed Income Indexes moved to a 4 pm Multi Dealer Pricing model which provides a greater consensus on the valuation of the securities included in the indexes. 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 indexes 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.
|Bonds||October 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|
|FTSE TMX Canada Multi Dealer Pricing Methodology Guide||Canadian Fixed Income Pricing including the Universe Bond Index and the family of Fixed income indices.|