FTSE CanDeal Partnership

Connecting the Canadian fixed income ecosystem

 

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  1. Overview
  2. FTSE CanDeal Partnership FAQs
  3. FTSE Canada FastQuote Plus (FQ+) FAQ
  4. Key Resources

FTSE Russell is committed to supporting the Canadian Fixed Income community by providing best-in-class products and services. In collaboration with our trusted partner CanDeal, we provide market leading Canadian fixed income solutions across indices, pricing, reference data and analytics.
 

About FTSE CanDeal Partnership

In 2019, FTSE Canada commenced its collaboration with CanDeal, a leading Canadian  fixed income financial market infrastructure and data provider owned equally by a group of leading Canadian dealers and the TMX Group. 

CanDeal Data & Analytics (“CanDeal DNA”) has since become the premier source for Canadian OTC fixed income pricing, and in May 2022, FTSE Canada changed the pricing source for the FTSE Canada Bond Index Series to CanDeal DNA, in accordance with its Composite pricing methodology. 

In March 2026, FTSE Russell and CanDeal DNA announced a 10-year extension of FTSE Canada’s use of CanDeal DNA Fixed Income Pricing in FTSE Canada Indices and expansion of the Partnership into new products. 

The long-term partnership:

  • Extends the use of CanDeal DNA best-in-class pricing services for FTSE Canada Fixed Income Indices 
  • Expands CanDeal Pricing coverage available via FTSE FastQuote (link to FQ+)
  • Expands the scope of CanDeal DNA products licensed by FTSE Canada, including CanDeal DNA Security Master and CanDeal DNA Trademarks product

 

Useful links

FTSE CanDeal Partnership FAQs

  • This Partnership cements the ability of FTSE Canada to continue to support the Canadian investment ecosystem with market leading index, data, and analytics, ensuring continuity and stability in our ability to accurately track the Canadian fixed income markets.

    FTSE Canada is proud to play such an important role in the Canadian financial ecosystem. By evolving our approach to modernise and incorporate CanDeal DNA’s best-in-class solutions in FTSE Canada indices, we further our ability to continue to expand and improve the FTSE Canada product offerings.

  • The FTSE FQ+ files are a 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. For more information (FQ Plus)

  • The CanDeal DNA Canadian Fixed Income Security Master product is the premier solution underpinning CanDeal DNA’s Reference Pricing and Analytics Services, which are the industry standard for Canadian securities.

    As part of the Partnership, FTSE Canada will transition aspects of its Security Master data sourcing to CanDeal DNA for use in FTSE Canada Indices.

  • CanDeal FTSE Analytics is a co-developed, modern portfolio analytics solution for Canada, by Canada. The solution will support the next generation of PC Bond users, designed with Canadian centric features and characteristics, underpinned by modern infrastructure & technology solutioning. The solution will be built on CanDeal DNA’s best-in-class foundational datasets and fully integrated with FTSE Canada Indices.

    The design will retain useful PC Bond features and those that facilitate user workflows while providing a modern technology solution that can integrate into the clients workflows & frameworks.

  • Our goal is to develop and deliver a comprehensive, robust analytics platform that clients can migrate to, underpinned by best‑in‑class capabilities and aligned with Canadian and FTSE Canada index conventions.

    FTSE Canada & CanDeal DNA are engaging with existing PC Bond clients and other interested parties to seek feedback to ensure the combined efforts deliver meaningful solutions that address client challenges and that development closely meets current and future client demand. We welcome your input on key features/requirements.

  • PC Bond will continue to be supported and maintained by FTSE Canada. We will stay in close contact to advise users of developments as they occur. We encourage any users that have questions or comments to contact us ( fi.index@ftserussell.com) and we will be happy to provide any additional information and answer any questions.

FTSE Canada FastQuote Plus (FQ+) FAQs

  • 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.

    File Prefix

    Security Description

    Number of Securities Covered (approx.)

    Reference

    Composite

    FQ_CFIB

    GovCorp bullet bonds, reconstituted bonds, structured notes, annuity, LRCN, Note, PF

    11,600

    6,100

    FQ_CSTR

    Strips

    4,250

    3,500

    FQ_ABSB

    ABS, covered bonds

    310

    290

    FQ_ABCP

    ABCP

    5,800

    500

    FQ_CMMI

    CP, BDN, BA, T-Bills

    43,200

    1,300

    FQ_NMBS

    NHA MBS

    17,700

    17,500

    FQ_YANK

    Yankee bonds

    13,000

    810

  • 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.

Key Resources

FAQs

FTSE CanDeal DNA Analytics

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FAQs

FTSE Canada FastQuote Plus (FQ+) Pricing Files

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Press Release

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Indices

FTSE Canada Fixed Income Indices

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