Statistics

Data regarding the timing of trade entry and trade matching are important for us to determine a firm’s, an industry sector’s, and national readiness to change the standard securities settlement cycle from T+2 to T+1.  Data also shows the importance of cross-border business with the U.S., and why Canada and the U.S. must keep timelines for moving to a shorter settlement cycle completely in sync.

Institutional Trade Processing (ITP) Data

ITP data shows how many trades are ready to settle and when.  For ITP statistics starting January 2016, please visit CDS ITP Statistics.  For earlier data, please click here.

CDS ITP Statistics Report Definitions

  • Entered: Trade details received by CDS awaiting confirmation (broker/dealer and/or custodians)
  • Confirmed: Status of entered trade changed to reflect “confirmed status awaiting settlement at CDS” once brokers/dealers and custodians agree on trade details
  • Efficiency rate (%):  Number of trades confirmed divided by number of trades entered

Note:  The CDS ITP statistics:

  • Include client trades only, with USD transactions converted to CAD dollars for reporting purposes
  • Exclude any free movement items or trades reported by a matching services utility (MSU)
  • Exclude same-day trades and entitlement-generated transactions
  • Are reported based on a trade date cut-off of midnight EST/EDT.
  • The ‘AM’ breakdown includes trade entries and confirmations made from 12:00 AM to 11:59 AM
  • The ‘PM’ breakdown includes entries/confirmations made from 12:00 PM to 11:59 PM EST.

How Important Is Canada-U.S. Cross-Border Business?

In a word: ‘very.’  While representing a small proportion by number of CDS’s 84,600 eligible issues (40,600 are equities, 29,900 are debt, 7,700 are money market instruments, and 6,400 are strips) – only 1.3% (1,094 Canadian equity issues) are interlisted with the U.S. – they are among the most popular issuers and so are highly traded.  They include Canada’s major banks, as well as resource and energy companies (see TMX interlisted inventory).  Also, courtesy of TMX and CDS:

  • Cross-border activity averages net receive settlements of over US$5 billion from DTCC in securities transactions daily including about 1.3 million NSCC-processed participant trades
  • In 2021, CDS participants and U.S. counterparties relied on CDS tax services to manage/remit approximately US$1 billion in withholding taxes between U.S. and Canadian tax authorities on the equivalent of over US$23 billion in cross-border entitlement payments.

Key Performance Indicators

  • Order entry rate: Trades entered on T, T+1, T+2, etc., as a percent of total trades for the period
  • Trade repair (exception processing) rate: Number of trades requiring modification in order to be completed as a percent of total trades
  • Order confirmation/affirmation/matching rate: Trades confirmed on T, T+1, T+2, etc., as a percent of total trades confirmed for the period
  • STP (straight-through-processing) rate: Number of trades processed without intervention as a percent of total trades
  • Failed Trade Rate: Number of failed trades as a percent of all trades
  • Trade Matching Rate: The percent of participant trades (by volume and value) confirmed at CDS on T, T+1, T+2 or later, that must is to be compared to a threshold of 90% specified in National Instrument (NI) 24-101 for delivery against payment/receive against payment (DAP/RAP) trades on the specified trade date (currently T+2)

How important is cross-border business between Canada and the U.S.?

CDS has 84,600 eligible issues in total: 40,600 are equities, 29,900 are debt, 7,700 are money market instruments, and 6,400 are strips.  While only 1.3% (1,094 Canadian equity issues) are interlisted with the U.S., most are very popular issuers and highly traded, including Canada’s major banks, as well as resource and energy companies (see TMX interlisted inventory).  Also, courtesy of TMX and CDS:

  • Cross-border activity averages net receive settlements of over US$5 billion from DTCC in securities transactions daily including about 1.3 million NSCC-processed participant trades
  • In 2021, CDS participants and U.S. counterparties relied on CDS tax services to manage/remit approximately US$1 billion in withholding taxes between U.S. and Canadian taxation authorities on the equivalent of over US$23 billion in cross-border entitlement payments.