Fixed Income

  • Comprehensive Pricing
    and Analytics

  • Consistent and accurate

  • High-value insight

Fundata has teamed up with CanDeal Data & Analytics (CanDeal DNA) to distribute the most comprehensive set of Canadian fixed income pricing and analytics.

CanDeal DNA Canadian Fixed Income Reference Pricing Service offers valuations for a universe of over 80,000 Canadian fixed income securities at multiple snap times throughout the day.

CanDeal DNA uses dealer-sourced pricing-and-terms and conditions data to provide industry practitioners with best-in-class independent, accurate, and transparent pricing, enabling clients to better monitor, understand, and manage their market exposure and optimize their models and analyses.
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Reference Pricing Service

Reference Pricing Service

Canadian Fixed Income Reference Pricing Service offers valuations of a universe of over 80,000 Canadian fixed income securities at multiple snap times throughout the day.

Fundata, in partnership with CanDeal DNA, distributes unparalleled coverage of the universe of Canadian fixed income securities, spanning highly liquid, on-the-run bonds to highly illiquid mortgage pools and asset-backed securities. Pricing inputs are directly sourced from Canada’s leading banks and dealers, which represent most of the trading activity in the Canadian OTC bond market. CanDeal DNA deploys proprietary methodologies developed in collaboration with dealer partners to ensure accuracy, depth and breadth of coverage.

Summary Level
  • Rates and Credit
  • Money Market
  • Asset Backed Securities
  • Yankees
  • MBS Fixed
  • MBS Floating

Advanced Analytics

A suite of analytics that ensure that you glean deep insights from our comprehensive pricing of more than 80,000 securities to make better, confident decisions.

Available analytics:
Bond Analytics
  • DV01
  • Convexity Macaulay Duration
  • Modified Duration Z-Spread
  • G-Spread Effective Maturity Date Yield to Maturity
  • Yield to Call, Yield to Worst NHA MBS: Weighted Average Life
  • Collateral Value Real Return Bonds: Inflation Index Factor
Trade Analytics
  • CanDeal DNA Trade Class (Liquidity)
Coming soon:
Trade Analytics
  • Volume
  • Weighted Average Price (VWAP)
  • Transaction and Quote Price Volatility
  • Participant Breadth & Population (Retail vs Institutional)
  • Average Trade Size
  • Market Impact Metric (How long to sell position)
  • Traded Price Volatility (TVOL)
  • Quote Price Volatility (QVOL)
  • Relative Volatility
Advanced Analytics
  • Relative Value
  • Sentiment Rating
  • Probability of Default

Dealer Margin Requirements

Comprehensive minimum margin requirements calculated daily for over 80,000 Canadian fixed income securities.


Calculated as required by IIROC Rule 5200 using dynamic inputs, including:

  • CanDeal DNA 4PM Reference Pricing
  • CanDeal DNA Security Master
  • Accrued interest
  • Days to maturity (actual/365)
  • Investment grade identifier
  • Defaulted status flag
  • Coupon type
  • IIROC rule reference

Suited For:

  • Fund Managers
  • Dealers
  • Advisors
  • Back-office System Providers
TOLL FREE: 1 (888) 328-9174
We offer our clients the most accurate and comprehensive data on Canadian Investment Funds that is available in the market.
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