Bank of Canada Announces New Schedules for Term Liquidity Operations Commencing the Week of 27 July 2009
As indicated in the 25 June announcement, the Bank of Canada today releases the following new schedules for its term liquidity operations commencing the week of 27 July 2009 and running through to the October fixed announcement date:
- Term Purchase and Resale Agreement (PRA) Facility
- Term PRA Facility for Private Sector Instruments
- Term Loan Facility (TLF)
Conditions in funding markets have continued to improve. Indicative measures of bank funding costs – such as CDOR-OIS spreads – have declined steadily from the September 2008 peak to stabilize at their lowest levels since the onset of the financial crisis. The results of the most recent Term PRA operations and the lack of coverage in other term liquidity operations are consistent with this assessment. Against this background, the minimum amounts to be auctioned in the Term PRA and the TLF facilities have been reduced, as has the auction amount for the Term PRA Facility for Private Sector Instruments.
To reinforce the Bank’s conditional commitment to maintain the overnight rate at 1/4 per cent until the end of the second quarter of 2010, the minimum and maximum bid rates for all regular Term PRA operations will continue to be at the target rate and the Bank Rate, respectively. The maturity of the longest Term PRA is being reduced from 12 months to 9 months, so that there will be maturities through the end of the second quarter of 2010. There will be an increased emphasis on this longest maturity, with the one-month maturity replaced by an additional nine-month maturity in every four-week cycle.
With respect to the Term PRA for Private Sector Instruments, the Bank has modified the maximum allocation available to any bidder. Effective 27 July 2009, each individual bidder will have a bidding limit that is the greater of either: (i) 25 per cent of the announced auctioned amounts, or (ii) $250 million.
As indicated in the 25 June announcement, Term PRA auctions will continue through to at least the end of January 2010. Auctions of the TLF and of Term PRA for Private Sector Instruments will continue through to at least the end of October 2009.
The Bank of Canada remains committed to providing liquidity, as required, to support the stability of the Canadian financial system and the functioning of financial markets.
Further details on the Bank of Canada term liquidity facilities are available in the Terms and Conditions for the Term PRA Facility, the Terms and Conditions for the Term PRA Facility for Private Sector Instruments, and the Terms and Conditions for the Term Loan Facility.
The new schedules are as follows:
| Term PRA Facility | ||||
|---|---|---|---|---|
| Auction (Settlement) Date |
New Amount (millions) |
Amount Maturing (millions) |
Term (Days) | Maturity Date |
| July 2009 | ||||
| 27 (29) | minimum $1,000 | 273 | 28 April 2010 | |
| August 2009 | ||||
| 4 (6) | minimum $1,000 | 167 | 20 January 2010 | |
| 10 (12) | minimum $1,000 | $3,000 | 273 | 12 May 2010 |
| 17 (19) | minimum $1,000 | $4,000 | 85 | 12 November 2009 |
| 24 (26) | minimum $1,000 | 274 | 27 May 2010 | |
| 31 (2 september) | minimum $1,000 | 169 | 18 February 2010 | |
| September 2009 | ||||
| 8 (10) | minimum $1,000 | $3,000 | 272 | 9 June 2010 |
| 14 (16) | minimum $1,000 | 84 | 9 December 2009 | |
| 21 (23) | minimum $1,000 | 273 | 23 June 2010 | |
| 28 (30) | minimum $1,000 | 168 | 17 March 2010 | |
| October 2009 | ||||
| 5 (7) | minimum $1,000 | $2,250 | 273 | 7 July 2010 |
| 13 (15) | minimum $1,000 | 84 | 7 January 2010 | |
| 19 (21) | minimum $1,000 | 273 | 21 July 2010 | |
| Term PRA Facility for Private Sector Instruments | ||||
|---|---|---|---|---|
| Auction (Settlement) Date |
New Amount (millions) |
Amount Maturing (millions) |
Term (Days) | Maturity Date |
| July 2009 | ||||
| 28 (30) | $500 | $500 | 84 | 22 October 2009 |
| August 2009 | ||||
| 5 (7) | $500 | $500 | 27 | 3 September 2009 |
| 11 (13) | $500 | $700 | 29 | 11 September 2009 |
| 18 (20) | $500 | maximum $1,000 | 28 | 17 September 2009 |
| 25 (27) | $500 | $495 | 84 | 19 November 2009 |
| September 2009 | ||||
| 1 (3) | $500 | maximum $500 | 28 | 1 October 2009 |
| 9 (11) | $500 | maximum $500 | 27 | 8 October 2009 |
| 15 (17) | $500 | maximum $500 | 29 | 16 October 2009 |
| 22 (24) | $500 | $500 | 84 | 17 December 2009 |
| 29 (1 October) | $500 | maximum $500 | 28 | 29 October 2009 |
| October 2009 | ||||
| 6 (8) | $500 | maximum $500 | 28 | 5 November 2009 |
| 14 (16) | $500 | maximum $500 | 28 | 13 November 2009 |
| 20 (22) | $500 | maximum $500 | 84 | 14 January 2010 |
| Term Loan Facility | ||||
|---|---|---|---|---|
| Auction (Settlement) Date |
New Amount (millions) |
Term (Days) | Maturity Date | |
| July 2009 | ||||
| 29 (30) | minimum $1,000 | 28 | 27 August 2009 | |
| August 2009 | ||||
| 6 (7) | minimum $1,000 | 27 | 3 September 2009 | |
| 12 (13) | minimum $1,000 | 29 | 11 September 2009 | |
| 19 (20) | minimum $1,000 | 28 | 17 September 2009 | |
| 26 (27) | minimum $1,000 | 28 | 24 September 2009 | |
| September 2009 | ||||
| 2 (3) | minimum $1,000 | 28 | 1 October 2009 | |
| 10 (11) | minimum $1,000 | 27 | 8 October 2009 | |
| 16 (17) | minimum $1,000 | 29 | 16 October 2009 | |
| 23 (24) | minimum $1,000 | 28 | 22 October 2009 | |
| 30 (1 October) | minimum $1,000 | 28 | 29 October 2009 | |
| October 2009 | ||||
| 7 (8) | minimum $1,000 | 28 | 5 November 2009 | |
| 15 (16) | minimum $1,000 | 28 | 13 November 2009 | |
| 21 (22) | minimum $1,000 | 28 | 19 November 2009 | |
| Substitution Schedule | |
|---|---|
| Notice Date 1 | Substitution Date |
| 22 July 2 | 24 July |
| 5 August | 7 August |
| 19 August | 21 August |
| 2 September | 4 September |
| 16 September | 18 September |
| 30 September | 2 October |
| 14 October | 16 October |