G10 - General

• Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators

  Staff Analytical Note 2017-15 Guillaume Ouellet Leblanc, Maarten van Oordt

  The Bank’s internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Credit risk management, Financial institutions JEL Code(s): G, G1, G10, G2, G24
• June 8, 2017

  Using Market-Based Indicators to Assess Banking System Resilience

  Financial System Review - June 2017 Cameron MacDonald, Maarten van Oordt

  This report reviews the use of quantitative tools to gauge market participants’ assessment of banking system resilience. These measures complement traditional balance-sheet metrics and suggest that markets consider large Canadian banks to be better placed to weather adverse shocks than banks in other advanced economies. Compared with regulatory capital ratios, however, the measures suggest less improvement in banking system resilience since the pre-crisis period.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial institutions, Financial markets, Financial stability JEL Code(s): G, G0, G01, G1, G10, G2, G21
• May 11, 2017

  Wholesale Funding of the Big Six Canadian Banks

  Bank of Canada Review - Spring 2017 Matthieu Truno, Andriy Stolyarov, Danny Auger, Michel Assaf

  The Big Six Canadian banks are a dominant component of the Canadian financial system. How they finance their business activities is fundamental to how effective they are. Retail and commercial deposits along with wholesale funding represent the two major sources of funds for Canadian banks. What wholesale funding instruments do the Big Six banks use? How do they choose between different funding sources, funding strategies and why? How have banks changed their funding mix since the 2007–09 global financial crisis?

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial institutions, Financial markets, Financial system regulation and policies, Market structure and pricing, Wholesale funding JEL Code(s): E, E4, E44, F, F3, G, G0, G01, G1, G10, G12, G15, G2, G20, G21, G28, O, O1, O16

• Repo Market Functioning when the Interest Rate Is Low or Negative

  Staff Discussion Paper 2017-3 Jean-Sébastien Fontaine, James Hately, Adrian Walton

  This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): D, D4, G, G1, G10, G12