January 30, 2025
Read the terms and conditions of the Term Repo Operations.
Operation details
- Term repos are conducted to manage the Bank’s balance sheet and to promote the orderly functioning of Canadian financial markets.
- Auction date, amount, minimum bid rate, settlement date, maturity date, transaction type and other information will be announced by the Bank of Canada on the term repo webpage and in the Bank of Canada Auction System ahead of each operation.
Type of transaction
- Two types of term repo transactions may be conducted by the Bank of Canada. These transactions will be referred to in the Terms and Conditions as “regular” and “National Housing Act Mortgage-Backed Securities” (NHA MBS).
Type of operation
- Multiple price competitive auction for a fixed Canadian dollar (CAD) cash-value amount.
Eligible counterparties
- Canadian Primary Dealers in Government of Canada securities. The Bank of Canada has sole discretion to remove a Primary Dealer from the list of approved eligible counterparties for term repo transactions, cap or limit a counterparty’s awards in a particular auction or otherwise cease to enter into term repo transactions with such counterparty for any reason.
Term
- Term repo transactions will be for terms of 1- and 3-months. Exact dates for all transactions will be confirmed ahead of each operation. At the Bank of Canada’s discretion, transactions may also be for shorter or longer terms.
Tender process
- Term repo operations will normally be conducted at 9:15 (EST) with a deadline of 9:30 (EST) for participants to submit tenders.
- Should the operation fall on a Fixed Announcement Date (FAD), the term repo operation will be conducted at 11:45 (EST) with a deadline of 12:00 (EST) for participants to submit tenders.
- The Bank of Canada reserves the right to conduct these transactions earlier or later in the day, with an approximate 15-minute tender submission deadline to be set by the Bank of Canada.
- Tenders must specify a bid rate and an amount on a cash-value basis. A maximum of two tenders can be submitted by each participant for each term on offer.
- Each operation will have a minimum bid rate which will be announced on the Bank’s term repo webpage and in the Bank of Canada Auction System 15 minutes before the auction deadline. The minimum bid rate is based on the equivalent maturity overnight index swap (OIS) rate as determined by the Bank of Canada. At the Bank of Canada’s discretion, it may impose a spread to the OIS rate to determine the minimum bid rate for the operation.
- Each bid rate must be submitted on a yield basis, up to two decimal places.
- Tender amounts are subject to maximum allocation limits. The minimum tender amount is $10 million, with minimum increments of $1 million.
- Tenders must be submitted in the Bank of Canada Auction System.
- The Bank of Canada reserves the right to accept or reject any or all bids, in whole or in part, including, without limitation, the right to accept less than the total amount specified ahead of the auction.
Allocation mechanism
- Tenders with the highest bid rate will be accepted and allocated first. Tenders with successively lower bid rates will continue to be accepted until the auction is completely allocated. The lowest accepted bid rate is the cut-off rate. If the sum of the tender amounts at the cut-off rate exceeds the amount available to allocate, these tenders will be allocated on a pro-rated basis and rounded to the nearest $1 million.
Maximum allocation
- For each regular and NHA MBS term repo operation, winning participants will be awarded up to a maximum of 25 percent or 12.5 percent of the total amount offered for each transaction. The per tranche limit is based on each institution’s annual average market share in the primary, secondary and repo markets for Government of Canada bonds and treasury bills, as determined by the Bank of Canada, and will be reviewed at least annually. No aggregate limit applies to regular and NHA MBS term repo operations.
- All limits will be communicated to eligible counterparties directly.
Timing of results
- Winning counterparties will be able to access their bidder confirmations in the Bank of Canada Auction System. The Bank of Canada will email the counterparty confirmations, setting out the specific terms of the transaction. Results will be published on the Bank of Canada’s term repo webpage and in the Bank of Canada Auction System as soon as possible following the auction. These transactions will also be reflected on the Bank of Canada’s balance sheet.
Eligible securities
- For regular transactions, only Canadian dollar-denominated marketable securities that are directly-issued or explicitly guaranteed by the Government of Canada or by a Canadian provincial government and that are also eligible for the Standing Liquidity Facility. Stripped or residual Government of Canada or Canadian provincial government securities, federal or provincial inflation-linked bonds and NHA MBS are not eligible for these transactions. The securities must not mature on or prior to the date of maturity of the term repo operation.
- For NHA MBS transactions, only NHA MBS pool types with prefix 975, both syndicated and non-syndicated, are eligible. These securities must not mature within 6-months of the maturity date of the transaction and the security must also meet the eligibility requirements for the Standing Liquidity Facility.
Notification of securities to be used
- Within 30 minutes of allocating the auction, counterparties must enter the securities that will be used through the dealer interface in the Bank of Canada’s Collateral Management System (accessed via BoC connect). The Bank of Canada’s Collateral Management System will be used to confirm eligibility, price the securities and book the transaction. A confirmation of the transaction will be provided by the Bank of Canada.
- The number of securities to be used is limited to a maximum of 20 ISINs per successful bid when using the dealer interface. However, at the Bank of Canada’s discretion, the Bank of Canada may enter the securities on the eligible counterparty’s behalf and in such cases when the dealer interface is not used, the number of securities to be used is limited to a maximum of 5 ISINs per successful bid.
Margins
- Eligible securities are subject to the same margin requirements as those applicable in the Standing Liquidity Facility (See Margin Requirements).
Margin calls
- Transactions, on a combined regular and NHA MBS basis, will be subject to margin calls if the value of the posted eligible securities falls below a threshold acceptable to the Bank of Canada. All eligible securities for both regular and NHA MBS transactions may be provided for margin calls.
Interest calculation
- Interest on the funds will be calculated on an actual/365-day basis.
Coupon payments
- For regular transactions, all coupon payments received by the Bank of Canada on the securities during the term of the transaction will be kept by the Bank of Canada. The final settlement amount will be adjusted, as required, to account for these receipts in accordance with the Bank of Canada's Master Repurchase Agreement.
- For NHA MBS transactions, all cash flows will be returned one business day after they are received. Not adjusting the final settlement amount is in accordance with the Bank of Canada’s Master Repurchase Agreement. The Bank of Canada will hold the cash flow for a term of one business day without paying interest and will return it to the eligible counterparty the following business day.
Counterparty settlement instructions
- Securities shall be delivered to the Bank of Canada by 16:00(EST) through CDSX on the settlement day of the auction, on a delivery of securities versus payment of funds basis. Securities to be delivered shall be confirmed with and priced by the Bank of Canada after the auction and prior to delivery.
- Bank of Canada CDS settlement CUID is BOCB.
Substitution
- Participants may substitute a maximum of 2 ISINs underlying all term repo transactions every other day. Participants must give the Bank of Canada notice of the substitution by noon one business day prior to the substitution date and in accordance with the Bank's Master Repurchase Agreement. Substitutions must be confirmed in writing by sending an email to .
- These conditions will be relaxed and greater flexibility provided in the future once system enhancements allow for the use of the dealer interface to complete substitutions. Once the system enhancements are in place, the terms and conditions will be updated to reflect the changes.
- Securities used for substitution must meet the eligibility requirements for the original transaction. Only NHA MBS satisfying the eligibility requirements may be used for NHA MBS transactions. All other eligible securities, excluding NHA MBS, may be used for regular transactions.
Legal arrangements
- Eligible counterparties must have made the appropriate legal arrangements with the Bank of Canada.
- The Bank of Canada reserves the right to change the terms of subsequent term repo transactions by posting a revised version of these terms and conditions.
- Each tender shall be unconditional and irrevocable after the submission deadline.
- The Bank of Canada shall not bear any liability whatsoever for any loss incurred by a Primary Dealer or any other person arising out of any errors in tenders received, delays in the transmission of tenders, technological failures or interruptions, or events or circumstances beyond the Bank of Canada’s control.
- The Bank of Canada may, in addition to and without prejudice to any rights under the Bank of Canada’s Master Repurchase Agreement, sanction a Primary Dealer if the Bank of Canada is of the view that the Dealer breached any of the terms. The sanctions that the Bank of Canada may impose include, without limitation, suspending the Primary Dealer from participating in one or more future auctions and changing, on a temporary basis, the bidding limit applicable to the Dealer.