Posts

• Measuring Limits of Arbitrage in Fixed-Income Markets

  Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin

  We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, International financial markets JEL Code(s): G, G1, G12
• October 12, 2017

  Historical strip bond trading and repos by type of security (formerly F14)

  Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada.

  Content Type(s): Banking and financial statistics
• October 12, 2017

  Historical Government of Canada treasury bill and bond trading with counterparties (formerly F13)

  Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada.

  Content Type(s): Banking and financial statistics
• October 12, 2017

  Historical bond market trading by type of security (formerly F12)

  Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada.

  Content Type(s): Banking and financial statistics
• October 12, 2017

  Historical money market trading by type of security (formerly F11)

  Inactive: As of the end of 2017, the Bank of Canada no longer publishes this table. Starting from May 2018, a new version of the data is being published by the Investment Industry Regulatory Organization of Canada.

  Content Type(s): Banking and financial statistics
• October 12, 2017

  Historical net new issues of securities by corporations and federal government enterprises: Industrial classification (formerly K9)

  Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table.

  Content Type(s): Banking and financial statistics
• October 12, 2017

  Government of Canada bonds outstanding by currency of payments (formerly K8)

  Month-end bonds outstanding data by currency for Government of Canada.

  Content Type(s): Banking and financial statistics
• October 11, 2017

  Government of Canada debt securities: Gross new issues, retirements and net new issues (formerly F4 to F10)

  Monthly gross new issues, retirements and net new issues of securities by geography for the Government of Canada.

  Content Type(s): Banking and financial statistics
• October 11, 2017

  Historical corporate and other short-term paper outstanding (formerly F2)

  Inactive: Starting with reference month September 2020, the Bank of Canada no longer updates this table.

  Content Type(s): Banking and financial statistics
• October 10, 2017

  Historical selected credit measures (formerly E2)

  Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table.

  Content Type(s): Banking and financial statistics